Performance Results Net Profit vs Realized Profit in Control Center

[Brillo]

I ran a real time strategy with Playback Connection (Historical) and the Performance Results Net Profit don't match the Realized Profit in Control Center. It's not even close.
Control Center Net $4,837.50
Perf. Net Profit $13,862.50

287 trades.

I have Slippage set to 1 and IncludeCommission true.
I don't think I had commission set up for the instrument ( or playback connection ) but at $5 round turn that would only be $1,435.

Slippage on the market order entry would be $3,587.5 ( but that should have already been account for ). (exits are limit orders ). But even if somehow slippage wasn't accounted for that would not explain $9,025 difference.

I hope the strategy performance report is the correct one!
How can I tell? The trades list looks good.
I attached both, trades list and screen shot.

[NinjaTrader_PatrickH]

Hello Brillo,

Thank you for your post.

If there is only the one strategy running during the Replay of the Historical data and no manual trades are placed, then the Strategy Performance > Realtime Total Net Profit should match both the Strategy's Realized PnL and the Account's Realized PnL.

• When you right click on the strategy are you select Strategy Performance > Realtime, Historical, or Realtime & Historical?
• Do you have any other strategies running during the Replay of the Historical data?
• Do you place any manual trades during the Replay of the Historical data?

[Brillo]

Hi Patrick,

[*]When you right click on the strategy are you select Strategy Performance > Realtime, Historical, or Realtime & Historical?

Realtime.

[*]Do you have any other strategies running during the Replay of the Historical data?

No, no other strategies or manual orders. By the way, I'm not comparing the value of the Playback account... I'm comparing the value of the realized strategy PnL in the strategies tab of the control center with the net profit of the realtime performance report.

After I did that and opened this thread I re-ran the same backtest but this time I added 3 other instances of the same strategy. The 3 other instances had some minor changes: limit order to enter instead of market and a different primary series. One of them ran on the same series, same chart as the one with the problem only it had a limit order to enter instead of market.

The results for the 1st strategy where repeated exactly. Still a problem. The other 3 instances had no issues: the C.C. Realized matches the realtime performance net profit.

[*]Do you place any manual trades during the Replay of the Historical data?

No

[Brillo]

Patrick,
I have more info. Again, one of my strategies performance report net profit is significantly different than Control Center.

This time I don't think either is accurate because I've been watching the trades and they are only a few ticks different on each one from another one that's matching it's numbers just fine.

This time I looked more closely at the performance report. I looked at the trades list and noticed some strange trades in which positions exited by taking an entry order for the opposite direction. My strategy is not coded to do that. It must be flat to submit an order to enter. Also, these trades don't look like the ones in the chart in which the strategy is running. As I said, those trades look very good... lots of winners and no reversals that I could see.

Here's were it gets really strange. My primary series is Range 10 RTH. The strat loads a supplemental Range 20 ETH.

When I click on one of the trades in the performance report and view the chart for that trade, the chart shows the Range 20 supplemental chart and not the Range 10 primary.

That may just be a side affect of something else... I suppose that the strategy may still be receiving range 10 as the primary but NT7 didn't do that.

I attached a screen shot and circled the chart's data series. The chart that is Range 20 is the one opened from the strategy Analyzer.

[NinjaTrader_PatrickH]

Hello Brillo,

Thank you for your patience.

When you enable the strategy, what do you set the 'Start behavior' to? Does this differ from the other two strategies?

[ashmanz80]

Patrick,
I have more info. Again, one of my strategies performance report net profit is significantly different than Control Center.

This time I don't think either is accurate because I've been watching the trades and they are only a few ticks different on each one from another one that's matching it's numbers just fine.

This time I looked more closely at the performance report. I looked at the trades list and noticed some strange trades in which positions exited by taking an entry order for the opposite direction. My strategy is not coded to do that. It must be flat to submit an order to enter. Also, these trades don't look like the ones in the chart in which the strategy is running. As I said, those trades look very good... lots of winners and no reversals that I could see.

Here's were it gets really strange. My primary series is Range 10 RTH. The strat loads a supplemental Range 20 ETH.

When I click on one of the trades in the performance report and view the chart for that trade, the chart shows the Range 20 supplemental chart and not the Range 10 primary.

That may just be a side affect of something else... I suppose that the strategy may still be receiving range 10 as the primary but NT7 didn't do that.

I attached a screen shot and circled the chart's data series. The chart that is Range 20 is the one opened from the strategy Analyzer.

Hello,

From my experience to get the most accurate results, use high historical fill resolution (1 tick) and if possible use tick replay (you need to enable that from tools>options>

Using both will take much longer to back-test, but will likely get you the results your looking for.

[Brillo]

Hello Brillo,

Thank you for your patience.

When you enable the strategy, what do you set the 'Start behavior' to? Does this differ from the other two strategies?

I keep them all the same...

StartBehavior = StartBehavior.ImmediatelySubmit;

[NinjaTrader_PatrickH]

Hello Brillo,

Thank you for your patience.

May we schedule a support call to look into this further?

If so, please send us a note to platformsupport[at]ninjatrader[dot]com with 'ATTN: Patrick H' in the subject line and a reference to this thread in the body of the email.