This second part of our tutorial series will focus on using TradersStudio to handle split-adjusted data. The first part focused on why this was a problem (primarily how and why it’s handled in automated strategy testing). In this section, I will explain how TradersStudio helps you, the trader, backtest strategies properly and taking into account these issues.
In TradersStudio, the split-adjusted, dividend-adjusted, and unadjusted data is used in our analysis. The split-adjusted data and dividend-adjusted data allow TradersStudio to calculate where any entry point for a stock trading strategy would occur including the issues related to price breakouts with dividends. The unadjusted and split-adjusted prices are used to calculate the real entry price for every single trade. This information is used in our analysis so that position sizes can be correctly established. TradersStudio also includes a split and dividend report so it can be determined how these issues affect each trade and a historical report is generated so the results can be analyzed.
Using the current stock trading analysis in other programs, it is not possible to answer this simple question. “If I wanted to risk 2% of my account on each trade and started trading with $100,000 in 1990, what would my account value be today?” The stock analysis of TradersStudio lets you answer this type of question.
TradersStudio has solved these problems and can produce a historical split and dividend table for all of the stocks in your session. Many data vendors charge as much as $1000 per year for this type of historical service, but if you use CSI Data or data from another vendor that can produce Split-Adjusted, Unadjusted and Dividend-Adjusted data TradersStudio can give this additional information for free.
TradersStudio processes the three directories on the fly and does the analysis. Sample data for the Dow 30 and NASDAQ 100 was included with the product. This data was supplied by CSI.
Understanding TradersStudio Stock Analysis
Using Split Adjusted Data
Let’s look at TradersStudio advanced analysis for stock traders. To accomplish this we will use the sample data set up for this analysis that shipped with the program. To illustrate this point, this analysis will be done using Microsoft stock as the example because this stock has been split more than most others. The first step in this process is to create a new session and select TradersStudio stock as the Session type.
In this test, we are going to use a TradersStudio Stock Session and the QQQBreakoutLong system, which is an opening range breakout.
After you have filled out the box, click on Next.
The Contract Lot Size has been changed to 1 share in this test to make our explanation easier. We are also using .01 per share for commissions and .10 percent slippage. This means that for a $30 share of stock, slippage will be .03, which is a realistic estimate.
Since this example is for illustration of our point, select Microsoft stock from the NAS100SplitOnlyAdjust directory. After selecting the stock, you will be prompted that the session has been created and asked if you want to run it. Click on the Yes button to continue.
In the Run Session dialog box, enter .5 as the Mult Argument and click on the OK button to run the Session.
This summary report provides trading results in dollars. When using other platforms with split-adjusted data, this report is worthless. With TradersStudio, it has value because the dollar values are correct and closely match the results that would have been realized in real life. Entry and exit prices are real and the number of shares is adjusted when a split occurs during a trade.
A few things on this report are different from a standard report and need some explanation. First, you can see that the total dividend is a negative number. This raises the question how could dividends be a negative number. If you are short a stock when a dividend is paid, you need to pay it, and the dividend is subtracted from your trade P/L. Total Net Profit, Sum Dividends and Profit without Dividends are shown in this dollar based summary report. The calculation of Yearly Return on Account is another question that must be considered for this report. This version of the calculation is not what many stock traders would expect it to be.
Yearly Return on Account = (Total Net Profit / Max Intraday Drawdown) / (Years Traded)
In conclusion, we have shown how TradersStudio can handle split adjusted and dividend adjusted data in a correct manner. TradersStudio can help you build winning systems and test them correctly using available data from either commercial vendors or even using some of the freely available sample data with the product. It is vital that the reports on your automated systems take into account various factors such as splits and dividend payments as they will help determine the strategy’s success. nike air max gÃ¼nstig nike air max gÃ¼nstig