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Incorrect results with Strategy Analyzer on NinjaTrader
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Created: by bruno010 Attachments:2

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Incorrect results with Strategy Analyzer on NinjaTrader

  #11 (permalink)
Elite Member
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Thank you, Xplorer . I hope others will respond.

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  #12 (permalink)
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bruno010 View Post

I backtest a strategy with Strategy Analyzer on NinjaTrader. I have unexpected results to be true.
Example: In a month I get $ 1.523 796.00 !!! for the period 1 May 2015 to 29 May 2015 (1 month).
So I look at the details of the trades and I see that the results are wrong.
Example: - 3 Long (3 x 50000) on USDJPY with entry and exit 119.78 to 119.82. Normally, the real result is 4 pips only. The backtest result gives me a gain of 3 x $ 1997.00 !!!.

Attached 2 copies screen results (summary and detail).

How to interpret these results?. Where is the error.

Thank you for your explanations. ]

The result is correct, but your position isn't what you think it is.

First the math:
50000 x 119.82 - 50000 x 119.78 = $2000
$2000 - $3 commissions = $1997

Second step:
And now you can check if you really wanted to enter on 50000 x 119.82, let alone 3 times.

P.S.: To do a cross-check if it isn't only a faulty currency unit, select e.g. a €-denominated
asset like the CAC40 or the FDAX. If the analyzer unit stays $, the USDJPY result in the analyzer
(erroneously) is USD instead of JPY. You can also test that on sim.

Last edited by choke35; April 21st, 2016 at 04:26 PM.
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  #13 (permalink)
Elite Member
Marseille (FRANCE)
Futures Experience: Intermediate
Platform: Ninjatrader
Broker/Data: Global Futures
Favorite Futures: Forex + Stocks
bruno010's Avatar
Posts: 7 since May 2011
Thanks: 1 given, 3 received

It's OK, many thalnks

I just realized :

For a standard Forex lot (100000), the pip is worth 0.0001 for EURUSD, but for the USDJPY, the pip worth 0.01.
So for a lot of 50,000, the pip USDJPY worth 50,000 x 0.01 x 4 pips = $ 2,000 - $ 3 = $ 1,997.

Sorry for the confusion regarding the pip value relative to the relevant currency pair.

Thank you all for your answers.

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