4) Examining the Results

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StrataSearch contains two levels of results: the Combination Results Listing and the Detailed Analysis.  The Combination Results Listing displays the results of each system as a single line in a grid, allowing you to easily compare one system to another.  The Detailed Analysis, on the other hand, is an extensive investigation of a single system, offering charts, performance reports, Monte Carlo simulations, account money flows, detail trades listings, and more.

Results in StrataSearch are always saved automatically, and will be kept forever unless specifically deleted.  Thus, you can always close and reopen StrataSearch, and reexamine results you've created days, weeks, or even months earlier.

Combination Results Listing

Understanding Portfolio Sizes

Opening a Detailed Analysis

Viewing a Detailed Analysis

Managing Results

Combination Results Listing

To access the Combination Results Listing, open the Display > Combination Results menu.

On the Customize Results Listing window shown above, a number of settings are provided to help you filter which results from your database you'd like to display.  In this particular case, we want to display only the results from the Strategy we ran in Step 3.  First select Strategies as the Selection, and then select your Strategy from the dropdown list.

Make sure the Sector setting is either [All Securities / All Sectors] or the name of the specific sector you ran your Strategy against.  Next click OK to open the Combination Results Listing.

If you want to go back and revise the filters you entered on the Customize Results Listing, simply click the Custom... button in the upper right corner of the Combination Results.

The Combination Results Listing provides only a snapshot of each system, but it can be helpful for getting a brief overview of each system's quality.  By clicking on the column headings you can sort and rank the systems in many different ways. 

The View setting in the upper left can also be changed to select a different assortment of columns:

If you'd like to revise the columns in your View, or create an entirely new View, click the Views... button in the upper right section of the Combination Results Listing.

While the Combination Results Listing is helpful for analyzing first-level results, it is also the launching point for doing many additional things with the system results.  Right-click on any result to see the menu of options:

Some of the many things you can do by right-clicking on a result:

  • Get help for any of the columns.
  • Add personal comments specific to the individual results.
  • View the complete Entry and Exit String formulas.
  • Initiate a Walk-Forward Analysis.
  • Display a chart of the system's calculations.
  • Export the results to Microsoft Excel or another spreadsheet.
  • Run or view a Detailed Analysis of the specific result.

While many of the columns in the Combination Results Listing are self-explanatory, the concept of Portfolio Sizes may require some additional discussion.  Read on for more information.

Understanding Portfolio Sizes

You may have noticed columns on the Main view in the Combination Results Listing named 1PortAPR, 5PortAPR and 10PortAPR.  Each of these provides the Average Annual Return for a different Portfolio Size.  But what is a Portfolio Size?

Let's assume that we're running our Strategy against the S&P 500 Component Stocks.  We'll also assume that on the first day in the evaluation period, there were 87 buy signals.  What would we do with those 87 buy signals?  We certainly wouldn't want to enter positions in all of them, as the investment per trade would then become quite small and commissions would overwhelm our profits.  Instead, we need to identify the maximum number of positions we're willing to hold at any given time, and fill our portfolio with positions while bypassing the subsequent buy signals when our portfolio is full.

In essence, a portfolio is the collection of positions that are held at any given time, and the Portfolio Size is the maximum number of positions that can be held in that portfolio.  Having a specific Portfolio Size from the beginning to the end of your analysis is helpful for several reasons.  First, you can easily identify how much cash to invest in each position by dividing your available equity accordingly.  Second, you can ensure the number of positions held throughout your analysis remains static, preventing extraneous variables from skewing your results.  And third, you have the opportunity to identify the optimal Portfolio Size for your particular system. 

There are numerous factors that help determine the optimal Portfolio Size for any given system:

  • How many positions can the system maintain?  Some of the best systems might not produce a large number of buy signals, even if they're run against a relatively large sector.  For example, a quality system run against the S&P 500 Component Stocks may never produce more than 10 buy signals on any given day.  In such a case, using a Portfolio Size of 20 would mean 50% of your cash would always be on the sidelines.
  • How much cash do you have to invest?  If your starting equity is $5000, you might find that investing only $250 in each position when using a Portfolio Size of 20 simply makes it too challenging to overcome commissions.
  • How much diversity do you want?  Certainly investing all your cash into one position at a time (Portfolio Size of 1) will create the smallest loss due to commissions, but such an approach also has the least diversity.  It's always a good idea to distribute your cash among numerous positions rather than risk it all on one position at a time.
  • How many positions can you manage?  Many traders like to research their buy signals before entering the trade.  For example, you may want to examine broker recommendations, company fundamentals, or recent new stories.  All of this takes time, and traders need to choose a Portfolio Size that is manageable for them. 

From a processing perspective, the use of a portfolio is really quite simple.  StrataSearch will keep taking on positions until the designated Portfolio Size has been reached.  Only when a position is closed will the portfolio be freed to enter into a new position.  This rotating portfolio then continues throughout the life of the evaluation, always keeping the portfolio full with new positions as old ones are closed and new positions become available.

