Descrepancies in Ninjatrader accounting statistics.

[iq200]

Hi,
I've been doing sim equities sim trading for the past month and am confused with some of the accounting statistics in NInjatrader:
1) If I click on New->Trade Performance, I get the Summary page which says The Gross profit is $1508.30 and the Total Net Profit is 895.70. However the Gross realized PnL in the Accounts tab says 1034.00 and the Total PnL is 896.70. see http://prntscr.com/o7mhhh and https://prnt.sc/o7llke

2) I left an overnight trade on on 25 June and closed it the next day on 26 June. Now if I look at the Trade Performance statistics for each day separately, the overnight trade doesn't show up. However if I look at the Trade Performance from 25 June to 26 June the consolidated figures do account for the trade. There seems to be something really weird here.
See:

http://prntscr.com/o7mjt9

http://prntscr.com/o7mk5w

http://prntscr.com/o7mkj7

3) If I click on New->Trade Performance->Display:Analysis->Period:Trades, There is nothing showing up in Gross Profit or Gross Loss columns except n/a! See http://prntscr.com/o7nd2a

4) If I scale into a trade why do I see the trade split into each individual scaling in? All I want is to see is the single consolidated trade with the average in price and the exit price. Of course having the option of what I see currently is also good. Again see http://prntscr.com/o7nd2a

5) On the Trade Performance screen https://prnt.sc/o7mhhh, the All trades probability is 3.59%, the Long Trades probability is listed as 0% and the Short Trades probability is listed as 100%. Are these numbers right?

Regards,
iq

[NinjaTrader_Jim]

Hello iq200,

We are very sorry that this post was missed. While we are not sure what happened we are investigating and will be fixing any items which may have caused your post to go unanswered.

1) If I click on New->Trade Performance, I get the Summary page which says The Gross profit is $1508.30 and the Total Net Profit is 895.70. However the Gross realized PnL in the Accounts tab says 1034.00 and the Total PnL is 896.70. see http://prntscr.com/o7mhhh and https://prnt.sc/o7llke

Gross Realized PnL in the Accounts Tab is the Realized profit or loss before commissions have been subtracted. In the Trade Performance window, this is calculated based on Trades that are generated by pairing executions. The math behind this is linked below.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?statistics_definitions.htm#UnderstandingGrossProfit

2) I left an overnight trade on on 25 June and closed it the next day on 26 June. Now if I look at the Trade Performance statistics for each day separately, the overnight trade doesn't show up. However if I look at the Trade Performance from 25 June to 26 June the consolidated figures do account for the trade. There seems to be something really weird here.
See:

http://prntscr.com/o7mjt9

http://prntscr.com/o7mk5w

http://prntscr.com/o7mkj7

Trades in the Trade Performance window are generated by pairing executions together, and then statistics are calculated from these generated "Trades." The executions listed will be filtered by the dates you have specified, so overnight positions can appear as one end of a trade, but NinjaTrader may not be able to pair this correctly since the other execution is filtered. I generally suggest to start your Trade Performance reports from a point in time when you know you are flat to use this tool with consistent results.

3) If I click on New->Trade Performance->Display:Analysis->Period:Trades, There is nothing showing up in Gross Profit or Gross Loss columns except n/a! See http://prntscr.com/o7nd2a

Since the Gross Profit and Gross Loss statistics are specific to a collection of trades, we would not see a listing for individual trades that are listed in the Analysis grid viewing each trade.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?statistics_definitions.htm#UnderstandingGrossProfit

4) If I scale into a trade why do I see the trade split into each individual scaling in? All I want is to see is the single consolidated trade with the average in price and the exit price. Of course having the option of what I see currently is also good. Again see http://prntscr.com/o7nd2a

In NinjaTrader 7, this was possible to do with a "Group by ATM strategy" option. This is not available in NinjaTrader 8, but we are tracking interest behind this with the ticket ID SFT-1490. I have added a vote on your behalf.

We collect interest in feature requests before determining if the feature should be implemented. For that reason we cannot offer an ETA or promise of fulfillment. Upon implementation, the number for the ticket ID can be publicly found in the Release Notes page of the help guide. I will provide a link below.

Release Notes - https://ninjatrader.com/support/help...ease_notes.htm

5) On the Trade Performance screen https://prnt.sc/o7mhhh, the All trades probability is 3.59%, the Long Trades probability is listed as 0% and the Short Trades probability is listed as 100%. Are these numbers right?

