Probability 0% meaning

[matty89]

I've been back testing my strategy but on the strategy performance tab under Ulcer index it says "probability 0%".


What does this mean exactly? That the probability of these results occurring in a live environment would be 0%? Why is the probability literally 0% when I'm back testing on actual price data of the past? Is it because I'm running the back test on a demo account and not on a live account?

I've read the FAQ which says "This statistic determines how likely a trade is to occur that would return the same PnL as your Avg. trade. This is based on how many trade's PnL fall within a standard deviation of the Avg. trade. Student's t-distribution is used to find probability." but I just wanted to confirm.

[NinjaTrader_ChrisL]

Hi matty89, thanks for your note.

The statistic with included formula can be found here:

https://ninjatrader.com/support/helpGuides/nt8/?statistics_definitions.htm#UnderstandingUlcerIndex

Its a measure of "Downside Risk", which also has its own meaning. See this publicly available link to Investopedia:

https://www.investopedia.com/terms/d/downsiderisk.asp

Plugging in your actual trade results would answer why it is 0 with the given strategy results. I ran this on the SampleMACrossover strategy over a random data set and it returned 0.02 for the result, so this will work in a Simulation account.

Please let me know if I can assist any further.

[matty89]

Hi matty89, thanks for your note.

The statistic with included formula can be found here:

https://ninjatrader.com/support/helpGuides/nt8/?statistics_definitions.htm#UnderstandingUlcerIndex

Its a measure of "Downside Risk", which also has its own meaning. See this publicly available link to Investopedia:

https://www.investopedia.com/terms/d/downsiderisk.asp

Plugging in your actual trade results would answer why it is 0 with the given strategy results. I ran this on the SampleMACrossover strategy over a random data set and it returned 0.02 for the result, so this will work in a Simulation account.

Please let me know if I can assist any further.

I think you misread. I'm not asking about the ulcer index, I said "under the ulcer index" it says probability 0%. This is the one I'm asking about https://ninjatrader.com/support/help...ingProbability

What does it mean when you run your strategy and it says 0%?

[NinjaTrader_PaulH]

Hello matty89,

Thanks for your reply.

From the help guide the definition of Probability is: This statistic determines how likely a trade is to occur that would return the same PnL as your Avg. trade. This is based on how many trade's PnL fall within a standard deviation of the Avg. trade. Student's t-distribution is used to find probability.

You average trade is the sum of all trades pnl by the number of trades

So the probability of 0 means that it is not likely that a given trade would be equal to the determined average trade.

[matty89]

Hello matty89,

Thanks for your reply.

From the help guide the definition of Probability is: This statistic determines how likely a trade is to occur that would return the same PnL as your Avg. trade. This is based on how many trade's PnL fall within a standard deviation of the Avg. trade. Student's t-distribution is used to find probability.

You average trade is the sum of all trades pnl by the number of trades

So the probability of 0 means that it is not likely that a given trade would be equal to the determined average trade.

Sorry for the silly question, but does this mean that if it says 0%, then chances are if I run this strategy in the live market, I'll get drastically different results to what my back test average trade is?

[NinjaTrader_PaulH]

Hello matty89,

Thanks for your reply.

You should expect that each trade would not be the same as your average trade.

I would suggest running your trade in PlayBack with Market replay data to give you a better sense of live type performance.