about %cumulated profit logics (backtesting on futures)

[bbarroux]

Hi,

There is something I don't understand how the indicators of the performance tabs are calculated.
I'm backtesting a future strategy on dax. what i don't understand especially is the %cumulated profit, %max draw down... : how are those indicators calculated. I tried to change the accountsize and/or the quantity traded and/or the margin for the instrument, but the %cumulated profit will always remain the same. If i'm correct, this should be dependant of the initial cash value of the simulated account used for the backtest. How this value is calculated, and how may it be changed?

Thanks in advance

B.

[NinjaTrader_Dierk]

- Not sure what you mean by "indicators". There are no indicators on the performance tab/report.
- The nature of a percent value is that it's independent from the starting base, here: Initial Cash Value. Thus, you would not see any difference in the percentage values as you change the Initial Cash Value.

[bbarroux]

Hi Dierk,

Ok, i'll try to explain better.

By indicator, i just meant the value of the cumulated profit in the summary tab of backtesting (when set in percent mode)

The question I had is the following : When trading on a future i expect the %cumulated profit, or %max drawdown, or sharpe ratio, to be dependant of the initial cash value i have on the account. depending on how much cash i have on the account at the beginning of the test, i should get a different leverage. If I have a small amount of cash on the account, i should get a higher cumulated profit(%), for the same quantity traded. the max drawdown should increase as well. If the amount of cash is small enough, i may get, at some point of time during the backtest, an insufficient margin error (a drawdown > 100%). I was just wondering how all of this is reflected in the backtesting.

I hope those explanations are a bit more clear, unfortunately, i'm just the technical guy doing the programming.

[NinjaTrader_Dierk]

The performance values are independent from Initial Cash Value. They are solely calculated of entry price, exit price and traded quantity (and commissions if applicable). Thus backtest does not check for e.g. margin excess.

However, I can set the account size on the strategies properties dialog
- "Set order quantity" = "by account size"
- "Account size" = <your account value>
Please consult the docs for details: http://www.ninjatrader-support.com/HelpGuideV6/AccountSize.html