WalkForward results and Commissions

[banteka]

Hello:

I have three questions about Walk Forward Optimization:

1.- Should I deduce the COMISSIONS results from the TOTAL NET PROFITS results in a Walk Forward Optimization or are the commissions automatically deduced?

2.- Why are commissions deduced TWICE in each trade?. I only pay ONCE for trade. I have set the commissions parameter as 4/1 (four dollars per 1 contract). I can see in the results pane how the Commissions colum contains double the commissions.

3.- Does the SLIPPAGE set to 1 in the Walk Forward Optimization means that if my Take Profit target is set to 8, in fact I only get 7 ticks in profit?. What about the Stop Loss set to 4 ticks?.

Thank you very much.

[koganam]

...

2.- Why are commissions deduced TWICE in each trade?. I only pay ONCE for trade. I have set the commissions parameter as 4/1 (four dollars per 1 contract). I can see in the results pane how the Commissions colum contains double the commissions.

They are not. Commissions are set per side, not per round trip.

[NinjaTrader_PatrickH]

Hello banteka,

Thank you for your post.

1. The commissions are deducted from the profit calculations when you go to Tools > Options > General > Apply Commissions to PnL Calculations > OK. Then Generate the report in Account Performance again.

2. Commissions are per side and not round trip.

3. Slippage effects historical backtests as it can help to attribute to a more realistic fill for trades. This also largely effected by the Historical Fill Processing Type selected (Default or Liberal). For information on slippage please visit the following link: http://www.investopedia.com/terms/s/slippage.asp

For your Profit Target question on slippage, Limit orders are not effected by slippage in historical backtest results.

Please let me know if you have any questions.