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Help Guide Error: Definition of Profit in Points

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    Help Guide Error: Definition of Profit in Points

    Profit and Loss Calculation Modes:

    https://ninjatrader.com/support/help...culation+modes

    The definition of profit in points is documented with this definition:

    Code:
    (1 for Long position, or -1 for short position) * Quantity * (Exit Price - Entry Price - Entry Commission - Exit Commission) / (Exit Rate * Point Value) / Lot Size
    But this is not correct.

    This is only an issue with the documentation. NinjaTrader itself appears to report the correct values.

    I'm not quite sure what the correct equation should be to properly accommodate forex, but this one is clearly not correct.

    Example:

    Here's the output from a simple trade where I EnterLong on one bar and ExitLong on the next:

    Code:
    100: 11/8/2018 4:00:00 PM:  instrument='ES 06-19' entryPrice=2731.5 exitPrice=2748 quantity=1 marketPosition=Long entryTime='11/5/2018 4:00:00 PM' entryTime='11/6/2018 4:00:00 PM' profitCurrency=821.36
    100: 11/8/2018 4:00:00 PM:  LONG-PROFIT-POINTS  : 16.4272
    100: 11/8/2018 4:00:00 PM:  LONG-PROFIT-PERCENT : 0.00601398498993227
    100: 11/8/2018 4:00:00 PM:  LONG-PROFIT-CURRENCY: 821.36
    100: 11/8/2018 4:00:00 PM:  LONG-PROFIT-TICKS   : 65.7088
    This is for 1 ES futures contract where:
    • TickSize = 0.25
    • PointValue = 50
    • Commission per contract = 1.82

    Profit in Points is 16.4272.

    For a long trade in a futures instrument, the above equation should be more like:

    Code:
    = Quantity * ((ExitPrice - EntryPrice) - (EntryCommPerUnit + ExitCommPerUnit) / PointValue)
    = 1 * (2748-2731.5) - (2 * 1.82) / 50
    = 16.4272
    For a short trade then, I think it would be something like:

    Code:
    Quantity * (-1 * (ExitPrice - EntryPrice) - (EntryCommPerUnit + ExitCommPerUnit) / PointValue)
    Last edited by Steve L; 06-19-2019, 05:23 PM.
    Steve L
    NinjaTrader Ecosystem Vendor - Ninja Mastery

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