EMP 1TO2 · Performance & execution review
The complete backtest
Every metric, recalculated from the trade ledger and fully interactive: 1,695 trades on 1-tick historical data with 2 ticks of slippage on every fill and commission included — split into in-sample and out-of-sample periods.
Hypothetical results. Everything on this page is a historical simulation (NinjaTrader Strategy Analyzer), not trading in a funded live account. Simulated fills can overstate or understate what could have been executed — liquidity, spreads, queue position and latency matter. The research process benefits from hindsight. Futures are leveraged and losses can exceed the capital committed. Past results do not establish future profitability. Full risk disclaimer.
Basis of preparation
How the backtest was produced
Performance analysis only — trading rules, signal logic and parameter values are proprietary and omitted.
| Item | Treatment |
|---|---|
| Strategy | EMP 1TO2 — fully automated NinjaTrader 8 strategy |
| Market / currency | NQ futures (E-mini Nasdaq-100), US dollars |
| Simulation | NinjaTrader Strategy Analyzer backtest on 1-tick historical data |
| Sizing | One contract per trade; never more than one open position |
| Costs | Commission $5.76 per trade ($9,763.20 total), already inside every trade's P&L |
| Slippage | 2 ticks on every eligible fill (platform total 1,416 points) |
| Configured window | 1 Jan 2021 – 29 Oct 2026 |
| Recorded trades | 20 Sep 2021 – 27 Oct 2026 (first to last exit) |
| Capital | Dollar results are primary. $100,000 is an illustration only. |
| Aggregation | By exit date; Monday-start weeks; calendar months |
Data granularity
Every trade was simulated on 1-tick data — the finest historical price ordering NinjaTrader offers — rather than minute bars, so the sequence of stop and target touches inside a minute is resolved tick by tick. The headline run charges 2 ticks of slippage on every eligible fill.
Simulation integrity
Tick data improves price ordering but does not reconstruct bid/ask, queue priority or latency, and is not by itself proof of the absence of look-ahead bias. Those limits apply to every backtest; the execution section below shows how the backtest behaves when fills are made deliberately worse.
In-sample / out-of-sample validation
Built on the first 70%, tested on the last 30%
The recorded history is split chronologically by elapsed time: the first 70% is in sample (IS), the final 30% out of sample (OOS). Boundary: 16 Apr 2025. Exits before the boundary are IS; at or after it, OOS. No trade spans the boundary.
Closed-trade equity with the chronological split
IS net $166,157.16 + OOS net $73,679.64 reconciles to the $239,836.80 total. The OOS segment continues from the IS ending equity in the full-backtest view; it is not a reset account. In the “in vs out of sample” view each segment starts from zero.
| Measure | IS: first 70% | OOS: final 30% |
|---|---|---|
| Share of recorded duration | 70.00% | 30.00% |
| Closed trades | 1,234 | 461 |
| Winners / losers / breakeven | 517 / 717 / 0 | 195 / 266 / 0 |
| Net profit | $166,157.16 | $73,679.64 |
| Gross profitable-trade P&L | $727,382.08 | $345,116.80 |
| Gross losing-trade P&L | -$561,224.92 | -$271,437.16 |
| Win rate | 41.90% | 42.30% |
| Profit factor | 1.2961 | 1.2714 |
| Average trade | $134.65 | $159.83 |
| Median trade | -$543.26 | -$685.76 |
| Average winner | $1,406.93 | $1,769.83 |
| Average loser | -$782.74 | -$1,020.44 |
| Payoff ratio | 1.7974× | 1.7344× |
| Breakeven win rate | 35.75% | 36.57% |
| Best trade | $4,464.24 | $5,054.24 |
| Worst trade | -$2,245.76 | -$2,535.76 |
| Max. closed-trade drawdown | -$12,686.72 | -$11,262.48 |
| Max. end-of-day drawdown | -$12,686.72 | -$8,549.00 |
| Net profit / closed-trade drawdown | 13.10× | 6.54× |
| Longest win / loss streak | 7 / 13 | 7 / 7 |
| Commission already included | $7,107.84 | $2,655.36 |
| Average holding time (minutes) | 61.97 | 62.36 |
| Long trades / net profit | 578 / $92,100.72 | 214 / $27,232.36 |
| Short trades / net profit | 656 / $74,056.44 | 247 / $46,447.28 |
| Consistency / pace | IS | OOS |
|---|---|---|
| Positive calendar months | 34 / 44 (77.27%) | 14 / 19 (73.68%) |
| Positive Monday-start weeks | 109 / 187 (58.29%) | 42 / 81 (51.85%) |
| Positive active days | 248 / 552 (44.93%) | 94 / 209 (44.98%) |
| Monthly P&L mean / sample SD | 0.8517 | 0.7468 |
| Net P&L per elapsed year | $46,533.02 | $48,146.69 |
| Trades per elapsed year | 345.6 | 301.2 |
How performance holds up out of sample
OOS remains profitable: $73,679.64 across 461 trades, with both long and short sides positive. Win rate rises from 41.90% to 42.30%; profit factor moderates from 1.2961 to 1.2714. Average trade rises from $134.65 to $159.83, and net P&L per elapsed year rises from $46,533 to $48,147.
