In the first and second parts of this series, we both analyzed the code for developing a winning strategy and also showed how we can test this in TradersStudio. Now that we have run our simulation, we need to analyze the report to see how it performs overall. The reports that are generated are in an amazing level of detail so the best part is that no matter what the strategy, you’ll be able to analyze all aspects of it to figure out what might be its strengths and weaknesses. This last and final section of this series will show you how to do just that.
After the Session has run, individual stock reports can be displayed or the Consolidated Report can be displayed for the portfolio. The reports include the Summary Report, Percent Summary Report, Trade-by-Trade Report, TradersStudioTrade-by-Trade Report, Active Orders, Monthly Breakdown, Yearly Breakdown, and Correlation Report. A TradersStudio Stock Session has an extra report that an Equity Session does not have. Like a normal Equity Session, a TradersStudio Stock Session has a new “TradersStudio Trade-By-Trade Report” as well as the “Trade-By-Trade Report.”
The difference between the two reports is that the standard Trade-by-Trade Report shows the entries and exits using the split-adjusted numbers. The Trade-by-Trade Report –Real Price calculates the entry and exit prices based on an unadjusted price values. The trades are based on the TradersStudio contract values so the trades occur at the correct time and produce a correct net dollar value. Then, the entry and exit prices are adjusted to bring back the real entry and exit price so that percent returns can be calculated correctly.
The normal “Trade-by-Trade Report” uses the prices based on the Open, High, Low, and Close from the split-adjusted prices. In cases of stocks that have split many times, split-adjusted prices can be less than $0.10 and may represent stocks that were near $30.00 in real life. You can see that this can cause rounding errors.
There are several new columns in the report. This includes a Split column for stock splits that occurred during the trade. A column for Dividends is also included. You will notice that trade P/L’s do not match the price changes because TradersStudio reports all trade P/L’s on actual prices with adjustment for splits. The dollar values and percent return values in the TradersStudio calculations are correct to within rounding tolerances due to data issues.
This report is a Trade by-Trade – Real Price Report that shows the real entry and exits of the trades. For example, look at the AMAT trade entered on March 10, 1986 when one share was purchased at $27.50 followed by two shares sold on the exit at $9.28 each because a stock-split occurred during the trade. When split-adjusted analysis is performed, for example two shares were purchased on September 10, 1986 to adjust for the split of the original single share that was being traded.
The Active Orders Report is particularly useful for system trading. Using this report, a trader can prepare for tomorrow’s trading by having orders already in place when the market opens, which is a real benefit when using this adapted Crabel system. Most of the orders in the active orders list are stop orders designed to prevent disastrous losses from occurring if a major adverse move occurs.
This Active Order Report contains the orders that are to be placed for tomorrow. It also contains the number of shares to buy or sell. In our case, the orders are for protective stops set at 25% of the entry price for the open trades.
In a TradersStudio Stock Session, the reports are the same as a normal Equity Session. Let’s analyze the Consolidated Summary Report and the Percent Summary Report for the combined NASDAQ 100 stocks.
As the report shows, the results starting with one share of stock for each company and adjusting for stock splits, ended up trading a maximum of 288 shares (in this case of Microsoft® stock). This is an extreme example, but it illustrates the point of what can happen in the stock of a rapidly growing company. This system made $64,576.58 in our testing, while a Buy-and-Hold strategy made $63,021.44. The average trade profit was $7.95. On the summary report Yearly Return on Account is based on (Total Net Profit/Max Intraday Drawdown)/ Total Years. These numbers are not exactly what would be expected for Return on Account for stocks because of the way Return on Account is calculated. This is a legacy from TradeStation® since Return is not based on the amount required to purchase the share(s).
When this many trades are in a sample, confidence that the results are statistically valid is fairly high. Several times in this tutorial series, we have discussed the ‘Poisson distribution.’ With over 5700 trades across 100 stock issues, this system should produce robust results.
Let’s look at our Percent Summary Report. This report is a percent summation and is dollar averaged.
On the Percent Summary Report, the Buy-and-Hold strategy had a return of 440.12% compared to a return of 46122.11%! This means that percent-wise the strategy we just devised is 104x higher than the typical buy-and-hold.
In these last posts, we analyzed a winning automated system that can be backtested in TradersStudio. We also saw the power of TradersStudio as a tool to help people dream up strategies and test them out against an excellent historical data set. I would encourage all aspiring traders out there to take a look at this example and think to yourself: how could I improve this? What trades can you see that it made poor decisions on? Are there any? If you see some, what can be changed in the code? These are the types of questions you can ask yourself, and answer easily with TradersStudio. nike air max thea schwarz nike air max thea schwarz