Profit Table Madness

Hi Crew,

A question about the profit table. I have read Tomaz post 'Math 101: Is profit table correct?'. My question is different in some respects and hence my post

Here is my situation

I look at a number of months with large negative returns. I note down the month/year and then go to the backtest report to look for those specific trades. What I am finding is that sometimes there are no trades that have exited in the month/year in question or the results are completely different (for example the profit table reports a -% for a month/year, and the actual trades that occured in that same month/year report a +% return.

How are the monthly figures in the profit table calculated and can I track down the specific trades that resulted in the month/year result?

Thanks in Advance

Profit/Loss table shows percent change (per month/year) of Equity array.
See Charts -> Reports Charts -> 3.0 Profit table .

eq = C;
// ....

if ( MonChange [ i ] || i == BarCount - 1 )// if new month or if last bar 
{
    //...
    // percent change of equity to last month value of equity
    Chg = 100 * ( -1 + eq[ i ] / LastMoValue );
    //...
}

Create/modify custom table to only show months were trade got exited (if that's what you want).

Plot open positions array to see when you are in/out of trade.

openpos = Foreign( "~~~EQUITY", "I"); // open positions

Create boolean array to pinpoint "out of trade".

Your misunderstanding and incorrect assumption is that profit table shows profits of exited trades. It is NOT. It only tracks changes in Portfolio EQUITY. And Portfolio Equity equals cash + current value of OPEN positions. It is "mark-to-market" account value.

1 Like

Hi Tomasz,

You are absolutly right. It is my incorrect assumption and misunderstanding of how this works. Thanks for taking the time to clarify it.

Cheers

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