Consistency is softer OOS: positive months 77.3% → 73.7%, positive weeks 58.3% → 51.9%, monthly ratio 0.852 → 0.747. OOS closed-trade drawdown is -$11,262 versus -$12,687 IS, though the shorter sample limits that comparison.
The strategy was selected on IS data and frozen before the OOS evaluation; this is the developer's statement and has not been independently audited. An untouched holdout reduces some research bias but cannot remove simulation or selection risk. Months and weeks that straddle the boundary appear in both segments.
1 · Executive performance summary
$239,837 across 1,695 trades
1-tick data · 2-tick slippage · one NQ contract · commission included.
The simulation earned $239,836.80 across 1,695 trades; both long and short subsets were profitable. Average wins exceeded average losses by 1.78×, which is what produces positive expectancy at a win rate below 50% — the median trade is a loss of $560.76. Headline dollar profit depends on contract size; percentage return depends on the assumed capital.
2 · Account growth
Pick a starting balance
Fixed one-contract sizing, no compounding. Choose an illustrative starting capital — the curve, yearly table and milestones recalculate.
| Year | Opening | Net P&L | Ending | On opening | On start |
|---|---|---|---|---|---|
| 2021* | $100,000 | $19,162.04 | $119,162 | 19.16% | 19.16% |
| 2022 | $119,162 | $48,481.28 | $167,643 | 40.69% | 48.48% |
| 2023 | $167,643 | $23,242.24 | $190,886 | 13.86% | 23.24% |
| 2024 | $190,886 | $55,898.36 | $246,784 | 29.28% | 55.90% |
| 2025 | $246,784 | $38,526.56 | $285,310 | 15.61% | 38.53% |
| 2026* | $285,310 | $54,526.32 | $339,837 | 19.11% | 54.53% |
- $150,00027 May 2022
- $200,0005 Jun 2024
- $250,00020 Dec 2024
- $300,00014 Apr 2026
*2021 and 2026 are partial years. Account values are arithmetic illustrations — no deposits, withdrawals, interest, taxes or fees are modelled. The chart records realised P&L at trade exits; open-position losses and margin pressure can be larger than closed-equity drawdowns.
3 · Yearly metrics
Profitable in 6 of 6 recorded years
Exit-year attribution; partial years are marked.
Annual net P&L
| Year | Net P&L | Trades | Win rate | PF | Trade DD | Pos. months |
|---|---|---|---|---|---|---|
| 2021* | $19,162.04 | 96 | 44.79% | 1.566 | -$6,719.32 | 4 / 4 |
| 2022 | $48,481.28 | 347 | 40.92% | 1.253 | -$9,392.48 | 9 / 12 |
| 2023 | $23,242.24 | 326 | 40.18% | 1.195 | -$9,282.04 | 7 / 12 |
| 2024 | $55,898.36 | 364 | 43.96% | 1.378 | -$12,686.72 | 10 / 12 |
| 2025 | $38,526.56 | 294 | 40.82% | 1.229 | -$10,115.32 | 8 / 12 |
| 2026* | $54,526.32 | 268 | 43.28% | 1.317 | -$11,262.48 | 9 / 10 |
| Year | Best month | Worst month | Month P&L ratio | Pos. active days |
|---|---|---|---|---|
| 2021 | $10,441.00 | $1,564.92 | 1.217 | 21 / 44 |
| 2022 | $11,143.72 | -$1,997.92 | 0.933 | 73 / 162 |
| 2023 | $7,111.44 | -$4,642.48 | 0.515 | 63 / 153 |
| 2024 | $15,052.32 | -$5,530.52 | 0.823 | 72 / 150 |
| 2025 | $13,870.68 | -$4,506.72 | 0.585 | 61 / 136 |
| 2026 | $13,255.68 | -$669.64 | 1.339 | 52 / 116 |
Within-year drawdowns reset the realised high-water mark at the start of each year; they are not the continuous full-history drawdown. The month P&L ratio uses the sample standard deviation of that year's observed months, with no risk-free deduction; partial-year ratios are not full-year statistics.
