Performance Reports Backtesting

[Beauregard]

Hi

I have a few questions about the performance reports "Annual" (see tab "Periods") when executing a backtest

When we have "annual" selected, then we get one row for each year.

1. How exactly you calculate the cumulated profit in the column "Cum Profit" per year? I calculated it parallel and got other results.
In my strategy I have a few trades per year. How I calculate the profit:
I simulate the value of my portfolio,starting with 10'000 USD. If e.g. I enter long on 15th October 2017 with shareprice 100 and on 31th december 2017 the shareprice is 110, then my portfolio value is 11000.-. In 2018 there is no trade and the value of the share on 31th december 2018 is 120. The portfolio value therefore is 12000.-.
This means: During the year 2018 the portfolio value increased from 11000 to 12000 USD, which gives a year performance of 9.09%.
However it seems NT does not calculate it this way

2. how do you calculate the Maxdrawdown? You always take as starting point the entering of a position? This would assume that the trader enters the position only at this time.
An example to illustrate what I mean:
The signal says to go long on 15th of October 2017 with shareprice 100. Share price goes to 110, then to 90, then to 110 again by end of year.
As I understand you calculate DD=10%?


3. Is there a way to access this periods report information within the strategy?


thanks for your feedback!

[NinjaTrader_PatrickG]

1) A year is a calendar year (all of 2018, all of 2019, etc.), however, values will only be calculated based on when a trade is exited. So if I buy in Jan 2017 but don't exit until Dec 2018, there will be no yearly results for 2017, just 2018.

2) You are correct

3) Can you elaborate further on what you're trying to accomplish?

[Beauregard]

thanks for your feedback.
It's a pity that performance is calculated like this, because this way the performance cannot be compared to benchmarks. All benchmarks, index-fonds, etf etc calculate a yearly performance.
about 3) I do not need it anymore, because I cannot use these performance values, I have to write my own code to calculate yearly performance