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MSA - Market System Analyzer (

  #15 (permalink)

Austin, TX
Trading Experience: Advanced
Platform: TradeStation
Favorite Futures: Futures
Posts: 882 since Mar 2011
Thanks: 128 given, 714 received

Xeno View Post
For what it's worth, most of my ninja strats have a couple of options which switch on writing trade data to a file. I then have a load of perl scripts and gnuplot (for graphs) to analyse that data. This is not so much for doing clever things like removing outliers, but more for looking at graphs and stats for a portfolio, or a collection of walk forward sessions. Or for fixing obvious things that ninja stupidly doesn't do - like proper max drawdown over multiple instruments, or trades/day doing business days only.

What I would say, though, is that the Ninja output is perfectly sufficient in the vast majority of cases to tell whether or not your strategy is worthwhile to continue with. I wouldn't say buying an extra tool is suddenly going to make your optimisation and development process any better.

I have to do similar things with Tradestation by outputting to an excel spreadsheet.

The drawdown calculations in the performance reports are rarely to my liking/desire. I tend to like to see drawdown as a calculation based off localized equity on a trade close to trade close basis.

I also like to vary my position scaling and customize it. I might try out this optimizer, it'd probably save me some time and leg work by doing it manually in excel.

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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