4 · Monthly metrics
47 of 62 months positive
Every calendar month with recorded coverage, Sep 2021 – Oct 2026.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | — | — | — | — | — | — | — | — | $4.4k | $2.8k | $1.6k | $10.4k | $19,162 |
| 2022 | $3.5k | $7.5k | -$1.3k | $10.9k | $11.1k | $3.5k | $4.9k | $1.2k | $3.8k | $5.7k | -$2.0k | -$401 | $48,481 |
| 2023 | $6.9k | -$38 | -$930 | $5.7k | $1.4k | $3.5k | -$1.2k | $7.1k | -$4.6k | $3.3k | $4.1k | -$2.0k | $23,242 |
| 2024 | $4.8k | -$1.6k | -$5.5k | $7.7k | $904 | $943 | $15.1k | $11.8k | $7.5k | $6.4k | $3.8k | $4.1k | $55,898 |
| 2025 | $1.2k | $7.5k | $6.8k | $5.3k | $226 | -$803 | -$617 | $9.6k | -$4.5k | $2.8k | $13.9k | -$2.9k | $38,527 |
| 2026 | $283 | $8.7k | $2.7k | $4.2k | -$670 | $6.4k | $7.0k | $6.1k | $6.5k | $13.3k | — | — | $54,526 |
| Monthly statistics | Result |
|---|---|
| Months / positive / negative | 62 / 47 / 15 |
| Mean / median | $3,868.34 / $3,772.42 |
| Sample standard deviation | $4,664.36 |
| Best / worst | $15,052.32 (Jul 2024) / -$5,530.52 (Mar 2024) |
| Average positive / negative month | $5,721.75 / -$1,939.02 |
| Longest positive / negative run | 14 / 2 months |
| Calendar-month P&L ratio | 0.8293; annual scaled 2.8729 |
Month-of-year seasonality
| Month | Total P&L | Mean P&L | Positive / observed |
|---|---|---|---|
| Jan | $16,732.08 | $3,346.42 | 5 / 5 |
| Feb | $22,014.68 | $4,402.94 | 3 / 5 |
| Mar | $1,773.28 | $354.66 | 2 / 5 |
| Apr | $33,828.16 | $6,765.63 | 5 / 5 |
| May | $13,011.64 | $2,602.33 | 4 / 5 |
| Jun | $13,433.48 | $2,686.70 | 4 / 5 |
| Jul | $25,189.04 | $5,037.81 | 3 / 5 |
| Aug | $35,884.68 | $7,176.94 | 5 / 5 |
| Sep | $13,002.08 | $2,167.01 | 4 / 6 |
| Oct | $34,312.88 | $5,718.81 | 6 / 6 |
| Nov | $21,330.88 | $4,266.18 | 4 / 5 |
| Dec | $9,323.92 | $1,864.78 | 2 / 5 |
Rolling 12 months
| Rolling-window measure | Result |
|---|---|
| Latest 12-month net P&L | $65,524.84 |
| Latest 12-month P&L ratio | 1.0647 |
| Minimum / maximum rolling ratio | 0.2668 / 1.4159 |
| Available rolling windows | 51 |
5 · Weekly metrics
151 of 267 weeks positive
Monday-start calendar weeks, including exits through Sunday. Filter by year, sort, and open every week.
