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Forums > Technical Trading > Trade Plans, Money Management & Risk Control
Subject: Things I need to evaluate tradeplans

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Optisizer
Posts:4
06-09-2008 5:18 AM Alert 
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
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Forums > Technical Trading > Trade Plans, Money Management & Risk Control > Things I need to evaluate tradeplans


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