Profit per Month

[jwitt98]

I'm trying to understand the profit per month metric in the backtest results as can bee seen in the attached png. I'm confused by the fact the the profit per month value is many times negative even though total net profit and cumulative profit are both positive values.
Is someone able to explain this?
Thanks in advance

[NinjaTrader_Jason]

Hello jwitt98,

Please see the link below under 'Understanding Profit Per Month' for the formula that is used.

http://www.ninjatrader.com/support/helpGuides/nt7/statistics_definitions.htm

Do you experience the negative value for the combined result row only?

[jwitt98]

I thought that the issue had occurred on other results besides the combined results, but I haven't been able to reproduce it, so it may just be on the combined results.

Are you suggesting that the combined results are calculated differently from the individual results? If so, what calculation is used for the combined results?

[NinjaTrader_Jason]

It seems to calculate differently. I assume it would take the average of all instruments. So add all values and divide it by the amount of instruments. However this does not seem to be the case. I tried different basket tests and manually calculated the average, but it does not add up. I tried currency, points and percent.

I will check with development how Profit per month is calculated for combined results.

[NinjaTrader_Jason]

My assumption of taking the average is incorrect. It is weighted by the number of trades per month. It uses the formula below.

(Profit * Trades) + (Profit * Trades) + (Profit * Trades) + (Profit * Trades) / Total Trades

If you like to calculate in Excel to verify, please see the link below.

http://support.microsoft.com/kb/214049

[jwitt98]

Thanks, it now makes sense...