cumulative profit versus total net profit

[Ironplates]

when running the strategy analyzer and including multiple instruments the combined results in terms of total net profit and cumulative profit seem to be incorrect.

The combined result seems to be aggregating the total net profit correctly, however the cumulative profit seems incorrect. For example, the combined results for a strategy result reported total net profit of approximately $350,000; however the cumulative profit for the combined result was approximately 60,000.

the timeframe for this result was three months. I noticed the profit per month amounted for the combined result to be approximately $20,000.

Would I be correct to assume the cumulative profit for the combined result is the profit per month times the number of months 3? If so, this would explain the cumulative profit of $60,000.

Thank you for your time in advance in helping me understand the strategy analyzer combined result.

[NinjaTrader_PatrickH]

Hello Ironplates,

Thank you for your post.

The Total Net Profit is calculated as the Gross Profit minus Gross Loss.

The Cumulative Profit (when viewing results as currency) is calculated as the following equation: SUM(profit * quantity * point value) of all trades

And the Profit Per Month is calculated as the Cumulative Profit divided by the number of months.

For information on the Statistics Definitions please visit the following link: http://www.ninjatrader.com/support/h...efinitions.htm

Please let me know if I may be of further assistance.

[Ironplates]

how does the calculation for cumulative profits work when multiple instruments are involved relative to the combined results calculation?

[NinjaTrader_PatrickH]

Hello Ironplates,

Thank you for your response.

The Cumulative profit will include all instruments that you add to the backtest or optimization. It will be the same calculation.

Please let me know if I may be of further assistance.

[Ironplates]

well then the combined result for cumulative profit is incorrectly being reported. This should be changed in the next version.

I attached the strategy analyzer report where it indicates the problem I'm having with combined results cumulative profit and the sharp ratios all calculated 1.0.

[NinjaTrader_Joydeep]

Hello Ironplates,
Sharpe ratio is calculated from the standard deviation of monthly results. If there is not enough trade data (to calculate standard deviation) then it will return 1.

Please refer here to know how NinjaTrader calculates the combined cumulative profit

http://www.ninjatrader.com/support/forum/showpost.php?p=166602&postcount=5

Please let me know if I can assist you any further.

[Ironplates]

I presume the best way you could help me further is to help resolve the matter of fact that the cumulative profit is not being correctly calculated when a result reports multiple instruments.

[NinjaTrader_Joydeep]

Hello Ironplates,
In order to replicate it can you send a "toy strategy" and the exact steps to reproduce it.

The "toy" just means something that is a stripped down version that isn't necessarily the whole logic. It makes things easier to rout out.

Also let us know what values NinjaTrader returns and what value you would expect.

You can send the toy strategy and the details at support[AT]ninjatrader[DOT]com and please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

I look forward to assisting you further.

[ytrader]

Interested in results

Hi, I also incurred the same plonter with cumulative profit calculation.
They post the formula here: http://www.ninjatrader.com/support/h...efinitions.htm
I'm trying to calculate it as percent and it definitely doesn't do the right thing.
Did you get any solution? Will appreciate your reply.

[NinjaTrader_Bertrand]

Welcome to our forums - for Cumulative Profit in % mode you would need to keep in mind it would reinvest continuously - http://www.ninjatrader.com/support/f...3&postcount=10

[Ironplates]

no i did not, however, it has not proven to vital, otherwise i would have dumped the system.