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Spreadsheet with metrics formulas


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Spreadsheet with metrics formulas

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  #1 (permalink)
 romus 
Legendary Wicked Trader
Melbourne, VIC, Australia
 
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Hi,

Is anyone using and willing to share a spreadsheet with formulas to derive trading system metrics?
like Ratios, consec. win/loss etc?

Cheers,
romus.

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  #2 (permalink)
 kingoliver 
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Most people are using some form of 3rd party software that auto populates.

I will say, since you have ninjatrader listed as a used software listed in your bio, I truly wish they would update their performance tracking metrics.

If the numbers could measure 'flat to flat' it would be great. As the only way to get accurate numbers from them is to trade 1 contract, or a static amount each time (all-in/all out)

I find that detailed analysis by hand is cumbersome, and even exporting to a spreadsheet (this is how I would do this if I wanted specifically a spreadsheet) or using an online journal with metrics is just a much less labor intensive way of doing this.

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  #3 (permalink)
 deaddog 
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romus View Post
Hi,

Is anyone using and willing to share a spreadsheet with formulas to derive trading system metrics?
like Ratios, consec. win/loss etc?

Cheers,
romus.

Can you be a little more specific on what your input data would be and what you want out?

I have one for stocks


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  #4 (permalink)
 phantomtrader 
Reno, Nevada
 
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romus View Post
Hi,

Is anyone using and willing to share a spreadsheet with formulas to derive trading system metrics?
like Ratios, consec. win/loss etc?

Cheers,
romus.

It's easier to do that in TradeStation. In TradeStation you can download data directly from your charts. Then you can use Easy Language to test your strategies. TS has a huge library of math functions - it's essentially plug and play.

I don't use TS anymore because I don't need that capability. But I highly recommend TradeStation for any serious development.

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  #5 (permalink)
 romus 
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kingoliver View Post
Most people are using some form of 3rd party software that auto populates.

I will say, since you have ninjatrader listed as a used software listed in your bio, I truly wish they would update their performance tracking metrics.

If the numbers could measure 'flat to flat' it would be great. As the only way to get accurate numbers from them is to trade 1 contract, or a static amount each time (all-in/all out)

I find that detailed analysis by hand is cumbersome, and even exporting to a spreadsheet (this is how I would do this if I wanted specifically a spreadsheet) or using an online journal with metrics is just a much less labor intensive way of doing this.

I love doing things with charting packages as they are much faster to analyse - but not the same way and some detail is missing for my needs, e.g. trade the same day open to close... or even today close to n-day close.
I am using Strategy Builder and some results are cumbersome - compared to what I can get from Excel - which is closer to trading scenario I want to test.

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  #6 (permalink)
 romus 
Legendary Wicked Trader
Melbourne, VIC, Australia
 
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deaddog View Post
Can you be a little more specific on what your input data would be and what you want out?

I have one for stocks


Thank you for your answer and included example.
I am looking for more specific analysis - like analysing trades (from Excel column) and deriving metrics, similar to those we can get from NT at the end of backtest.


Probably few more than above - but just to illustrate what I need.

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 jmont1 
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romus View Post
Thank you for your answer and included example.
I am looking for more specific analysis - like analysing trades (from Excel column) and deriving metrics, similar to those we can get from NT at the end of backtest.


Probably few more than above - but just to illustrate what I need.

@romus the example makes it appear U have already have a version of this. May I rquest you share it and we can work from there?

I know someone whom is trying to analyze trades based on the MAE, MFE, ETD data.

I also had a sheet years ago. One of the things I liked about it was that the calculation for numbers excluded weekends. NT's includes the weekend for the # of days calculations.

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  #8 (permalink)
 romus 
Legendary Wicked Trader
Melbourne, VIC, Australia
 
Experience: Intermediate
Platform: NinjaTrader
Trading: SPI
 
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@jmont1,

Wow! That is another ball game - probably useful to squeeze out the juice! :-)

I am now analysing probability of scenario from A to B - and to get typical, selected (useful in my view) metrics using some simple formula, rather than column by column analysing each metric separately - it is time consuming!

There are better formulas - or programming - to get results automatically (like doing a SUM function for each column).
Trickier part is to get Consecutive winners/losers... when there are 10000 rows in a column.

In my calculations I have used No. of calendar days - now it is by No. of trading days - basically looking for best day to exit, regardless if Win, Lose or Draw.
Another advantage here is that the Day Of Week means - day of entry!
I have not done the 1R loss limit yet - although may not be that critical in this scenario as majority of them fit into 1R risk - some not - but if you trade overnight anything may happen and stop can go through...

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  #9 (permalink)
 romus 
Legendary Wicked Trader
Melbourne, VIC, Australia
 
Experience: Intermediate
Platform: NinjaTrader
Trading: SPI
 
Posts: 567 since Dec 2010
Thanks: 1,473 given, 2,161 received


phantomtrader View Post
It's easier to do that in TradeStation. In TradeStation you can download data directly from your charts. Then you can use Easy Language to test your strategies. TS has a huge library of math functions - it's essentially plug and play.

I don't use TS anymore because I don't need that capability. But I highly recommend TradeStation for any serious development.

Thank you for this info.
I do not have TS - although these days might be easier to get access via web platform..?
I have tired to find if they have the data for ASX stocks, which I mostly trade these days.
There is only info that stocks (and almost anything) can be traded - but do not specify which exchanges.

I do not think NT will get the Yahoo connection again...

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  #10 (permalink)
 phantomtrader 
Reno, Nevada
 
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Trading: ZN, ZB, CL
 
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romus View Post
Thank you for this info.
I do not have TS - although these days might be easier to get access via web platform..?
I have tired to find if they have the data for ASX stocks, which I mostly trade these days.
There is only info that stocks (and almost anything) can be traded - but do not specify which exchanges.

I do not think NT will get the Yahoo connection again...


You could call them to ask about the ASX stocks. TS is a big brokerage - I'm sure they offer everything. I think you can still get the developer's platform for $99/mo.

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