- ago
Hello,

My feature request is that the calculation for profit % is scaled with a futures contract's multiplier. This would allow me to test a strategy using %ages on various contracts without having to manually change the range of the % for each different contract.

As it stands, the larger the multiplier for the contract, the larger the profit % shown in the backtest results. This means that any block that utilizes profit % is very difficult to calibrate.

Here is a picture of some results as an example. This is for Feeder Cattle, which has a multiplier of 50000.

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- ago
#1
Ok I just discovered that the profit % is related to the margin setting on the futures contract.

I guess I can change this from a feature request into a question: What is the meaning of the margin setting? I understand that it is a measure of the margin requirement for a contract, however, this value changes based on the value of the contract. Shouldn't this be a margin factor or something like that? I have not changed the margin setting on my futures contract settings because I do not understand how to do it properly, especially when backtesting over the history of a contract that will vary by orders of magnitude.
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- ago
#2
I guess I would prefer if the profit % reported remained stable regardless of the margin per contract. That is, it would tell you how much % movement in price you captured with a trade. Isn't that how profit % usually works with other instruments?

I am also assuming that this is the best way to backtest something. The profit % based on the movement of the price, not a factor of the margin or contract multiplier, is more statistically significant regarding prediction of the next price move. That is to say: A strategy should be looking at the P/L % in terms of contract price movement and not the multiplier/margin requirements.

Of course, maybe there is an application for either method. Perhaps this is a feature request after all.
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Glitch8
 ( 11.82% )
- ago
#3
The Profit % metric is intended to report the profit percentage you made on the trade, not the point profit percentage increase of the underlying.

But I recall we had at least one other user who wanted it reported the other way.
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- ago
#4
Yes, I think my main motivation for this is to be able to run a symbol by symbol optimization using the profit % block and have the results be coherent. If the profit % is so widely different, the range of % must be different for each symbol.

Or perhaps I should redesign and use a different block or configuration that I haven't thought of?
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- ago
#5
Some time ago, I created a change request about this:
https://www.wealth-lab.com/Discussion/Percentage-calculations-for-futures-trading-7514

Please vote on it…
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