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Updated April 22, 2016
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April 19th, 2016, 10:55 AM
Marseille (FRANCE)
Experience: Intermediate
Platform: Ninjatrader
Broker: Global Futures
Trading: Forex + Stocks
Posts: 7 since May 2011
Thanks Given: 1
Thanks Received: 3
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.
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
April 19th, 2016, 11:13 AM
London UK
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Posts: 6,011 since Sep 2015
Thanks Given: 15,579
Thanks Received: 15,535
bruno010
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?
April 19th, 2016, 11:31 AM
Chicago, IL
Legendary Market Chamois
Experience: None
Platform: NT8,NT7,TWS
Broker: InteractiveBrokers, S5T, IQFeed
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
xplorer
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
...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
The steed of this Valley is pain; and if there be no pain this journey will never end.
B uy L ow A nd S ell H igh (read left to right or right to left....lol)
April 19th, 2016, 01:28 PM
London UK
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Posts: 6,011 since Sep 2015
Thanks Given: 15,579
Thanks Received: 15,535
Blash
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!
April 19th, 2016, 01:54 PM
Chicago, IL
Legendary Market Chamois
Experience: None
Platform: NT8,NT7,TWS
Broker: InteractiveBrokers, S5T, IQFeed
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
xplorer
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
...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
The steed of this Valley is pain; and if there be no pain this journey will never end.
B uy L ow A nd S ell H igh (read left to right or right to left....lol)
April 19th, 2016, 02:57 PM
OC, California, USA
Quantoholic
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,710
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 [AUTOLINK]backtesting[/AUTOLINK] 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.
April 19th, 2016, 03:26 PM
London UK
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Posts: 6,011 since Sep 2015
Thanks Given: 15,579
Thanks Received: 15,535
shodson
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.
April 19th, 2016, 03:36 PM
Chicago, IL
Legendary Market Chamois
Experience: None
Platform: NT8,NT7,TWS
Broker: InteractiveBrokers, S5T, IQFeed
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
bruno010
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
...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
The steed of this Valley is pain; and if there be no pain this journey will never end.
B uy L ow A nd S ell H igh (read left to right or right to left....lol)
April 21st, 2016, 11:23 AM
Marseille (FRANCE)
Experience: Intermediate
Platform: Ninjatrader
Broker: Global Futures
Trading: Forex + Stocks
Posts: 7 since May 2011
Thanks Given: 1
Thanks Received: 3
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 ?.
April 21st, 2016, 01:22 PM
London UK
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Posts: 6,011 since Sep 2015
Thanks Given: 15,579
Thanks Received: 15,535
bruno010
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.
Last Updated on April 22, 2016