OmniTrader Upgrade Forums
Futures and Forex
Futures P&L Calc
1 replies, 1226 viewings
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OmniTrader Upgrade Forums
Futures and Forex
Futures P&L Calc
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Last Activity 10/1/2024 8:55 AM 1 replies, 1226 viewings |
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LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile |
After running a backtest and looking at the trades I find huge discrepancies in the trade GL$ in some cases but many are correct. Taking the eMini S$P500 for an example: The database is correct with $12.50/tick and $50/point. The chart is correctly showing trade ticks of .25 points. The first thing that catches my eye is the 2757.42. That is not on a tick. The calculation of $50/pt times 5 contracts is $14,895 but the sim output is $20,876.64, again way off as well as not multiple of tick value. (There is an even $3 commission per trade included or $30 in this case.) Is there a setting somewhere I'm missing? [Edited by LSJ on 8/31/2018 8:27 AM]  Attached file : Trade calc.jpg (46KB - 577 downloads) | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
I edited the price factor, tick, and contract size in the database and am now getting correct output in the P&L. The values were verified by exporting the trades to Excel and using a formula to reverse calculate the price factor and verifying it is correct. It adds another notch of confidence in the Port Sim results knowing that the calculations are correct. I believe the values in the database are from when N supplied futures data and may not match with other data vendors. |
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