Strategy Performance Report

[agains]

Dear all,

I am a newbie to TradesStation 2000i.

As the attachment shown below, the difference between the Price from Column 3, cannot match with the Profits from Column 4.

Say, for Trade #1 Price difference = 23084.93 - 22750.311 = 334.6 . However, as shown in Contracts Profit Column, the figure is only 0.3346,

What is the reason for it?

Any help would be greatly appreciated.

 

[BigPointValue]

Hi agains

The key to understanding this part of the strategy performance report is a. understanding the layout of the report b. knowing the difference between the terms “Cum Profit” which means “Cumulative Profit” and “Profit” which is the lower row below “Contracts” c. Understanding how the number of contracts traded affects the report. So:-

1. In your first trade you will see that Price (22750 – 23084) equals “Contract Profit” = Cum Profit (.33460). This is because of the price of a contract. You have set the number of contracts traded to 1. For the purpose of the report you may wish to reset it to a higher number say 100.
2. In your second trade the “Contracts Profit” of .15960 is added to your previous cumulative profit” to make .49420 which is the new figure for cumulative profit. This new cumulative profit will be carried forward to Trade number 3.
This means that:
1. The contracts profit is a small multiple of the price difference in column 3l because of the small (in this case 1) number of contracts traded so it will not agree with the difference in column 3.
2. Columns 4 and 5 will only usually be the same on your first trade.
Hope this helps

BPV

 

[agains]

Hi agains

The key to understanding this part of the strategy performance report is a. understanding the layout of the report b. knowing the difference between the terms “Cum Profit” which means “Cumulative Profit” and “Profit” which is the lower row below “Contracts” c. Understanding how the number of contracts traded affects the report. So:-

1. In your first trade you will see that Price (22750 – 23084) equals “Contract Profit” = Cum Profit (.33460). This is because of the price of a contract. You have set the number of contracts traded to 1. For the purpose of the report you may wish to reset it to a higher number say 100.
2. In your second trade the “Contracts Profit” of .15960 is added to your previous cumulative profit” to make .49420 which is the new figure for cumulative profit. This new cumulative profit will be carried forward to Trade number 3.
This means that:
1. The contracts profit is a small multiple of the price difference in column 3l because of the small (in this case 1) number of contracts traded so it will not agree with the difference in column 3.
2. Columns 4 and 5 will only usually be the same on your first trade.
Hope this helps

BPV

Dear BPV,

Thank you very much for your help.

If I reset the number of contracts to 1000, the profit would become (334.6). However, the true figure should become (22750 – 23084)*1000 = (334600), after my adjustment to the number of contracts...

 

[trader27244]

Dear all,

Does anybody can value this performance report which attached?

 

[Glenn]

Dear all,

Does anybody can value this performance report which attached?

I'd say it's worth $0 - or less.

Glenn

 

[Charlton]

Dear all,

Does anybody can value this performance report which attached?

If you have access to the Tradestation support site you might like to view the archived webinar on Strategy Performance Report analysis

https://www.tradestation.com/support/webinars/archived_seminars.aspx

Charlton

 

[BigPointValue]

Hi Trader 27244

Understanding the strategy performance report is important. I also suggest you look at the archived webinar. Your results appear to be quite good though one would need to look at more of the report to come to a proper initial judgement. To be confident of your system going forward you would want to check the following:

1. Select a different time frame and see if the % winners and profit factor remain similar or at least acceptable.
2. Are your results simply due to "optimisation". This could result in what is known as "Curve fitting" and may mean that your results do not hold up in the future. if you have optimised then look at the parameters immediatly surrounding your optimised parameters, are they similar values.
3. Check consecutive winners/ consecutive losers and ask yourself "Would I continue trading this strategy in the future from a psychological point of view?".
4. Check your largest loser (could you handle this loss - especially if trading on margin).

Hope this helps.

BPV.