Strategy Net Profit vs Realized

[cmetz]

While tracking strategy performance, sometimes the net profit of a strategy will increase while the realized pnl of the strategy decreases (and vice versa).

Can someone explain this discrepancy?

[NinjaTrader_ZacharyG]

Hello cmetz,

Thank you for your inquiry.

That seems a bit odd. When you are comparing the realized PnL in the Strategies tab and total net profit in Strategy Performance, are you selecting "real-time" for your strategy performance?

The values should match when you do this. The real-time strategy performance window is not live, so you would have to close and open it again to update its values.

[cmetz]

Yes. I am using "real time" strategy performance.

The strategies Im having issues with are low volatility currency scalping strategies, so the spread is one variable i cant precisely account for. I have commissions over estimated and is reflected in the real time net profit (which most of the time shows the increase), yet still...realized pnl decreases.

[NinjaTrader_ZacharyG]

Hello cmetz,

So I can further test this issue on my end, could you send me your strategy's .cs file?

Please attach it to an email to platformsupport [AT] ninjatrader [DOT] com with my name and a link to this thread referenced.

I look forward to assisting you further.

[cmetz]

I'm going File > Utilities > Export Ninja Script and getting an error message "error compiling export sources. Please check your logs."

Please advise.

[NinjaTrader_ZacharyG]

Hello cmetz,

Please go into the Log tab of the NinjaTrader Control Center. Check to see if you receive an error similar to this:

"3/6/2009 9:25:30 AM|2|4|Error compiling export assembly: C:\Users\NinjaTrader\Documents\NinjaTrader 7\bin\Custom\Indicator\MyCustomIndicator.cs(42,18) : error CS0118: NinjaTrader.Indicator.SMA is a type but is used like a variable"

* Note: This error may have a different error code and message depending on which variant of .NET you have installed. An error message indicative of this issue would include an indicator name without quotation marks.

Once you take note of the indicator listed in the error on the Log tab of the NinjaTrader Control Center please go to File > Utilities > Export NinjaScript and follow the directions at the following link to export the files and the indicator listed in the error: http://ninjatrader.com/support/helpG...t_problems.htm

[cmetz]

I got the same error message. When compiling the strategy (not an indicator) everything looks good.

This morning when uploading my numbers from real time performance summary to excel, I had one strategy with all the same numbers as last upload (profit factor, % profitable, # of winning trades, # of losing trades, and the ratio of avg win / avg loss) but the total net profit of the currency pair strategy was off by a large margin.

Another example...uploading same numbers from real time performance summary to excel for a strategy (Profit Factor, % Profitable, # winning trades, # losing trades, ratio avg win / loss, and net profit). All number were the same but % profitable was slightly less, and I had one less winning trade than the last time I updated.

When checked against the real time performance trade tab, everything makes sense. It may be an issue with real-time performance summary calculations.

[NinjaTrader_ZacharyG]

Hello cmetz,

Can you please attach screenshots of the discrepancies to next forum post so I may review them?

To send a screenshot with Windows 7 or newer I would recommend using Window's Snipping Tool.

Click here for instructions

Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.

Click here for detailed instruction

[cmetz]

I've attached three screen shots. I'm not sure it will give you any info to see where the problem (or my misunderstanding) is, but will give you an illustration of what I'm looking at.

Everyday, I update my excel spreadsheet with strategy Profit Factor, Percent Profitable, # winning, # losing, avg. win / loss ratio, Net Profit (from Real Time Performance), and Realized (from the control panel, strategies tab). On each attachment, the excel numbers for the highlighted row are yesterday's numbers and correspond to today's Real Time Performance window and the highlighted strategy on the Control Center.

As I flip from live account to sim, realized profit zeros, but the real time performance figures keep calculating.

Attachment "DonchianNZDJPY" shows the previous time I updated excel, I just switched from live to sim for the highlighted strategy "Donchian" for NZDJPY, so Realized is zero on excel.

Today, I pulled up the real time performance and found the new Net Profit is $637.62. Yesterdays (when Realized was zeroed) was $618.11, which equals profit of $19.52.

However, Realized for today shows a loss of ($52.13).

I would have expected today's realized to be a profit of $19.52.

The attacment "Boli Rev to Mean Short" shows net profit for "BoliRev2MeanShort" for CHFJPY increased from my last excel update of $441.14 to 720.40 (Real time performance net profit) for a profit of 279.26.

However Realized profit on the Strategies tab of the Control Center shows a profit of $24.54 (which I find to be the more likely).

The attachment "Afternoon Boli Scalp" shows that the "WFAfternoonBoliScalp" strategy for CADJPY on excel had 57 losing trades yesterday, today on the Real time performance it shows 56. It also illustrates that Net Profit was identical from yesterday to today at 564.97, however, realized profit decreased by $64.74.

Does Realized PnL account for spreads/commissions while Net Profit does not? That is one explanation that could make sense for me. I thought I overestimated the commissions at $2 across the board. Since position size is only 5,000 for most, and 10,000 max, that should cover these....however, perhaps that is not enough.

I could accept that I make a typo with the number of winning and losing trades if it happened once or twice. Though, it is coming up everyday. I don't think it's a log issue since the WFAfternoonBoliScalp" strategy for CADJPY only has 162 trades over about a week.. I know the log maintains 20 days or 1000 trades..

I'm sure this is just something I'm not accounting for.

Any help would be appreciated.