| Measure | Result |
|---|---|
| Weeks / positive / negative / zero | 267 / 151 / 111 / 5 |
| Positive weeks | 56.55% |
| Mean / median | $898.27 / $517.40 |
| Sample standard deviation | $2,893.35 |
| Best week starting | 21 Sep 2026 · $10,508.16 |
| Worst week starting | 30 Dec 2024 · -$7,412.60 |
| Average positive / negative | $2,760.54 / -$1,594.63 |
| Longest positive / negative run | 8 / 5 weeks |
| Weeks below -$5,000 / above +$5,000 | 3 / 23 |
| Best week | Net | Worst week | Net |
|---|---|---|---|
| 21 Sep 2026 | $10,508.16 | 30 Dec 2024 | -$7,412.60 |
| 3 Aug 2026 | $9,645.44 | 24 Jan 2022 | -$6,763.36 |
| 2 Sep 2024 | $9,257.40 | 11 Mar 2024 | -$6,068.36 |
| 2 Feb 2026 | $8,505.12 | 17 Mar 2025 | -$4,857.28 |
| 12 Oct 2026 | $8,301.64 | 28 Feb 2022 | -$4,788.80 |
| 3 Nov 2025 | $8,240.88 | 27 Apr 2026 | -$4,494.56 |
| 31 Jan 2022 | $8,102.72 | 13 Oct 2025 | -$4,428.80 |
| 16 Mar 2026 | $7,661.20 | 28 Apr 2025 | -$4,306.52 |
| 29 Jun 2026 | $6,993.16 | 9 Mar 2026 | -$3,922.28 |
| 15 Jun 2026 | $6,906.96 | 24 Aug 2026 | -$3,713.80 |
| Week starting (Mon) | Net | Cumulative net |
|---|---|---|
| 20 Sep 2021 | $2,612 | $2,612 |
| 27 Sep 2021 | $2,394 | $5,006 |
| 4 Oct 2021 | $4,654 | $9,659 |
| 11 Oct 2021 | -$101 | $9,559 |
| 18 Oct 2021 | $283 | $9,842 |
| 25 Oct 2021 | -$2,686 | $7,156 |
| 1 Nov 2021 | $1,000 | $8,156 |
| 8 Nov 2021 | -$1,055 | $7,101 |
| 15 Nov 2021 | -$2,139 | $4,962 |
| 22 Nov 2021 | $3,783 | $8,746 |
| 29 Nov 2021 | $829 | $9,575 |
| 6 Dec 2021 | $533 | $10,108 |
| 13 Dec 2021 | $5,668 | $15,776 |
| 20 Dec 2021 | $698 | $16,474 |
| 27 Dec 2021 | $2,688 | $19,162 |
| 3 Jan 2022 | $5,832 | $24,994 |
| 10 Jan 2022 | -$102 | $24,892 |
| 17 Jan 2022 | -$810 | $24,082 |
| 24 Jan 2022 | -$6,763 | $17,318 |
| 31 Jan 2022 | $8,103 | $25,421 |
| 7 Feb 2022 | $3,472 | $28,893 |
| 14 Feb 2022 | -$1,385 | $27,508 |
| 21 Feb 2022 | $2,678 | $30,186 |
| 28 Feb 2022 | -$4,789 | $25,397 |
| 7 Mar 2022 | $4,484 | $29,881 |
| 14 Mar 2022 | $80 | $29,960 |
5 internal weeks have no closed trade and count as zero in the statistics. The final week is partial through 27 Oct 2026.
6 · Daily metrics
761 trading dates with a closed trade
Calendar exit dates. A positive mean coexists with fewer than half of active dates being profitable — the shape of a positive-payoff system.
| Measure | Result |
|---|---|
| Dates with a closed trade | 761 |
| Positive / negative active dates | 342 / 419 |
| Positive active dates | 44.94% |
| Mean / median active date | $315.16 / -$22.28 |
| Average positive / negative active date | $1,946.23 / -$1,016.17 |
| Best active date | 4 Aug 2026 · $7,117.72 |
| Worst active date | 31 Dec 2024 · -$4,253.04 |
| Trades per active exit date | 2.227 |
| Monday–Friday proxy dates | 1,332; 571 zero-P&L dates |
| Mean Monday–Friday proxy date | $180.06 |
By exit weekday
| Exit weekday | Total P&L | Active dates | Mean | Positive |
|---|---|---|---|---|
| Monday | $30,123.16 | 139 | $216.71 | 38.85% |
| Tuesday | $67,643.56 | 151 | $447.97 | 47.68% |
| Wednesday | $40,612.12 | 147 | $276.27 | 46.26% |
| Thursday | $54,251.20 | 156 | $347.76 | 49.36% |
| Friday | $47,206.76 | 168 | $280.99 | 42.26% |
Distribution of P&L on active exit dates
Equal-width dollar bins; labels show lower bounds. Hover a bar for its range. The Monday–Friday proxy includes holidays as zero P&L and is not a verified exchange-session count.
7 · Trade statistics
Lose small, win bigger
Average winner $1,506 versus average loser $847 — a 1.78× payoff that needs only a 35.99% win rate to break even.
| Measure | Result |
|---|---|
| Total / winners / losers / even | 1,695 / 712 / 983 / 0 |
| Net win rate | 42.01% |
| Winner P&L sum / loser P&L sum | $1,072,498.88 / -$832,662.08 |
| Profit factor | 1.288036 |
| Expectancy / median trade | $141.50 / -$560.76 |
| Average winner / average loser | $1,506.32 / -$847.06 |
| Payoff ratio / break-even win rate | 1.7783× / 35.99% |
| Win-rate excess over break-even | 6.02 percentage points |
| Largest winner / largest loser | $5,054.24 / -$2,535.76 |
| Longest winner / loser run | 7 / 13 trades |
| Sample standard deviation | $1,275.80 |
| Mean / median holding time | 62.08 / 36.45 minutes |
| Mean MAE / MFE / ETD | $644.33 / $994.92 / $853.42 |
| Mean trades per recorded week / month | 6.348 / 27.339 |
Net P&L per closed trade
Most trades cluster at a controlled loss; the right tail of winners carries the result.
