To better evaluate my tradeplans I
would like to get hold of the following daily performance data:
Open
Position Equity
Closed Equity
(To calculate the average and
variance of the ratio between OPE and CE)
(Tip to other
developers out there. Getting a better grip of this number will
greatly help you understand and reduce your drawdowns, esp if you
only trade one sector with highly correlated instruments, such as
only currencies, or only energies...)
Total Margin Used
(To
calculate the average and variance of the ratio between TMU and
OPE+CE)
(Knowing your Margin-to-Equity ratio is essential and
absolutely necessary if you try to raise money on your hypothetical
performance alone...)
Also a summary number for Roundturns
Per Million
(To get a better feel for trading frequency
between of hypothetical strategies compared to actually traded
strategies)
Initialy it's ok if the above are cumulative
for all sessions making up the tradeplan, but eventually I would like
to see the same data for all sessions individually as well.
If
it's not possible for the timeseries to be exported into Excel for
the final analysis in that program, would it be possible to get them
added to the "Equity Report" tab when running any of the
percent risk scripts?
Anyone having any scripting ideas laying
around???
Thanks,
Thomas Stridsman
(This is my second posting of this. I have no idea where the first post went, but if it's in there somewhere too, I apologize for the repeat.)