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As I work on developing a strategy, I find myself working through multiple time frames, symbols, and entry and exit ideas. How do we keep track of all of these things long term?
So far, I am using a spreadsheet, with filters, so that I can easily compare like for like with different ideas. However, as this grows, I can see that being able to compare one test with another one is going to become a lot of work.
Thanks,
Rob
Can you help answer these questions from other members on NexusFi?
I'm sorry, I was unclear. I am specifically not talking about a "trading journal".
Is there such a thing as a "strategy journal" ?
Here's an example, all numbers made up.
some inputs :
entry: 9ema crossover close
exit: 200 sma close crossunder
filter 1: close price > 200sma
datetimefilter1 : rth
symbol: CSCO
timeframe : 1m
start date: 1 Jan 2000
end date: 30 Jun 2020
fees: zero
some outputs:
Net profit : 148
Profit factor: 2.3
Total Trades : 10
Win : 8
Lose : 2
%win : 80.00%
Avg Trade : +14.80
Avg Win : 27.65
Avg Loss : 36.60
R: .76
Days : 33
$ / day : 4.49
trades / day : .3030
And on and on and on. My Strategy report from MC is well and good, but I only capture a few variables out of it. Note, no Sharpe, no Sortino, no MAE, no MFE, none of that stuff.
And then, when it gets to be Sep 30 2020, and it is time for my "quarterly strategy review", do I need to go back and re-run all of these strategies by hand again, and copy the output into my spreadsheet? Seems like something that should be automated.
I realize that the "first step" would be to do export the strategy report to excel, and then use python or R to parse that into a database. I'm wondering if this is what everyone is doing, or is there already a product out there that not only takes the reports and ingests them, but also re-runs them in the backtesting tool, and then re-imports those changes.
