However, when I compared my total net profit, as well as number of trades to what was shown in the Strategy Analyzer 'Summary' section for the same period, the numbers were off by about 15%.
I've discovered that the Strategy Analyzer shows not just the net results of the Trades but also of the Executions. After digging through the help guide, I found an important note:
"Note: Not all executions will have associated Order objects (e.g ExitOnSessionClose executions or AtmStrategyCreate() executions)"
So, I'm guessing the discrepancy is due to trades that were canceled on SessionClose. This means that I can't iterate through SystemPerformance.AllTrades to get a true result of the performance, right?
Looking at the available properties of Execution, here:
I don't see any way to get the net profit when there's no order available.
What is the best way to export all the executions to a .csv file that includes at least their timestamp and net profit?
Thanks!
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