Cumulative Profit for a session

[Valyo]

Hello,

I would like to calculate Cumulative Profit per session and to compare it with a loss limit parameter.

What is the best way to calculate Cumulative Profit per session?

Thanks,

Valentin

[NinjaTrader_ChelseaB]

Hello Valentin,

The formula for Cumulative profit can be found in the NinjaTrader help guide statistics section which I am linking below.
http://www.ninjatrader.com/support/h...efinitions.htm

You would want to calculate this and store to a variable which would be reset on the start of a new session using Bars.FirstBarOfSession.
http://www.ninjatrader.com/support/h...rofsession.htm

[Valyo]

Hello Chelsea,

The strategy will run with ExitOnClose = false and CalculateOnBarClose = false. As I understand, I will need to reset the variable to 0 at FirstBarOfSession and FirstTickOfBar, and then to add profit for each new trade. Is it correct?

Thanks,

Valentin

[NinjaTrader_ChelseaB]

Hello Valentin,

Your understanding is correct.

If you want to reset on the first tick of the first session, this is fine to do. I didn't mention it because it is not likely a trade would enter and exit before the first bar closes, but it is a possibility.

[Valyo]

As I understand

Performance.AllTrades[ ... ].ProfitCurrency

is calculated for one traded unit, but

Position.GetProfitLoss(Input[0], PerformanceUnit.Currency)

is calculated for the whole position.

So if I want unrealized PnL for for one traded unit, I have to divide

Position.GetProfitLoss(Input[0], PerformanceUnit.Currency) / Position.Quantity

Is it correct?

Thanks,

Valentin

[NinjaTrader_ChelseaB]

Hello Valyo,

This is correct, however, this would not be reset for each new session. This would be cumulative for the entire time the strategy is running.

If you want to calculate per session you would need to store this calculated information to a variable.


(edit)
Also, when you mention one traded unit first, I want to be clear this is one trade and not one contract. The second mention would be one contract.

Performance.AllTrades[ ... ].ProfitCurrency -> one closed trade realized PnL
Position.GetProfitLoss(Input[0], PerformanceUnit.Currency) / Position.Quantity -> one contract of position unrealized PnL

[Valyo]

Hello Chelsea,

Here is what I read in NT Help:

ProfitCurrency

A double value representing profit in currency for one traded unit. Multiply this value by the trade Quantity to get the total profit in currency for the trade.

And this is from the example in NT Help:

// Calculate the PnL for the last completed real-time trade
double lastProfit = lastTrade.ProfitCurrency * lastTrade.Quantity;

So it says that

Performance.AllTrades[ ... ].ProfitCurrency

is for one traded unit and

Performance.AllTrades[ ... ].ProfitCurrency * Performance.AllTrades[ ... ].Quantity

is for the trade.

Which one is correct?

I store cumulative profit in a variable and reset that variable at each session start.

But I would like to calculate the final profit as

Cumulative Profit for the session + Unrealized PnL for the last position.

I test the strategy and

Position.GetProfitLoss(Input[0], PerformanceUnit.Currency) has very high values.

Is Position.GetProfitLoss(Input[0], PerformanceUnit.Currency) cumulative for the entire time the strategy is running?

How could I get unrealized PnL for the last open position only?

Thanks,

Valentin

[NinjaTrader_ChelseaB]

Hi Valyo,

You are correct about Performance.AllTrades[ ... ].ProfitCurrency that is only one unit.
(I was still thinking of CumProfit, sorry about that)

Position.GetProfitLoss() is for the open position. This includes all trades that are open but no trades that have been exited. This does not accumulate exited trades.

[Valyo]

OK, thank you. I understood why unrealized PnL is so high - I had to multiply price change by point value.

I have another question for this strategy - is it possible to flatten all on termination automatically?

I think about OnTermination() method - could I place ExitLong / ExitShort orders there?

Thanks,

Valentin

[NinjaTrader_ChelseaB]

Hi Valentin,

Yes, you can place exit orders in OnTermination to flatten on disable.