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Nashville, TN
Experience: Beginner
Platform: NinjaTrader
Broker: NinjaTrader, Continuum Data
Trading: MES for now... baby steps
Posts: 322 since Feb 2022
Thanks Given: 230
Thanks Received: 631
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Do all trading platforms display accurate stats on trades? If so, do you have a workaround for getting accurate stats? Is it just Ninjatrader that has erroneous stats?
If you are unfamiliar with this problem, it is all about garbage in, garbage out. This problem starts with how they define "trade." If I place an order for 10 contracts of ES, I consider that one single trade. Ninjatrader does not. If the exchange breaks up my order to match with the other side, my 10 contracts will end up looking something like this:
2 contracts ES
1 contract ES
2 contracts ES
5 contracts ES
... for a total of 10 contracts. That one trade just resulted in 4 consecutive wins! LOL. NT recognizes that as 4 trades, all executed at the same time and price for entry and exit. This skews just about ALL data calculated on the trade performance summary page! Anything that relies on the "number of trades" for the calculation will be affected. Win%, Sortino and Sharpe ratios, MAE, MFE, largest consecutive winner/loser, and on and on. The NT Trade Performance summary tab is utterly useless if you trade with more than single contract trades. Is your platform the same way? Which one do you use? I've talked to NT support about this and they're dismissive. They deny responsibility, preferring to blame the exchanges. Given the complexity of trading platforms and the thousands of lines of code they had to write, one would think a few more to get the summary data right would be in order.
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