Efficiency more than 100%

[nailz420]

Hi NT support,

When I check performance of my strategies I often see some points on the Exit/Entry/Total efficiency charts at higher than +-100%. How is that possible? Should that even be allowed?

Thanks,
Tim

[NinjaTrader_Matthew]

Total efficiency is calculated by
(exit price - entry price) / (maximum price seen - minimum price seen)


To help understand these results, can you tell me what the exit and entry price were for these trades?


Do you have any gaps in your historical data for CL 06-12?

[nailz420]

Total efficiency is calculated by
(exit price - entry price) / (maximum price seen - minimum price seen)


To help understand these results, can you tell me what the exit and entry price were for these trades?


Do you have any gaps in your historical data for CL 06-12?

Hi,

Here's an example for entry efficiency being >100% (645.45%). Please see attached screenshots.

Entry eff = (maximum price seen - entry price) / (maximum price seen - minimum price seen)
(maxprice - 104.7)/(maxprice - 103.39) = 6.4545
maxprice = 103.15

Please let me know if you need any other info on this.

Thanks,
Tim

[NinjaTrader_Matthew]

Hello,

Thank you for that screen shot - these results occurred near the roll over which might explain these results you're seeing.

Are you using backadjusted data? Can you please go to Tools--> Options--> Data tab--> set the merge policy to "Merge Non Back Adjusted" and re run the test - do you still see this +100%?