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Compound option for strategies Discussão

Sep 01, 2010 at 21:56
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Membro Desde Aug 20, 2009   119 posts
Sep 01, 2010 at 21:56
As a good practice when I do the pre-livetest analysis of my strategies portfolio I do a compound sheet on Excel...
But the kind of compound I like is to compound in a serious way, just as if the EAs were trading all together at the account in real scenarios, and while all my EAs calculate lots based on current balance I really need to separate another column for each trade's percentile profit so then I can merge all the statements together to get the 'almost real' compound effect in the long run.
With this I can easily find which strategies are behaving just fine together and which I just don't have to put to work together if I don't want to suffer non-stipulated draw down moments... (for example, the effect of overpopulating your account with Asian scalpers is what i call a non-stipulated surprises...).
The pseudo-algorithm for this first step could be something like:
for i=0; i<=numlines; i++ do
  {
     percprofit = orderprofit/prevlinebalance;
     save percprofit on new column at this line;
  }
(each line contains each order date)

Now, with that data on each order on each strategy statement we can easily merge all the statements together just using the percentile values based on an X starting balance.
This is a really good addition for the strategies section IMHO and maybe it's easy to implement for you guys. What do you think?
Again, I own you a lot of hour of work since I use your great site for my analysis, thanks ;).
Keep up the good work.

JC
Mental note: do not abuse.
Membro Desde Oct 28, 2009   1435 posts
Sep 02, 2010 at 16:33
I use Strategy Manager to combine backtests and posted a request to allow Strategy Manager backtests to be uploaded ( they have a slightly different layout )

Suggestion with link to Strategy Manager is here.

https://www.myfxbook.com/community/suggestion-box/strategy-analysis-for-report-manager/42577,1
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Membro Desde Aug 20, 2009   119 posts
Sep 02, 2010 at 17:15
Thanks Steve, great software you got there. Nice catch i didn't know that one.
I've voted for your suggestion too.
Vouch for you for the soft recommendation.
Regards.


JC
Mental note: do not abuse.
Membro Desde Jul 31, 2009   1449 posts
Sep 06, 2010 at 08:22
Thanks for the suggestion JC!
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