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Compound option for strategiesThảo luận
Tham gia từ Aug 20, 2009
119bài viết
Jun 13, 2011 at 14:58
Tham gia từ Aug 20, 2009
119bài viết
Since now MyFxBook has lot more users I revive this suggestion i made several months ago, if this is innappropiate just delete it and sorry about it.
As a good practice when I do the pre-livetest analysis of my portfolio I do a compound sheet on Excel (now i've programmed my own compounder and merger)...
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...).
Steve Boardman (stevetrade) has also made a suggestion about accepting Report Manager's merged reports and that would solve the issue, but as far as i know Report manager doesn't use compound effect, it just merge the results of each backtest and trade profit/loss. That is great for fixed lot analysis. But I'm talking about percentages here.
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? I mean, not to use this strategies to show publicly but to offer this tool for the traders. It would be really useful.
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
As a good practice when I do the pre-livetest analysis of my portfolio I do a compound sheet on Excel (now i've programmed my own compounder and merger)...
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...).
Steve Boardman (stevetrade) has also made a suggestion about accepting Report Manager's merged reports and that would solve the issue, but as far as i know Report manager doesn't use compound effect, it just merge the results of each backtest and trade profit/loss. That is great for fixed lot analysis. But I'm talking about percentages here.
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? I mean, not to use this strategies to show publicly but to offer this tool for the traders. It would be really useful.
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
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