Long and short components
Each side measured independently. Side-only drawdowns are larger than the strategy's combined -$12,687 — the two sides offset in time.
| Measure | Long | Short |
|---|---|---|
| Trades | 792 | 903 |
| Net profit | $119,333.08 | $120,503.72 |
| Winning / losing trades | 358 / 434 | 354 / 549 |
| Win rate | 45.20% | 39.20% |
| Profit factor | 1.333 | 1.254 |
| Average trade | $150.67 | $133.45 |
| Average winner / loser | $1,333.40 / -$824.94 | $1,681.19 / -$864.55 |
| Payoff ratio | 1.616 | 1.945 |
| Closed-trade drawdown | -$14,048.68 | -$22,166.24 |
| Max. winner / loser run | 8 / 9 | 5 / 12 |
| Commission | $4,561.92 | $5,201.28 |
| Mean holding minutes | 80.36 | 46.05 |
Realised long and short cumulative P&L
8 · Risk-adjusted performance
Ratios, tails and capital measures
Dollar P&L ratios and illustrative capital measures are kept distinct. No risk-free rate is deducted.
| Measure / convention | Result |
|---|---|
| Platform monthly Sharpe (NinjaTrader) | 0.79 |
| Platform annual scaled Sharpe | 2.74 (monthly × √12) |
| Calendar-month P&L ratio (62 months) | 0.8293 |
| Annual scaled calendar-month P&L ratio | 2.8729 |
| Annual daily P&L ratio (Mon–Fri proxy) | 2.0667 |
| Annual daily Sortino-style ratio (proxy) | 4.1074 |
| Platform Sortino / R squared / Ulcer | 3.00 / 0.98 / 0.01 |
| Illustrative $100,000 CAGR, configured window | 23.38% |
| Illustrative $100,000 CAGR, recorded span | 27.10% |
| Illustrative max. daily percentage drawdown | -7.41% |
| Illustrative Calmar (configured-window CAGR) | 3.1536 |
| Closed-equity recovery factor | 18.9046 |
| Daily percentage Ulcer, $100,000 proxy | 1.5898% |
| Daily 95% VaR / expected shortfall (proxy) | -$1,632.20 / -$2,260.56 |
| Active-date 95% VaR / expected shortfall | -$1,931.52 / -$2,614.17 |
| Daily proxy skew / excess kurtosis | 1.3464 / 3.7359 |
Reading these numbers
P&L ratios use dollar results at fixed size rather than returns on a verified capital base. Monthly standard deviation uses n−1; annual scaling uses √12 or √252 and assumes serial independence, which real P&L may not satisfy.
Daily statistics use all 1,332 Monday–Friday proxy dates including zero-P&L days. The Sortino-style denominator is the root mean square of negative daily P&L (zero for non-negative days). VaR and expected shortfall are the empirical 5th-percentile loss and the mean of days at or below it — historical descriptions, not loss limits.
Positive skew (1.35) is the signature of a system that cuts losers and lets winners reach target: the right tail is longer than the left.
9 · Risk and drawdowns
Worst realised drawdown: -$12,687
Realised equity only — open-position (intra-trade) losses are outside this reconstruction.
Select an episode to highlight it from peak to recovery.
| Peak | Low | Recovered | Depth | Days |
|---|---|---|---|---|
| 7 Mar 2024 | 3 Apr 2024 | 5 Jun 2024 | -$12,686.72 | 90 |
| 24 Dec 2024 | 6 Jan 2025 | 21 Feb 2025 | -$9,591.40 | 59 |
| 11 Jan 2022 | 28 Jan 2022 | 8 Feb 2022 | -$9,392.48 | 28 |
| 24 Nov 2025 | 8 Jan 2026 | 3 Feb 2026 | -$8,549.00 | 71 |
| 18 Feb 2026 | 12 Mar 2026 | 26 Mar 2026 | -$8,412.92 | 36 |
| 8 Feb 2023 | 14 Mar 2023 | 25 Apr 2023 | -$7,830.84 | 76 |
| 24 Apr 2026 | 3 Jun 2026 | 16 Jun 2026 | -$7,199.96 | 53 |
| 24 Feb 2022 | 4 Mar 2022 | 5 Apr 2022 | -$7,190.32 | 40 |
| 27 Jul 2022 | 17 Aug 2022 | 9 Sep 2022 | -$6,906.40 | 44 |
| 24 Apr 2025 | 25 Jul 2025 | 12 Aug 2025 | -$6,674.52 | 110 |
Deepest
-$12,686.72
7 Mar 2024 → 3 Apr 2024, recovered 5 Jun 2024 (90 days peak to recovery). Trade-by-trade maximum: -$12,686.72.
Longest
110 days
24 Apr 2025 → 12 Aug 2025, depth -$6,674.52. Depth and duration measure different risks.
Open at cut-off
-$2,143.80
Peak 22 Oct 2026, measured 5 days through the 27 Oct 2026 cut-off.
