Cumulative profit question

[diggerydoo99]

Hi I've attached a screenshot of two strategies. One has a net profit of $61,737 with a cum. profit of 125.94%. It is Es 1 contract with 10 entries per direction. The second has a net profit of $193,850. with a cum profit of 1,545.33%. It is also the ES 1 contract with 10 entries per direction. They are both long only strategies, the latter with a longer time frame. How is the cum. profit figured? The second strat has made roughly 3 times net profit yet the cum profit is over 10 times as high. Could anyone clue me in as to how this is figured?

Thanks

[diggerydoo99]

Screenshots

Sorry forgot to add the screenshot.

[NinjaTrader_PatrickH]

Hello diggerydoo99,

Thank you for your post.

The Cumulative Profit is figured using the following calculation for Percent: PRODUCT(1 + profit / entry price) of all trades - 1

For definitions and the formulas of each statistic please visit the following link: http://www.ninjatrader.com/support/h...efinitions.htm

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

[diggerydoo99]

thanks Patrick, that doesn't answer my question why do 2 strategies vary so much in net versus cumulative profit?

[NinjaTrader_Jason]

Hello diggerydoo99,

I notice in the screenshot that one strategy runs from 1/1/20011 up to 6/21/2013, the other test runs from 10/1/2011 up to 6/21/2013. So one test uses 10 more months of data to run the strategy, which likely causes the difference. Do you see similar results if you run the strategy on the same amount of historical data?

[diggerydoo99]

Hi, Jason

I ran both of the studies for the longer time frame 1/1/11 to present with similar results. Total net profit was 5 times on the Madivergence strategy but the cum profit was 28 times compared to the other strategy. I was wondering if using multiple contracts (10 per direction) has something to do with it. I don't know how this program computes profit, but obviously if you have 1 contract or 10 contracts it would make a difference in the basis for the computation.

Thanks again

[diggerydoo99]

Here are the 2 stats 1-1-11 to present

[NinjaTrader_PatrickH]

Hello diggerydoo99,

Thank you for your response.

Your results show a difference of 109 trades and 238 trades. If the timeframe of one is longer than another or you are using more contracts for entry you can see a difference in cumulative profit.

The Cumulative Profit is figured using the following calculation for Percent: PRODUCT(1 + profit / entry price) of all trades - 1

For definitions and the formulas of each statistic please visit the following link: http://www.ninjatrader.com/support/h...efinitions.htm

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