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QPAS: Open Source Trading Journal w/ Performance, Risk, and Execution Analytics


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QPAS: Open Source Trading Journal w/ Performance, Risk, and Execution Analytics

  #1 (permalink)
Thessaloniki, Greece
 
Experience: Beginner
Platform: QTS
Broker: IB
Trading: Equities, NQ
 
Posts: 165 since May 2012
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QPAS: Open Source Trading Journal w/ Performance, Risk, and Execution Analytics

Hey futures.io (formerly BMT), long time no see! Today I open sourced a piece of software I think will be useful for a lot of people here so I thought I'd drop in...

When I was first starting out a couple of years ago I didn't really track my performance beyond the simple report that IB generates. Eventually I moved on to excel sheets which grew to a ridiculous and unmanageable size. I took a look at tradingdiary pro, but it wasn't flexible or deep enough for my requirements.

So I wrote my own: on the one hand I focused on flexibility in terms of how the data can be divided up (with a very versatile strategy/trade/tag system), and on the other hand on producing meaningful and relevant information that can be applied to improve your trading. Now I have ported it to WPF and removed a bunch of proprietary components so it can be open sourced. So...

I'm very happy to announce that the first version (0.1) of the QUSMA Performance Analytics Suite (QPAS) is now available. For an overview of its main performance analysis capabilities see the performance report documentation.

You can find a bunch of screenshots here.

The port is still very fresh so I'd really appreciate your feedback. For bug reports, feature requests, etc. you can either use the GitHub issue tracker, the google group, or this thread.

While the IB flex statements provide enough data for most functionality, QPAS needs additional data for things like charting, execution analysis, and benchmarking. By default it uses QDMS, but you can use your own data source by implementing the IExternalDataSource interface.

Currently the only supported broker is Interactive Brokers, but for those of you who do not use them, the statement importing system is flexible: see the Implementing a Statement Parser page in the documentation for more.

In general I designed the application for myself and my own style of trading, which means that some features you might expect are missing: no sector/factor attribution for stock pickers, no attribution stats for credit pickers, daily-frequency calculation of things like MAE/MFE (so any intraday trades will show zero MAE/MFE), and no option-specific analytics. All these things would be reasonably easy to add if you feel like it (and know a bit of C#), though.

Features:
  • Highly detailed performance statistics
  • Ex-post risk analytics
  • Benchmarking
  • Execution analytics
  • Trade journal: annotate trades with rich text and images

Requirements:
  • MySQL, or MariaDB, or SQL Server
  • QDMS (Needed only for some features: benchmarks, execution analysis, and charting)


Last edited by imPairsonator; June 6th, 2014 at 12:52 PM.
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  #3 (permalink)
Chicago, Illinois
 
Experience: Intermediate
Platform: e*trade
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Trading: Options
 
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I've been meaning to upload my trading data into SQL and query it to see if there are any trends lol. Interesting concept, I will download it when I get a chance

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