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Incorrect results with Strategy Analyzer on NinjaTrader
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Incorrect results with Strategy Analyzer on NinjaTrader

  #1 (permalink)
Elite Member
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Incorrect results with Strategy Analyzer on NinjaTrader

Hi,

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.
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  #2 (permalink)
Market Wizard
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bruno010 View Post
Hi,

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.


Hi Bruno, is this a simulation for futures, or is it a different financial instrument?

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  #3 (permalink)
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xplorer View Post
Hi Bruno, is this a simulation for futures, or is it a different financial instrument?

I think its the gopher....spot FX ..... U.S Dollar/Japanese Yen....USD/JPY

Ron

It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
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  #4 (permalink)
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Blash View Post
I think its the gopher....spot FX ..... U.S Dollar/Japanese Yen....USD/JPY

Ron

Thanks Ron, in that case I'll let someone else work it out!

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  #5 (permalink)
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xplorer View Post
Thanks Ron, in that case I'll let someone else work it out!

Yeah I am at a loss here don't know what to say.......lol.... except for backtesting is its own animal IMHO....

Ron

It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
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  #6 (permalink)
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In the list of trades it says the quantity is 50,000, not 3. Make sure the position size of your trades is correct.

Also, make sure your stops and target sizes are greater than the size of 1 bar, otherwise you will encounter the dreaded intrabar backtesting problem so common with Ninjatrader.

Also, if you are testing with any variation of Renko bars, this would help explain it as well. They backtest enormously well but don't yield the same results in live testing due to the way NT models historical market price action with Renko bars. Backtests with Renko bars just aren't reliable at all.

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  #7 (permalink)
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shodson View Post
In the list of trades it says the quantity is 50,000, not 3. Make sure the position size of your trades is correct.

I noticed that too, that's why I asked whether they're futures. 50,000 contracts with 4 ticks profit would not give 1,997 USD as profit.

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  #8 (permalink)
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bruno010 View Post
Hi,


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 !!!.


Yeah here is the part I don't get, in bold.....

Ron

It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
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  #9 (permalink)
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some clarifications

Hello everyone. Sorry I was not clear. Let me explain :

- the simulation concerns the Forex (USDJPY)
- Each entry has a quantity of 150 000, with three targets of 50,000 each.
- on a buying position, I had an entry at 119.78 and an exit at 119.82 (4 pips).
- The simulator gives me a gain of $ 1,997.00 !!!.

Why ?.

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  #10 (permalink)
Market Wizard
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bruno010 View Post
Hello everyone. Sorry I was not clear. Let me explain :

- the simulation concerns the Forex (USDJPY)
- Each entry has a quantity of 150 000, with three targets of 50,000 each.
- on a buying position, I had an entry at 119.78 and an exit at 119.82 (4 pips).
- The simulator gives me a gain of $ 1,997.00 !!!.

Why ?.

Hi bruno - sorry I can't help you - never traded spot Forex so I don't know what a pip equates to. I'm sure others are able to pitch in though.

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