Combined results on optimizer incorrect

[GiantHogweed]

I like the new combined results feature, but after optimizing on multiple securities, some of the calcs in the combined results line appear to be wrong. For example the Profit per month result appears to be an average, instead of a sum. Also the Cumulative Profit seems to have the same problem. I have not checked all of them tho.

[NinjaTrader_Jason]

Hello GiantHogWeed,

Thank you for reporting. We need to do some further investigating and we will come back to you once there is more information regarding the matter.

[NinjaTrader_Jason]

Hello GiantHogWeed,

Profit per month is calculated as follows:

(profit per month for 1st instrument * amount of trades for 1st instrument) + (profit per month for 2nd instrument * amount of trades for 2nd instrument) and so on.

This value will be divided by the total amount of trades for all instruments.

The same method is used for cumulative profit.

(cumulative profit for instrument #1 * amount of trades for instrument 1) + (cumulative profit for instrument #2 * amount of trades for instrument 2) and so on.

This value will be divided by the total amount of trades for all instruments as well.

[GiantHogweed]

Hi Jason,

Please take a look at attached screen shot. This is a simple strategy optimized for exactly one year. Total net profit of $79,400, yet the profit per month is only $1,545 which equates to approx $19K.....

Thanks.

[NinjaTrader_JoshP]

GiantHogweed,

Profit per month is not Net profit / 12 for a year. It is a weighted average calculated for the various profits of the trades.

The combined row's profit per month is calculated as follows:

[(ProfitPerMonth of Instrument 1 * Trades Count of Instrument 1) + (ProfitPerMonth of Instrument 2 * Trades Count of Instrument 2) + ... do the same for all instruments... ] / Trades Count of all instruments