Peak = last date at the prior high; recovery = first later daily value at or above it; durations are calendar days including weekends. NinjaTrader reports 106.00 days maximum recovery time on its own time convention.
10 · Execution sensitivity
1, 2 and 5 ticks of slippage — paired trade by trade
Three runs of the same strategy on 1-tick data, changing only the slippage setting. They are compared on the 1,663 trades common to all three exports (20 Sep 2021 – 30 Sep 2026).
| Measure | 1-tick slippage | 2-tick (headline) | 5-tick slippage |
|---|---|---|---|
| Net profit (common trades) | $226,586.12 | $226,581.12 | $226,581.12 |
| Change vs 1-tick | — | -$5.00 | -$5.00 |
| Trades / wins / losses | 1663 / 696 / 967 | 1663 / 696 / 967 | 1663 / 696 / 967 |
| Win rate | 41.85% | 41.85% | 41.85% |
| Profit factor | 1.2782 | 1.2782 | 1.2782 |
| Average trade | $136.25 | $136.25 | $136.25 |
| Max. closed-trade drawdown | -$12,686.72 | -$12,686.72 | -$12,686.72 |
| Commission already included | $9,578.88 | $9,578.88 | $9,578.88 |
| Positive months | 46 of 61 | 46 of 61 | 46 of 61 |
| Positive weeks / active days | 147 / 335 of 749 | 147 / 335 of 749 | 147 / 335 of 749 |
| Trades with a different P&L vs 1-tick | — | 1 | 1 |
| Platform monthly Sharpe / Sortino (full export) | 0.77 / 2.90 | 0.79 / 3.00 | 0.77 / 2.90 |
| Platform total slippage, points (full export) | 695.5 | 1416.0 | 3477.5 |
| Platform trades / net (full export) | 1663 / $226,586.12 | 1695 / $239,836.80 | 1663 / $226,581.12 |
| Year | 1-tick | 2-tick | 5-tick | Change (5 vs 1) |
|---|---|---|---|---|
| 2021 | $19,162.04 | $19,162.04 | $19,162.04 | $0.00 |
| 2022 | $48,481.28 | $48,481.28 | $48,481.28 | $0.00 |
| 2023 | $23,247.24 | $23,242.24 | $23,242.24 | -$5.00 |
| 2024 | $55,898.36 | $55,898.36 | $55,898.36 | $0.00 |
| 2025 | $38,526.56 | $38,526.56 | $38,526.56 | $0.00 |
| 2026 | $41,270.64 | $41,270.64 | $41,270.64 | $0.00 |
| Component | 1-tick net | 5-tick net | Drawdown 1 / 5 ticks |
|---|---|---|---|
| Long | $122,542.96 | $122,542.96 | $14,048.68 / $14,048.68 |
| Short | $104,043.16 | $104,038.16 | $22,161.24 / $22,166.24 |
Why the slippage setting barely moves the result
NinjaTrader applies its slippage setting (in ticks) to market and stop-type fills, but its historical fill engine keeps the adjusted price inside the next bar's high–low range — and a single-tick bar has essentially no range. Limit fills are not subject to the setting at all. That is the most plausible reason five times the configured slippage changed only one fill.
So the honest reading is narrow: the backtest output is insensitive to this setting under historical fill conditions. It is not proof that live fills will be that clean — which is why the stress test alongside charges every trade extra ticks directly.
On top of the 2-tick slippage already in the backtest, charge every trade extra ticks on both entry and exit ($5 per NQ tick). The trade sequence is held fixed — an arithmetic overlay, not a rerun.
| Extra ticks / side | Cost / trade | Net P&L | Avg trade | Win rate | PF |
|---|---|---|---|---|---|
| Backtest as tested | $0 | $239,837 | $141.50 | 42.01% | 1.288 |
| +1 | $10 | $222,887 | $131.50 | 41.95% | 1.265 |
| +2 | $20 | $205,937 | $121.50 | 41.89% | 1.242 |
| +4 | $40 | $172,037 | $101.50 | 41.77% | 1.197 |
| +6 | $60 | $138,137 | $81.50 | 41.59% | 1.155 |
| +8 | $80 | $104,237 | $61.50 | 41.36% | 1.114 |
11 · Position size and account size
Size it, stress it
Every trade in the backtest is one contract, with at most one position open at a time. Use the sliders to scale the backtest to your account.
