My condensed version of a Strategy Report - MultiCharts | futures io social day trading
futures io futures trading


My condensed version of a Strategy Report
Updated: Views / Replies:3,033 / 11
Created: by NW27 Attachments:2

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 2  
 
Thread Tools Search this Thread
 

My condensed version of a Strategy Report

  #1 (permalink)
Elite Member
Newcastle, Australia
 
Futures Experience: Intermediate
Platform: Multicharts 8 - Full Version
Broker/Data: IB
Favorite Futures: SPI,FTSE100, 6E, 6A
 
Posts: 285 since Oct 2010
Thanks: 108 given, 177 received

My condensed version of a Strategy Report

Hi All,

I have a couple issues with the back testing "Strategy Performance Summary"
  1. Excessive information spread over heaps of screens. Even after exporting to Excel
  2. There is no analysis of the Exits Strategies ie how many times the Initial Stop/StopLoss was hit, Breakeven hit, Trailing Stop etc
So to this end, I created a spreadsheet that loads in the information from a "Strategy Performance Summary" and produces a single page report with what I feel is the critical information.

Here is a sample -
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 2 users say Thank You to NW27 for this post:
 
  #2 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,230 received

Fantastic timing.

I am wondering if you could work some Excel magic for the Optimization report. I would like to build a custom Equity Curve in Excel for each run within the optimization report. This is because I want to optimize based on Equity Curve, and not based on net profit, win %, etc etc.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Take the above example, I would like to be able to visually glance at dozens or hundreds of EQ images and pick the one that is optimized "best" (closest) to the smooth linear blue line shown in my screenshot.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #3 (permalink)
Elite Member
Newcastle, Australia
 
Futures Experience: Intermediate
Platform: Multicharts 8 - Full Version
Broker/Data: IB
Favorite Futures: SPI,FTSE100, 6E, 6A
 
Posts: 285 since Oct 2010
Thanks: 108 given, 177 received



Big Mike View Post
I would like to be able to visually glance at dozens or hundreds of EQ images Mike

If there was some kind of a connection into the report, it may be able to be done. But I think it only generates the report and thus graphs after a optimization has been completed and the inputs selected.

I think we need some insights from Multicharts on how best to achieve this.

My condensed report, just rips apart an export excel export and condenses it.

Would this be better produced from within the signal ie generate a text file with the equity curve for this run and then change the input values and run again. Auto changing of the input values would be desirable along with the value some how used within the file name. I don't know if a refresh can be generated some how?

After that, reading the text file into excel and generating the charts could all just be the press of a single button.

Neil.

Reply With Quote
The following user says Thank You to NW27 for this post:
 
  #4 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,230 received


NW27 View Post
If there was some kind of a connection into the report, it may be able to be done. But I think it only generates the report and thus graphs after a optimization has been completed and the inputs selected.

I think we need some insights from Multicharts on how best to achieve this.

My condensed report, just rips apart an export excel export and condenses it.

Would this be better produced from within the signal ie generate a text file with the equity curve for this run and then change the input values and run again. Auto changing of the input values would be desirable along with the value some how used within the file name. I don't know if a refresh can be generated some how?

After that, reading the text file into excel and generating the charts could all just be the press of a single button.

Neil.

I've got an open PM request to enhance this:

https://futures.io/multicharts/18546-multicharts-pm-project-management-requests-you-want-bumped.html#post201001

As for exporting csv values from the signal, I am not sure what all would need to be exported to properly build an EQ in Excel. My head starts to spin when I try to graph that kind of stuff in Excel.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #5 (permalink)
 Vendor: www.multicharts.com 
Columbus, Ohio, US
 
Futures Experience: Intermediate
Platform: MultiCharts
Broker/Data: Multiple/Multiple
Favorite Futures: ES, EUR/USD
 
MultiCharts's Avatar
 
Posts: 168 since Oct 2010
Thanks: 74 given, 170 received

It's easiest for us to input logic for generation of the report inside the program. All the numbers are readily available in MC, just a matter of how to combine them and what to show. We also can't completely get rid of the one we currently have, as some people depend on it. So, there is a possibility, for an additional report. A complete schematic of what you want to see, a blue print, would be a start to looking at this.

MultiCharts - Raising the Trading Standard.
Please send me a private message if you have any further questions about MultiCharts
Reply With Quote
 
  #6 (permalink)
Elite Member
Newcastle, Australia
 
Futures Experience: Intermediate
Platform: Multicharts 8 - Full Version
Broker/Data: IB
Favorite Futures: SPI,FTSE100, 6E, 6A
 
Posts: 285 since Oct 2010
Thanks: 108 given, 177 received


MultiCharts View Post
A complete schematic of what you want to see, a blue print, would be a start to looking at this.