Probability is based on the the likelihood that a trade will return the same PnL as the Average Trade statistic. From the Help Guide: "This is based on how many trade's PnL fall within a standard deviation of the Avg. trade. Student's t-distribution is used to find probability."

I've linked these statistics below.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?statistics_definitions.htm#UnderstandingProbability

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?statistics_definitions.htm#UnderstandingAverageTrade

If you have any other specific questions related to performance reports, it would be helpful to send us an email at platformsupport[at]ninjatrader[dot]com and include screenshots as well as your Documents\NinjaTrader 8\db\NinjaTrader.sdf database file so we can generate the reports on our end.

We look forward to being of any further assistance.

[iq200]

Hello iq200,

We are very sorry that this post was missed. While we are not sure what happened we are investigating and will be fixing any items which may have caused your post to go unanswered.


Gross Realized PnL in the Accounts Tab is the Realized profit or loss before commissions have been subtracted. In the Trade Performance window, this is calculated based on Trades that are generated by pairing executions. The math behind this is linked below.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?statistics_definitions.htm#UnderstandingGrossProfit

Trades in the Trade Performance window are generated by pairing executions together, and then statistics are calculated from these generated "Trades." The executions listed will be filtered by the dates you have specified, so overnight positions can appear as one end of a trade, but NinjaTrader may not be able to pair this correctly since the other execution is filtered. I generally suggest to start your Trade Performance reports from a point in time when you know you are flat to use this tool with consistent results.


Since the Gross Profit and Gross Loss statistics are specific to a collection of trades, we would not see a listing for individual trades that are listed in the Analysis grid viewing each trade.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?statistics_definitions.htm#UnderstandingGrossProfit

In NinjaTrader 7, this was possible to do with a "Group by ATM strategy" option. This is not available in NinjaTrader 8, but we are tracking interest behind this with the ticket ID SFT-1490. I have added a vote on your behalf.

We collect interest in feature requests before determining if the feature should be implemented. For that reason we cannot offer an ETA or promise of fulfillment. Upon implementation, the number for the ticket ID can be publicly found in the Release Notes page of the help guide. I will provide a link below.

Release Notes - https://ninjatrader.com/support/help...ease_notes.htm


Probability is based on the the likelihood that a trade will return the same PnL as the Average Trade statistic. From the Help Guide: "This is based on how many trade's PnL fall within a standard deviation of the Avg. trade. Student's t-distribution is used to find probability."

I've linked these statistics below.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?statistics_definitions.htm#UnderstandingProbability

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?statistics_definitions.htm#UnderstandingAverageTrade

If you have any other specific questions related to performance reports, it would be helpful to send us an email at platformsupport[at]ninjatrader[dot]com and include screenshots as well as your Documents\NinjaTrader 8\db\NinjaTrader.sdf database file so we can generate the reports on our end.

We look forward to being of any further assistance.

Hi Jim,
Thank-you for your reply. I will reply to you in more detail after I have looked through the details of the docs links you have sent me.

Regarding your answer to 2), I am sorry but what you are suggesting is not a solution to the problem at all. Infact it sounds like a hack to temporarily work around the bug I described!
If I generate a Trade report, I should be getting statistics for closed trades as well as a mark-to-market of open trades at the time of the report generation using the available market data at the time. That is what I have observed in other professional trading software. For example Tradestation works as I described, at least that is how I remembered it a few years ago... At the very least there should be an option to include open trades or not...

What you are effectively implicitly saying is that Ninjatrader is only a daytrading platform and cannot be reliably used as an investment or swing trading platform as the accounting side is unable to account for open trades over several days or weeks!!

Regards,
iq

[NinjaTrader_Jim]

Hello iq200,

Thanks for your feedback.

The Trade pairing from executions behavior is the same from NinjaTrader 7. There are limitations like mentioned when a report is created in the middle of an open trade. These limitations would be expected from a standpoint that the code is working within its design. That said, there is always room for improvement. We are tracking interest in improving Trade pairing in the Trade Performance window so it finds all entry executions for Trades in a performance report. The ticket ID for this request is SFT-3514. I have added a vote on your behalf and I have included your feedback as well.

Let me know if you have any other questions in this thread.