Linear scaling of the recorded daily P&L (20 Sep 2021 – 27 Oct 2026), fixed size, no compounding, no deposits or withdrawals. CAGR uses the configured 5.82-year test window. Fees, fills and margin do not necessarily scale with size; this is arithmetic, not a minimum-capital recommendation.
| Assumed start | Illustrative end | Total gain | CAGR* | Max. daily DD |
|---|---|---|---|---|
| $50,000 | $289,837 | 479.67% | 35.22% | -12.24% |
| $100,000 | $339,837 | 239.84% | 23.38% | -7.41% |
| $150,000 | $389,837 | 159.89% | 17.82% | -5.32% |
| $250,000 | $489,837 | 95.93% | 12.24% | -3.64% |
| $500,000 | $739,837 | 47.97% | 6.96% | -2.12% |
| NQ-equivalent multiplier | Scaled net P&L | Scaled trade drawdown |
|---|---|---|
| 0.1× (1 MNQ) | $23,983.68 | -$1,268.67 |
| 0.5× | $119,918.40 | -$6,343.36 |
| 1× | $239,836.80 | -$12,686.72 |
| 2× | $479,673.60 | -$25,373.44 |
Benchmark comparison: no aligned benchmark return series is used. Performance is assessed on absolute simulated P&L and the labelled account illustrations; a benchmark would require aligned dates, capital and return frequency.
12 · Reconciliation and metric conventions
Platform figures versus our recalculation
Every headline number is recalculated from the trade ledger. Where NinjaTrader uses a different convention, both are shown.
| Measure | NinjaTrader | Recalculation / treatment |
|---|---|---|
| Net profit | $239836.80 | $239,836.80; matches |
| Trades / wins / losses | 1695 / 712 / 983 | 1695 / 712 / 983; same counts |
| Commission | $9763.20 | $9,763.20; already in trade P&L |
| Profit factor | 1.29 | 1.288036; matches rounded output |
| Average trade | $141.50 | $141.50; matches |
| Win rate | 42.01% | 42.01%; matches |
| Max. realised drawdown | -$12686.72 | -$12,686.72; matches |
| Monthly Sharpe | 0.79 | 0.8293 calendar-month P&L ratio; different convention |
| Profit per month | $3924.37 | $3,868.34 mean of 62 calendar months |
| Sortino | 3.00 | Retained; independent daily proxy ratio 4.1074 |
| Average holding time | 62.09 min | 62.08 minutes from exported timestamps |
| R squared / Ulcer | 0.98 / 0.01 | Retained; exact platform reproduction not established |
| Max. recovery time | 106.00 days | Retained; daily episodes use calendar-date endpoints (longest 110 days) |
Additional platform statistics
The NinjaTrader Strategy Analyzer summary, as exported, for all trades and each side.
| Platform measure | All trades | Long | Short |
|---|---|---|---|
| Total net profit | $239836.80 | $119333.08 | $120503.72 |
| Gross profit | $1072498.88 | $477357.92 | $595140.96 |
| Gross loss | -$832662.08 | -$358024.84 | -$474637.24 |
| Commission | $9763.20 | $4561.92 | $5201.28 |
| Profit factor | 1.29 | 1.33 | 1.25 |
| Max. drawdown | -$12686.72 | -$14048.68 | -$22166.24 |
| Sharpe ratio | 0.79 | 0.54 | 0.39 |
| Sortino ratio | 3.00 | 1.41 | 0.83 |
| Ulcer index | 0.01 | 0.01 | 0.03 |
| R squared | 0.98 | 0.96 | 0.81 |
| Probability | 0.00% | 0.01% | 0.35% |
| Total # of trades | 1695 | 792 | 903 |
| Percent profitable | 42.01% | 45.20% | 39.20% |
| # of winning trades | 712 | 358 | 354 |
| # of losing trades | 983 | 434 | 549 |
| Total slippage | 1416 | 671 | 745 |
| Avg. trade | $141.50 | $150.67 | $133.45 |
| Avg. winning trade | $1506.32 | $1333.40 | $1681.19 |
| Avg. losing trade | -$847.06 | -$824.94 | -$864.55 |
| Ratio avg. win / avg. loss | 1.78 | 1.62 | 1.94 |
| Max. consec. winners | 7 | 8 | 5 |
| Max. consec. losers | 13 | 9 | 12 |
| Largest winning trade | $5054.24 | $4984.24 | $5054.24 |
| Largest losing trade | -$2535.76 | -$2525.76 | -$2535.76 |
| Avg. # of trades per day | 1.32 | 0.62 | 0.70 |
| Avg. time in market | 62.09 min | 80.36 min | 46.05 min |
| Avg. bars in trade | 38362.78 | 43371.07 | 33970.13 |
| Profit per month | $3924.37 | $1954.70 | $1977.06 |
| Max. time to recover | 106.00 days | 124.97 days | 613.15 days |
| Longest flat period | 13.04 days | 20.99 days | 29.99 days |
| Avg. MAE | $644.33 | $615.30 | $669.80 |
| Avg. MFE | $994.92 | $966.33 | $1020.00 |
| Avg. ETD | $853.42 | $815.65 | $886.55 |
| Total Fees | $0.00 | $0.00 | $0.00 |
Data checks completed: trade sequence, duplicates and missing values, non-negative holding times, price-to-P&L arithmetic, cumulative P&L continuity, commission totals, long/short decomposition and year/month/week/day totals all reconcile, with floating-point residuals below one cent. These are internal consistency checks on the exports, not an independent audit of the software or data feed.
