MSA - Market System Analyzer (www.adaptrade.com)
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MSA - Market System Analyzer (www.adaptrade.com)


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Created July 16th 2010 by PandaWarrior
Updated November 17th 2013 by solotrader
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MSA - Market System Analyzer (www.adaptrade.com)

  #11 (permalink)
Pacifica, CA
 
Trading Experience: Advanced
Platform: AmiBroker, TradeStation, NinjaTrader
Broker/Data: Options House
Favorite Futures: Futures, Stocks
 
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Trader.Jon View Post
Can MSA read in a .csv ? Not that I have done it, but I think Steamwriter should be able to export that value from your strategy to a text file, if it is something that you are already generating within a dataseries or plot ?? Just a hunch ..

TJ

Ahh cool, didn't know about StreamWriter. Yeah, I do manage my own stop price data series so maybe that would work. Thanks for the tip.

JD

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  #12 (permalink)
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Trader.Jon View Post
Can MSA read in a .csv ? Not that I have done it, but I think Steamwriter should be able to export that value from your strategy to a text file, if it is something that you are already generating within a dataseries or plot ?? Just a hunch ..

TJ

MSA imports via csv. So anything you can get out of ninja that is price related via csv, you can export to MSA, however, the fields they provide are limited so most of it is not used. I only import, entry, exit prices, entry/exit date and time, symbol, size, long/short, trade level P&L.

Simplicity is the ultimate sophistication, Leonardo da Vinci


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  #13 (permalink)
UK
 
Trading Experience: Intermediate
Platform: Ninja
Broker/Data: Mirus/Zen
Favorite Futures: Futures - bonds, currencies, index
 
Posts: 288 since Oct 2010
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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.

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  #14 (permalink)
UK
 
Trading Experience: Intermediate
Platform: Ninja
Broker/Data: Mirus/Zen
Favorite Futures: Futures - bonds, currencies, index
 
Posts: 288 since Oct 2010
Thanks: 70 given, 268 received

Incidentally writing your own data out from a strategy allows you to do something like this

If in the ninja optimiser, I can write out each optimised session and throw up a graph of parameter value versus profit to see whether there are profit plateaus - i.e. areas of parameters close in value that all result in a decent profit.

Sure you can see this to an extent in the optimiser window, but it's nice to have a graph, esp if there are pairs of parameters.

This sort of stuff would be an easy project for a new developer at Ninja ;-) ;-)

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  #15 (permalink)
Austin, TX
 
Trading Experience: Advanced
Platform: TradeStation
Favorite Futures: Futures
 
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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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  #16 (permalink)
Victoria, Australia
 
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PandaWarrior View Post
I exported friday's trades via CSV format, and then imported into the MSA software. Bear in mind its only 8 trades. But this is what it yielded in terms of output.

The export/import process took about 3-4 minutes total. Since it uses a field mapping tool, the process was super easy. The items not imported into the MSA I don't use anyway so no functionality was lost at least for me.

There are a number of set and forget settings in the software. 4 per point, margins, commissions, etc. I think if I just import the info from Ninnie, I'll get all this anyway. We'll see over time.

The MSA software does not allow for multiple targets on one trade. So if you wanted to calculate the total profit or loss on a multi target trade, you would need to input each trade manually and split out the contracts by target.

But since Ninnie calculates the average exit price, you could just use the Ninnie trade summary exit price as your MSA exit price on the entire position regardless of how many targets you had on any one trade.

The down side here is you don't get a measure of how often those extra targets are hit vs how often the first target is hit.

I think the upside to the software outweigh this small issue.

Also, in Ninnie, you must calculate the summary using currency instead of points, the mapping tool in the MSA has a field for profit/loss. It does not calculate the P&L using entry/exit prices. This is also a small issue in my opinion.

I've downloaded a trial copy of the software and will use it every day to track my trades. At the end of the 30 days, i will report on my experience and I will also post both my normal spreadsheet and the MSA results.


Hey Panda
How did you go with this software? Has it proven to be useful/user friendly?

thx

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  #17 (permalink)
Norwich, UK
 
Trading Experience: Beginner
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Did anyone take a look at the other piece of software made by Adaptrade? (Adaptrade Builder - Trading Strategy Discovery and Code Generation Tool)
it would be good to get some feedback about this product.

thx


Last edited by andby; January 16th, 2013 at 07:12 PM.
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  #18 (permalink)
London
 
 
Posts: 26 since May 2011


andby View Post
Did anyone take a look at the other piece of software made by Adaptrade? (Adaptrade Builder - Trading Strategy Discovery and Code Generation Tool)
it would be good to get some feedback about this product.

thx

https://futures.io/vendors-product-reviews/20119-programs-find-systems.html

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  #19 (permalink)
Amsterdam, The Netherlands
 
Trading Experience: Beginner
Platform: MultiCharts
Favorite Futures: Forex
 
Posts: 3 since Feb 2013
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RM99 - Did you get to try the Market System Analyzer for trade sizing with Trade Station?

Does it do the trick?
How easy was integration into EasyLanguage?
How much did it slow down backtesting?

Many thanks

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  #20 (permalink)
Cyprus
 
 
Posts: 68 since Jul 2013



hamstrus View Post
RM99 - Did you get to try the Market System Analyzer for trade sizing with Trade Station?

Does it do the trick?


Many thanks


There is no trick to trade sizing. You should not have to pay for software for doing that.

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