I'm Confused

[SamBing]

Hello,

I'm confused over the performance results from the strategy analyzer. Can someone explain why the cumulative percentage profit is 16.8 Million %? It's extremely misleading, unless I'm missing what it's used for in gauging performance.

I had my strategy buy 100 shares of the S&P 500, which at the lowest entry price would've cost $1,683.00. If you took the total net profit and looked at the percentage change between the lowest entry and profit, you'd see a change of about 29500%. That's nowhere near the cumulative profit.

Thank you for helping me better understand the system,

Sam

[NinjaTrader_Brandon]

Hello Sam,
Thanks for your reply.
Below I have provided a link to the Understanding Cumulative Profit section of the help guide.

http://ninjatrader.com/support/helpGuides/nt7/?statistics_definitions.htm

If you need additional assistance on this please provide a screenshot which shows all the values in the results.

[SamBing]

Brandon,

Thanks for the quick response. Attached is the rest of the report. How can I use the cumulative profit % to gauge performance? It doesn't seem useful, but I might be misunderstanding the equation underlying it.

Is there a way to calculate a CAGR out of the results from this report?

Thank you for your help

[koganam]

Brandon,

Thanks for the quick response. Attached is the rest of the report. How can I use the cumulative profit % to gauge performance? It doesn't seem useful, but I might be misunderstanding the equation underlying it.

Is there a way to calculate a CAGR out of the results from this report?

Thank you for your help

If you want to see meaningful results, I would suggest that you view that report in "Currency". With no statement as to the basis for calculating those percentages, the figures are pretty useless.

You may have to calculate some percentages yourself once you can see the currency returns, but then, at least, you will know what basis you are using to calculate said percentages.

[NinjaTrader_Brandon]

Hello SamBing,
Thanks for your reply.
I see there are many trades in your results. I would not be able to calculate these values for you.
The important thing to note here is that this is based on percentage of the instruments entry price.
So lets say for example you buy the ES at 2010 and exit at 2020. This is 10 points profit.
You can then take 10 and divide it by 2010 which would be 0.0049751.....
To get the percent you would then move the decimal over 2 spaces and round the number giving you a 0.50% Cumulative Profit for this order.
I would not be able to give trading advice on how to use this value for your trading.

[SamBing]

Thank you, everyone, for your help. I appreciate it as I try to learn and wrap my head around how the program works.

I did some digging and found a post explaining cumulative profit % more: http://ninjatrader.com/support/forum...ad.php?t=47215

To quote Brett, "Cumulative Profit % mode can be thought of as if you were reinvesting your complete account including winnings back into the trade again and again."

By complete account, I'm assuming it keeps track of some account size. I have the strategy set to buy 100 shares each time. So, I guess it'd keep track of contributions made to buy 100 shares if the profits weren't enough to cover the cost.

If that is the case then I should be able to calculate the CAGR by taking any principal amount, the cumulative profit %, and the time period it took to achieve that. If that's correct, then I see how the % result is useful in gauging performance.

However, when I switch to currency view, the cumulative profit is equal to the total net profit. So, why would one view be a compounding return and the other view a repeat of my net profit? Cumulative profit was developed for a reason, I'm just trying to hammer into my head the why behind it.

Thank you again for the assistance!

[NinjaTrader_Brandon]

Hello Sam,
Thanks for your reply.
When set to currency the total net profit and cumulative profit are both displayed in currency.
When set to percent the total net profit will be displayed in currency and the cumulative profit will display in percentage.
Total net profit will display in currency, regardless of settings.
When set to currency, I would expect the 2 to match.