Appendix A · Definitions
How every metric is calculated
| Metric | Definition |
|---|---|
| Net P&L | Sum of exported trade profit, already after commission; no second cost deduction. |
| Net winner / loser | Trade profit > 0 / < 0. Net win rate = winners ÷ all closed trades. |
| Profit factor | Sum of positive trade profit ÷ absolute sum of negative trade profit. |
| Payoff / expectancy | Average winner ÷ |average loser|; expectancy = total net P&L ÷ trade count. |
| Arithmetic break-even | |Average loser| ÷ (average winner + |average loser|). |
| Period P&L | Sum of trade profit by exit date; calendar months; Monday–Sunday weeks. |
| Monthly P&L ratio | Mean monthly net P&L ÷ sample monthly standard deviation (n−1); no risk-free deduction. |
| Annual scaling | Monthly ratio × √12; daily proxy ratio × √252. Not an independently observed annual Sharpe. |
| Daily Sortino-style ratio | Mean daily P&L ÷ √(mean(min(daily P&L, 0)²)) × √252, over every Monday–Friday proxy date. |
| Illustrative account | Assumed opening capital + cumulative realised P&L, with fixed one-contract sizing. |
| CAGR | (Illustrative ending ÷ assumed starting capital)^(365.25 ÷ elapsed days) − 1. |
| Dollar drawdown | Cumulative realised P&L minus its running maximum, including the initial zero. |
| Percentage drawdown | Illustrative account ÷ its running maximum − 1. The worst % need not coincide with the worst $. |
| Recovery / Calmar | Total net P&L ÷ |max $ drawdown|; illustrative CAGR ÷ |max % drawdown|. |
| Daily percentage Ulcer | Root mean square of daily percentage distance below the prior account peak, × 100. |
| Historical 95% VaR / ES | 5th percentile of daily P&L (linear interpolation); mean of all daily values at or below it. |
| Positive-period streak | Longest adjacent run with P&L > 0; negative uses < 0; zero breaks both. |
| MAE / MFE / ETD | Means of the exported maximum adverse excursion, maximum favourable excursion and end-trade drawdown. |
| Days to recover | Calendar days between the last daily peak and the first later daily value at or above it. |
| IS / OOS boundary | First exit + 0.70 × (last exit − first exit). Exit before = IS; at or after = OOS. |
Appendix B · Sources and verification limits
What the backtest is — and isn't
| Source | Role |
|---|---|
| NinjaTrader trade ledger — 2-tick slippage run | 1,695 closed trades; primary arithmetic source for every section |
| NinjaTrader summary — 2-tick run | Platform metrics for all, long and short trades; configured window |
| NinjaTrader trade ledger + summary — 1-tick run | Paired execution comparison |
| NinjaTrader trade ledger + summary — 5-tick run | Paired execution comparison |
Verification limits
No live brokerage statement, independent audit, raw tick files, contract-roll map, code audit or frozen-version hash is published here. The exports substantiate the reported outputs and their arithmetic; they do not certify fills you would receive live. Treat this as what it is — a rigorous, fully disclosed backtest — and size accordingly.
External definitions: NinjaTrader statistics definitions and historical fill processing guides; CME Group E-mini Nasdaq-100 contract specifications ($5 per tick, 0.25-point tick); CFTC advisory on trading systems sold online.
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