"You?ve done a great job of programming an exhaustive brute-force search of trading strategies. Likewise, the out-of-sample testing tools are robust."
- i...e, Forum, 9/25/2007
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The Result Windows allow users to investigate and confirm the quality of the trading systems through a back test. With hundreds of performance statistics and a wide variety of charts, users get a powerful evaluation of the historical performance of their trading systems.
: The Charts tab of the Detailed Analysis offers 24 unique charts, each providing different views of the data. These range from equity lines, trade returns, drawdowns, trade efficiency, excursions, and much more.
Performance Report: The Performance tab provides an easy-to-read analysis of the system. The most common performance values are displayed, and the full descriptions allow users to easily evaluate the quality of their system.
Summary Listing: The Summary tab can display the same performance values as the Performance tab; however, the summary tab displays the results of each Portfolio Size row-by-row. This layout allows the user to see how the performance of one Portfolio Size compares to another. Columns on the Summary tab are completely configurable, so you can even create your own performance metrics for display.
Detail Listing: The Detail tab of the Detailed Analysis provides a listing of all account activity, arranged by date. Whether the activity is buys, sells, or accrued interest, this listing provides the exact details of what took place on which date.
Trades Listing: The Trades tab is a sortable list of all positions held by the system. In this listing, one can easily view the Gain/Loss or Number of Days Held for any of the positions. Double-clicking on any of the positions brings up a chart of the position, with buy and sell dates indicated.
Monte Carlo Analysis: A Monte Carlo Analysis is based on 1000 or more scenarios of buying and selling the trades of your system in different sequences. Such an analysis can be helpful for identifying the probabilities of obtaining similar Annual Returns into the future.
Review Listing: The Review tab is a helpful tool that can be used to quickly identify the quality of your systems. The values are fully configurable, allowing you to define Excellent, Good, Neutral, Poor, or Fatal for any number of performance values. A quick look at the Review tab allows you to quickly see the strengths and weaknesses of your system.