AvgProfit == Average Net Profit?

[aventeren]

Hello,

Yes, the gross profit will only include winning trades and the gross loss will only include losing trades.

I am not quite sure what you mean by defining the slippage. What code are you using to set this? How is this code being used in the script?

Thanks for the clarification on .GrossProfit and .GrossLoss.

In the NinjaScript Language Reference > Strategy > Slippage, it shows an example where Slippage can be defined within Initialize() like this:

protected override void Initialize()
{ 
    Slippage = 2; 
}

But where is the defined Slippage then applied (i.e. what TradePerformance metric)?

Thanks,

Aventeren

[NinjaTrader_ChelseaB]

Hello,

Yes, the gross profit will only include winning trades and the gross loss will only include losing trades.

I am not quite sure what you mean by defining the slippage. What code are you using to set this? How is this code being used in the script?

[aventeren]

Hi aventeren,


For the net profit I think you would also need to subtract any loss.

netProfit = Performance.AllTrades.TradesPerformance.GrossProfit - Performance.AllTrades.TradesPerformance.GrossLoss - Performance.AllTrades.TradesPerformance.Commission;

Thanks, Chelsea.

Could you please confirm that .GrossProfit only includes "winning" trades and .GrossLoss only includes "losing" trades?

Also, if we have defined slippage in Initialize(), how can we make sure that slippage has been properly deducted--and more importantly, where was it deducted (if at all)?

Thanks!

Aventeren

[NinjaTrader_ChelseaB]

Hi aventeren,

Thanks for the clarification.

So to return net profit for all trades, I would use something like the following?

netProfit = Performance.AllTrades.TradesPerformance.GrossProfit - Performance.AllTrades.TradesPerformance.Commission;

For the net profit I think you would also need to subtract any loss.

netProfit = Performance.AllTrades.TradesPerformance.GrossProfit - Performance.AllTrades.TradesPerformance.GrossLoss - Performance.AllTrades.TradesPerformance.Commission;

[aventeren]

Hello aventeren,

Thanks for your post.

The .AvgProfit does not include commission. You can access the commissions with:
Performance.AllTrades.TradesPerformance.Commission .

Thanks for the clarification.

So to return net profit for all trades, I would use something like the following?

netProfit = Performance.AllTrades.TradesPerformance.GrossProfit - Performance.AllTrades.TradesPerformance.Commission;

[NinjaTrader_ChelseaB]

Hello aventeren,

Thanks for your post.

The .AvgProfit does not include commission. You can access the commissions with:
Performance.AllTrades.TradesPerformance.Commission .

[aventeren]

Howdy--

Simple question: Does .AvgProfit return net profit, including deducts for commission and slippage if "Apply commission to PnL calculations" is checked in the Tools > Options ? General tab, a single side commission value is included in the Tools > Options > Commissions "Futures - Simulator" section (i.e., $2.50, which would be $5.00 roundtrip) and a Slippage value is included in Initialize() (i.e., "Slippage = 2;")?

Here is the NT .AvgProfit documentation:

AvgProfit
Definition
Returns the average profit of the collection.

Property Value
A double value that represents the average profit of the collection.

Syntax
<TradeCollection>.TradesPerformance.<TradesPerform anceValues>.AvgProfit


Examples
protected override void OnBarUpdate()
{
// Print out the average profit of all trades in currency
Print("Average profit of all trades is: " + Performance.AllTrades.TradesPerformance.Currency.A vgProfit);
}

If in fact .AvgProfit is average net profit, I might suggest that the NT documentation is amended to reflect that this is a net number if commission and/or slippage is included (per above?).

Thanks for your help,

Aventeren