Strategy Performance Data appears to be Inconsistent.

[jpatri]

Strategy Performance Data appears to be Inconsistent.

Hello,
I have multiple strategies that I keep track of their daily performance with an Excel spreadsheet. I pull daily performance data from “Strategy Performance / Analysis / Net Profit”, each morning at 7:00am to see how the strategy would have done the previous day.
For some reason, the past “Net Profit”, changes periodically, which changes the performance of the strategy. I do not understand why the daily profit numbers would change if nothing else changes except the date I run the report.
For example the “Net Profit” for a particular strategy reported a $1471 profit for Thursday 06/11 when I ran the report Friday 06/12 at 7:00am. When I ran the report on Tuesday 06/16 at 7:00am and looked back through the numbers that same strategy reported a $2319 loss for Thursday 06/11.
I made no changes to the strategy or the chart settings.
Can someone explain what I am doing wrong. I would like to rely on these numbers to get an accurate picture of how each of my strategies would have performed over a given time period.

Regards,
Joe P.

[NinjaTrader_ChrisL]

Hi Joe, thanks for your question.

Look at the first and last trades taking place. You can compare trades by switching to the Trades view at the top left. I suspect there is a trade at the beginning throwing off the trade pairing (like an exit order at the beginning being counted as an entry).

I look forward to hearing from you.

[jpatri]

Hi Chris,

Thank you for your help. I checked the list of trades in the trade view using the exact same date range. The starting and ending dates, as well as all the dates in between match up perfectly, but the net profit amounts and accumulative totals are different.

Could this be related to slippage? In the Strategy builder under "more properties" I use a slippage setting of one. Could the way the software calculates slippage be related to this issue?
Joe P.

[NinjaTrader_Jim]

Hello jtparti,

The Trade Performance reports work by pairing executions together. If the report is started from a point where we are in a position, the first execution in the report will be an exit, which is then paired with the next execution which is an entry. This can cause the report to become skewed. I would recommend adjusting the start date so the performance report is started from a point in which you know you are flat to ensure consistency. Reviewing the Executions tab can help to see how the report starts and gets built.

If you are having further issues, could you send us your database file and include screenshots showing how you have set up your report? We could then give further insight on how the report is built.

You can do this by going to the Control Center-> Help-> Mail to Platform Support.

Ensure to check 'Database file' and ' Log and trace files' and include screenshots of the report, highlighting the discrepancy in question.. Please also include the text "Attn Jim/Chris 2614849"

As for slippage, this sets the amount of slippage that can be seen in a backtest, and is limited to the bar that is used to fill the order.

Understanding Historical Fill Processing - https://ninjatrader.com/support/help...lFillAlgorithm

We look forward to assisting.

[jpatri]

Hi Chris,
Thank you for your help. I have been tracking strategy back tests making sure that the position is flat each time as you subjected and that did the trick. All back test data is consistent!

I have a second question;
I would like to see the high and low of each trade in a back test. One direction is obvious when the trade hits the profit target or stop loss, but I would like to see how far in the other direction each trade went before the position closed. I have looked under Strategy Performance / Trades / Properties for a column that displays the high and low of a trade. Is there a way to see this for each trade?

Thanks!
jpatri

[NinjaTrader_Jim]

Hello jpatri,

You could consider using the MAE (Max Adverse Excursion) and MFE (Max Favorable Excursion) statistics to measure this.

Statistics Definitions - https://ninjatrader.com/support/help...efinitions.htm

If you have any new inquires, please do not hesitate to open a new thread.