RightEdge - The Ultimate Backtesting and Trading System Development Platform

System Results

The System Results screen contains a great deal of information and also a great deal of flexibility when deciding how to utilize the information.  This topic will deal with interpreting the information as well as managing it for your needs with features such as exporting and printing.  This section is broken up into two main areas.  The first area describes the functionality presented within the system results and the second area goes into detail about the information that is presented.

1.Manipulating System Results
2.Interpreting System Results

a. Summary

b. System Parameters

c. Position List

d. Trade List

e. Symbol Results

f. Scan

g. Charts

Manipulating System Results

When a simulation has completed, the system results are displayed in the document area of RightEdge.  The System Results document contains multiple tabs each assessing different aspects of the simulation.

System Results tabs are external plugins that can be toggled on and off.  See the System Results screen documentation for more information on loading plugins from third parties and toggling existing system result screens on and off.

Each tab contains features that are common.  These features can be accessed using a combination of items on the context menus and items in the main menu.  The statistics windows, which are those windows that contain textual information as opposed to graphical information, have ability to export to common formats as well as print.

When a grid is displayed, right click on the grid area.

sysresultspopupmenu

This context menu will allow for exporting.  Supported formats are tab delimited, CSV (common separated) and HTML.  This menu also facilitates displaying system results charts that are not displayed by default.  For more information on configuring system results default charts, see System Results Options.

Each of the grids can also be printed.  Select the desired tab and select Print... from the File menu.

The grids columns for the Trade List, Symbols Results and Scan tabs can also be manipulated and sorted.  To sort, click any of the column headings.  Click once to sort ascending and click the same column again to sort descending.  To move a grid column into another position, click the column heading and hold the left mouse button down.  Drag the column to the desired location and release the mouse button.

 

Interpreting System Results

Each tab represents the results of the simulation.  The textual versions of the result breakdowns are in the first four tabs titled Summary, Trade List, Symbol Results and Scan.  Click any of the areas to retrieve more information.

Summary

The summary tab contains a list of totals broken down horizontally into all trades (long & short combined), long only trades, short only trades and buy and hold.  The vertical breakdown groups information about this simulation into manageable categories.

Capital Summary

Starting Capital

The amount of capital set in the simulation to begin with.

Ending Capital

The total amount of capital that is in the account after all trades are placed.  This will include the starting capital.

Net Profit ($)

The total amount of profit or loss represented as currency.

Net Profit (%)

The total amount of profit or less represented as a percentage against the starting capital.

APR

The calculated annual percentage return of the profit or loss.

Exposure

The average exposure of capital to the market.

System Totals

Number of Trades

The total number of trades the simulation opened.

Maximum Profit

The highest profit achieved for all trades in the group.

Maximum Loss

The largest loss encountered over all trades in the group.

Average Profit ($)

The average profit from a currency standpoint over all trades in the group.

Average Profit (%)

The average profit from a percentage standpoint over all trades in the group.

Average Bars Held

The average number of periods that a position was held over all trades in the group.

Maximum Exposure

The maximum value exposed to the market represented as currency.

Max Exposure (%)

The maximum value exposed to the market represented as a percentage.

Max Exposure Date

The date when the maximum currency exposure occurred.

Max Exposure (%) Date

The date when the maximum percentage exposure occurred.

Max Drawdown ($)

The maximum drawdown encountered during this simulation represented as currency.

Max Drawdown (%)

The maximum drawdown encountered during this simulation represented as a percentage.

Max Drawdown Date

The date when the maximum currency drawdown occurred.

Max Drawdown (%) Date

The date when the maximum percentage drawdown occurred.

Winning Totals

Winning Trades

The number of trades where the profit is greater than 0.  Trades that break even are considered losing trades.

Winning %

The percentage of trades where the profit is greater than 0.

Gross Profit

The total amount of profit represented as currency.

Average Profit ($)

The average amount of profit represented as currency.

Average Profit (%)

The average amount of profit represented as a percentage.

Average Bars Held

The average number of periods each winning position was open.

Consecutive Winners

The number of winning trades in a row.

Losing Totals

Losing Trades

The number of trades where the profit was less than or equal to 0.  Trades that break even are considered losing trades.

Losing %

The percentage of trades where the profit is than or equal to 0.

Gross Loss

The total value lost represented as currency.

Average Loss ($)

The average amount lost represented as currency.

Average Loss (%)

The average amount lost represented as a percentage.

Average Bars Held

The average number of periods each losing position was open.

Consecutive Losers

The number of losing trades in a row.