By default, StrataSearch will enter positions into its portfolio alphabetically according to the symbol.  Thus, if the portfolio has room for only one additional position, and there are buy signals for AAPL and MSFT, StrataSearch will select AAPL because it is the first alphabetically.  As you get more proficient with StrataSearch, you can customize the selection order by using the Rank field.  Using a Rank field allows you to define which symbols will be bought into your portfolio first.  For example, you can tell StrataSearch to first pull those with the greatest Momentum, or the least Volatility.

With all of this in mind, the column 1PortAPR in the Combination Results Listing is the Average Annual Return when the Portfolio Size is 1.  Likewise, the 5PortAPR is the Average Annual Return when the Portfolio Size is 5, and 10PortAPR when the Portfolio Size is 10. 

A portfolio simulates real trading, and it is integral to the back tests that StrataSearch creates.  For this reason, you will see Portfolio Size referenced throughout all of the StrataSearch results.  It's important to have a clear understanding of this approach.

Opening a Detailed Analysis

While the Combination Results Listing offers a brief snapshot of a system's performance, a Detailed Analysis offers an extensive evaluation.  Rather than forcing you to rerun your analysis multiple times if you wish to see reinvested versus non-reinvested profits, Monte Carlo simulations or alternate Portfolio Sizes, StrataSearch produces all reports at one time.  You can then focus your efforts on examining the results uninterrupted by the need to rerun your system.  All of these reports take significant time and disk space, however, so a Detailed Analysis must first be run before it can be viewed.

To run a Detailed Analysis on a specific result, right-click on the result in the Combination Results Listing and select Run Detailed Analysis:

After selecting Run Detailed Analysis, you'll see the Processor running the analysis.  This may take several minutes, depending on the size of the Sector and the length of the Evaluation Period.  When it has completed, the Processor will become idle, and you'll see a Y appear in the very first column of the Combination Results:

When a Y is available in the first column of the Combination Results, a Detailed Analysis has been run and is available for viewing.  You can then right-click on the result and select View Detailed Analysis:

As you get more proficient at StrataSearch, you'll learn that there are many tricks available to make this process easier.  For example, you can limit the range of Portfolio Sizes that are created in the Detailed Analysis, and this can greatly decrease the time it takes to create them.  See the Detailed Analysis tab of the Trade Settings for more information.  You can also submit multiple results to the Processor at one time.  Hold down the Ctrl-Key while highlighting multiple results, or hold down the Shift-Key while selecting a range of results, and then right-click on the group and select Run Detailed Analysis to send them all to the Processor at one time.

Viewing a Detailed Analysis

See the above step to create and open a Detailed Analysis:

While there is simply too much information in the Detailed Analysis to explain in any detail here, there is certainly some general information that will be helpful to know as you begin exploring.  First, notice the Report selection in the upper left section of the Detailed Analysis.  The following reports provide different views of your system:

  • Fixed Trade Equity: All trades are entered with exactly the same cash amount.  If sufficient cash is not available to enter a position, the trade will be bypassed.
  • Variable Trade Equity: Trades are entered according to a percentage of the current realized equity, so the trade amounts will increase as overall equity increases.  If sufficient cash is not available to enter a position, the position will be bypassed.  However, the amount invested per trade will also decrease if equity decreases, so it is less likely positions will be bypassed than with the Fixed Trade Equity report.
  • Trades Report: This analysis is based on accrued returns of individual trades, and therefore does not use equity.  Spread, Slippage and Commission (based on a percentage of return) are still included in the net results.  Likewise, a portfolio selection is also performed, showing which of the overall trades would have been purchased within the portfolio.  However, trades are never bypassed due to lack of equity, since overall account equity is not maintained or used in this report.
  • Settings:  The Settings Report displays the settings used to create the detailed analysis listing.

Some tabs contain a View selection, such as the Charts and Summary tabs.  Open the View dropdown and select from the many views available.

You'll also notice that the Portfolio Size is displayed on every tab.  Some tabs, such as the ones displayed in the examples above, allow you to set which Portfolio Size you'd like to view.  Other tabs, such as the Summary tab, allow you to see the results of all Portfolio Sizes together.  This can help you identify the optimal Portfolio Size for your particular system.

For more information on the Detailed Analysis, click the Help button in the upper right corner of the Detailed Analysis window, or see Detailed Analysis - General Information.

Managing Results

A Detailed Analysis can require a significant amount of disk space, so it's helpful to delete Detailed Analyses when you are finished with them.  You can delete Detailed Analyses by right-clicking on them in the Combination Results Listing and selecting Delete Detailed Analysis.

The Combination Results Listing can also become slow and inefficient if it grows too large.  For this reason, results should be cleared periodically to keep StrataSearch running smoothly.  There are several ways in which Combination Results can be managed:

You've now learned how to create and run a simple strategy, and how to examine the back test results.  While these are certainly great features that every technical analysis program should offer, we haven't yet explored the automation that gives StrataSearch its true power.  We'll begin exploring that next.

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Next Step: Using AutoSearch Automation

See AlsoCombination Results Listing, Opening a Detailed Analysis, Detailed Analysis - General Information