An idea for Trade Results Output

[jmayer]

Hi everybody.

It seems that trading output could be best described as a trade-off. I may get better equity increase but to do so I may have to suffer larger Drawdowns, etc.

I am always looking for something that allows me to easily compare two systems and have an idea for one. I would be interested in other's opinion of this idea, if for no other reason to let me know if my approach is off.

It would seem that every trader should basically be seeking the same thing, in that we would (I think) all like to see a nice straight upwardly sloping equity line. One way might be to simply (simple for me to say, maybe not so simple to implement in the software) do a linear regression analysis on the equity line? If the equation for the best straight line through the equity data points could be generated. both the slope and the and correlation could be computed. We would then have an easy measure of two critical pieces:

1) Trade equity increase rate consistency (r-squared)
2) Rise to run of the equity line (Slope)

In that fashion it would seem you could very easily compare system behavior.

Any thoughts?

[David Samborsky]

You could currently do this by exporting the equity chart and using Excel to do this.

Also it should be note that the Equity chart only shows the point at which trades are closed out so the equity chart does not represent time in a lear fashion.

Enterprise Version 3.4.3 can plot equity in detail on a bar by bar basis.

[jmayer]

Thanks for the feedback. That is a good point on the non-linearity of time.

As I thought about it some more, while I think it is a reasonable way to look at the overall, you still need to look at other things anyway. And you can do it in excel. as you say.

I can’t seem to find it now, but I think I read that you are planning to present open equity. I am personally really looking forward to that. I think it is really important because of psychological effects of reduced open equity.

By the way, I think you have an excellent product here. I have learned more important things about trading in 2 weeks than I had in the previous couple of years. And the manual is maybe the best I software manual I have ever seen.

Thanks again

Jeff Mayer

[David Samborsky]

Thanks for the positive feedback.

To view the open equity chart you need to have the Enterprise Version and you need to have downloaded the pre-release beta version 3.4.3 available from the download page.

To view the open trade equity first run a trade simulation and then bring the trade log window to the foreground. Right click anywhere on the trade log and select "Plot open equity chart for".

On this chart you can also view the closed trade equity on a bar-by-bar basis. This is the same as the close trade equity chart except that the non trading days are also included so you are able to view the time axis in a linear fashion.