System Parameters

This tab contains information about this particular system run.

Run Date

The date and time the system was run.

Run Length

The amount of time taken to complete the system execution.

System Parameters

This contains a list of all optimization parameters contained within the system and the value of those parameters for this run.

Position List

The position list contains each trade aggregated into its respective position.  Positions are nothing more than a grouping of trades.  This screen shows the trades grouped by position.

This position list is split into two pieces.  The top portion of the screen contains the list of positions established throughout the system.  When a position is clicked or selected, the trades that are associated with this position are shown in the trade list below.

Position List Columns

Symbol

The tradable symbol name.

Type

The position type taken, long or short.

Shares

The maximum number of shares or contracts held throughout the lifetime of this position.

Open Date

The date the first trade was made for this position.

Close Date

The date the position was completely liquidated.

Avg Entry

The weighted average of opening trades in this position

Avg Exit

The weighted average price that the shares or contracts were closed/covered at.

Bars Held

The number of periods the position was open.

P/L Bar

The average amount gained or lost on a per bar basis.

P/L

The total amount gained or lost throughout the life of the position.

Description

The user assigned name of this position.

 

Trade List

The trade list contains the complete list of every trade generated by the simulation.

Trade List Columns

Symbol

The tradable symbol name.

Type

The type of transaction, either buy, short, sell or cover.

Transaction Date

The date the trade was placed.

Shares

Number of shares or contracts that were filled in this transaction.

Price

The fill price of the trade.

Commission

The cost of commissions for this trade.

Amount

The amount of capital added or deducted from the account for this trade.

Description

The user assigned name given to this trade.

Cash

The amount of cash available in the account after this transaction was completed.

 

Symbol Results

The symbol results tab contains an aggregated list of the trades.  The trades are aggregated by symbol.  This provides a way to quickly determine which symbols are performing and which are not.

Symbol Results Columns

Symbol

The tradable symbol name.

Profit

The amount gained or lost for this symbol.

Profit per Bar

The amount gained or lost averaged over the number of bars held.

Trades

Total number of trades entered with this symbol.

Winners

The number of trades with a profit greater than 0.

Losers

The number of trades with a profit less than or equal to 0.

Winning %

The number of winning trades divided by the number of losing trades.

Avg Bars Held

The average number of periods each position was open.

 

Scan

The scan tab is useful for determining the next action that the simulation would take.  For example, if the system trades daily bars, the scan would show the next day's actions to be taken such as opening a new position or closing an existing position.  Theoretically, a daily, weekly or monthly time frame trader can use the results from the scan and generate orders manually.

Scan Columns

Date

The date that the action should occur.

Order Type

The type of order to be submitted to the broker.  This could be any number of the order types supported by RightEdge.

Symbol

The tradable symbol name.

Order Price

If this is a limit order, the price of the limit order will be specified here.

Winners

The number of trades with a profit greater than 0.

Losers

The number of trades with a profit less than or equal to 0.

Winning %

The number of winning trades divided by the number of losing trades.

 

Charts

While the grid based system results are opened after every simulation, the chart tabs can have any number of charts pull up.  There are a number of potential chart tabs and the default chart tabs are configurable under the Options dialog.

RightEdge ships with five charts.

 

Profit Distribution

The Profit Distribution chart breaks down the profit and loss values into scaled values.  A sample profit distribution chart is shown below.

profitdistribution

Use the Display dropdown to toggle between representing the chart in profit and loss percentages and currency.

 

System Breakdown

The system breakdown chart is a bit unique in that it is a hybrid of text and graphics.  It also has some interactivity features where you can select the aggregation level of weekly, monthly or yearly.  The results are calculated in real time and the chart and results areas are updated.  An example of the system breakdown chart is below. systembreakdown

 

Equity Curve

The equity curve chart represents the cash and asset value at each point during simulation.  This is a visual way of assessing drawdown and exposure.  The Buy and Hold account value is represent as a line displayed over the cash and asset value stacked series.

 

MAE / MFE

This chart is similar in look and feel to the profit distribution chart, however, this chart breaks out the MAE and MFE calculations on a percentage or currency basis.  The chart is broken into two pieces.  The MAE is displayed on the top half of the chart and the MFE is displayed on the bottom half.

 

Symbol Breakdown

The symbol breakdown chart is a simple pie chart that displays all symbols that took trades during the simulation period.  This is chart allows a quick and easy way to visualize which symbols are taking trades and which symbols are not.  This can help identify and prune "dead" symbols.

See Also

General Options