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StrategyAnalyser: 1) SR discrepancy 2) Average trade size

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  • NinjaTrader_Chip
    replied
    Hello

    When you cite a discrepancy, was it in the screenshot or was this on another item you were viewing?

    For the Sharpe Ratio calculation you will want to review the Statistics Definitions. Here you will find all the formulas:
    http://www.ninjatrader.com/support/h...efinitions.htm

    Leave a comment:


  • fx.practic
    replied
    Thank You. I am understand the reason. But, the understanding of the reason don't change inconvenience in convenience.

    I propose to make (1/Ticksize) decimal places visible for "Points". For example.

    Look at attach - this column is useless in this case.

    And what about first qestion (about Sharpe Ratio discrepancy)? It happens some times, what value is correct?
    Attached Files
    Last edited by fx.practic; 04-11-2011, 11:15 AM.

    Leave a comment:


  • NinjaTrader_Chip
    replied
    Hello

    Thank you for your note.

    In the upper portion of your screenshot, the decimal resolution does not show the numerical values past the 2nd decimal place. That is why 0.00 is shown. The ‘average trade’ calculation is the same. I have included the formula from the NinjaTrader 7 Help Guide for this metric.

    Average Trade
    This statistic returns a value representing the average profit you experience from all of your trades. It is useful for getting an idea of how much you could expect to earn on future trades.

    Currency: SUM(profit * quantity * point value) of all trades / # of trades
    Percent: SUM(profit * quantity / entry price) of all trades / # of traded lots
    Points: SUM(profit * quantity) of all trades / # of trades

    where profit is defined as (exit price – entry price) for long trades and as (entry price – exit price) for short trades, quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

    Leave a comment:


  • StrategyAnalyser: 1) SR discrepancy 2) Average trade size

    Please, look at screen in attach.

    1) What value is correct?

    2) Please, make average trade size visible!!!
    Attached Files

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