Perhaps a good start https://futures.io/multicharts/18569-my-condensed-version-strategy-report.html#post201208

Neil

Reply With Quote
 
  #7 (permalink)
 Vendor: www.multicharts.com 
Columbus, Ohio, US
 
Futures Experience: Intermediate
Platform: MultiCharts
Broker/Data: Multiple/Multiple
Favorite Futures: ES, EUR/USD
 
MultiCharts's Avatar
 
Posts: 168 since Oct 2010
Thanks: 74 given, 170 received

Is that the complete spec of what you want?

MultiCharts - Raising the Trading Standard.
Please send me a private message if you have any further questions about MultiCharts
Reply With Quote
 
  #8 (permalink)
Elite Member
Newcastle, Australia
 
Futures Experience: Intermediate
Platform: Multicharts 8 - Full Version
Broker/Data: IB
Favorite Futures: SPI,FTSE100, 6E, 6A
 
Posts: 285 since Oct 2010
Thanks: 108 given, 177 received


MultiCharts View Post
Is that the complete spec of what you want?

Yes but please add the below..

The chart is the close to close of the equity curve.
The Exit strategy section is a count of how many times a specific order label was generated.
As an example, I call the Long Trailing stops "TS_LX" and the shorts "TS_SX"
At the moment, in the all trades area of the spread sheet, I do a count to see how many times TS_LX is hit.
The idea being that I get a good feel for what is causing my trades to exit.
So in your Long and Short columns, where I just have the count, you could put (TS_LX) = 8 and (TS_SX) = 8
Ie put the order name in brackets and the count beside. I guess the same could also be done for the entry orders.

A two page report would be fine. Basically the area below the chart would all move to the second page.
This would allow the printing of all signal names being used by the system and their corresponding inputs. At the moment, the existing report (yours and mine) doesn't show what signals were used for this strategy. Just a long line of un-named parameters.

This now gives a single piece of paper (printing on both sides) with a very good feel of how good/bad the system is.

Actually, the average MFE and average MAE for long and shorts, would also be good to have displayed on the first page. This gives a good idea of Stoploss and trailing stop placement.

Neil.

Reply With Quote
 
  #9 (permalink)
Elite Member
Newcastle, Australia
 
Futures Experience: Intermediate
Platform: Multicharts 8 - Full Version
Broker/Data: IB
Favorite Futures: SPI,FTSE100, 6E, 6A
 
Posts: 285 since Oct 2010
Thanks: 108 given, 177 received


Big Mike View Post
Fantastic timing.

I am wondering if you could work some Excel magic for the Optimization report. I would like to build a custom Equity Curve in Excel for each run within the optimization report. This is because I want to optimize based on Equity Curve, and not based on net profit, win %, etc etc.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Take the above example, I would like to be able to visually glance at dozens or hundreds of EQ images and pick the one that is optimized "best" (closest) to the smooth linear blue line shown in my screenshot.

Mike

Hi Mike,
So how did you go with the above?
I've done some EL code that will generate a series of CSV files ie a MA cross over entry with a test of the MA from 10..30. This means 20 files each with it's own equity curve.
Turn the Strategy ON and let it go. Out pops 20 CSV files.
Neil.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Last edited by NW27; March 23rd, 2012 at 01:42 AM.
Reply With Quote
 
  #10 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,230 received



NW27 View Post
Hi Mike,
So how did you go with the above?

How so?

I created the project management request, requesting to be able to optimize against a linear equity curve with the smallest deviation from "perfect". Same request also asks to be able to see the EC at a glance from the optimization parameters result screen.

I am moving forward with a live market forward test of that strategy shown in my post. >100k trades in the last 2 years, and strategy performs similarly across different markets and time frames.

So I've not reached any conclusions just yet, not until after more forward testing in a cash market. The forward tests in a simulated market have been good.

Time will tell.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

Reply



futures io > > > > My condensed version of a Strategy Report

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
ZNano automated strategy (version 1) nanobiotech Elite Automated Trading 32 December 2nd, 2011 06:05 AM
Multicharts Strategy Report guppy Elite EasyLanguage Automated Trading 2 October 22nd, 2011 10:19 AM
Upgrading to Version 7 diverdan MultiCharts 14 July 19th, 2011 09:20 PM
Trying a MTF version of TSSuperTrend Trader.Jon NinjaTrader Programming 3 March 7th, 2011 09:33 AM
What Version of NinjaTrader are You On??? RJay Off-Topic 3 August 25th, 2009 10:20 AM


All times are GMT -4. The time now is 02:28 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-14 in 0.16 seconds with 20 queries on phoenix via your IP 54.221.76.68