Monday, February 19, 2018

Guided Tour

BTAnalytics Guided Tour

Article Index

Raw Simulation Study

The Raw Simulation Studies store the Raw Trades, details about the Trading System that generated them and its configuration. All that information along with the analysis data derived from them are shown in the Data Analysis Visualizers (DAVs).

This study has a "View Selector" component that enables the user to filter the data shown in the DAVs by side and by sub-strategy.

For this type of study the following DAVs are provided by BTAnalytics:

  • Details DAV: This DAV shows information about the Trading System and its configuration that generated the Raw Trades. The information shown in this DAV is heavily dependent on the importation mode. If the Raw Trades are imported from text files, then the information shown may be more limited. Below an image of this Visualizer is shown.


Raw Simulation Study: Details Data Analysis Visualizer (DAV)

  • Raw Trades DAV: This DAV shows in an advanced and feature rich grid all the Raw Trades. The grid allows to select the shown columns, filtering and ordering the rows, saving the layout, exporting the data, etc.


Raw Simulation Study: Raw Trades Data Analysis Visualizer (DAV)

  • Performance Metrics DAV: This DAV shows the performance metrics calculated over the Raw Trades. In order to make comparisons among the performance of the sub-strategies easier, it is possible to show side by side the performance of several sub-strategies. This can be achieved making right click and selecting in the contextual menu the option desired.


Raw Simulation Study: Performance Metrics Data Analysis Visualizer (DAV)

  • Contribution DAV: This DAV allows to analyze the contribution of several factors to the end results of the simulation (winning trades, bars held, profit/loss...). Among them:
    • The contribution for each instrument.
    • The contribution by entry/exit date/time: (by year, by month, by quarter, by week, by hour...)
    • Contribution by sub-strategy.
    • Contribution by entry/exit signal.


Raw Simulation Study: Contribution Data Analysis Visualizer (DAV)

  • Trades Distribution DAV: Allows to analyze:
    • The distribution of trades by profit.
    • The distribution of trades by duration.
    • The trade profit stability. (Dispersion analysis about the trades profit)
    • The trade duration stability. (Dispersion analysis about the trades duration)


Raw Simulation Study: Trades Distribution Data Analysis Visualizer (DAV)

  • MAE/MFE DAV: This DAV is designed to analyze the Maximum Adverse Excursion and Maximum Favorable Excursion of the trades.


Raw Simulation Study: MAE & MFE Data Analysis Visualizer (DAV)

  • Metrics by Period DAV: With this DAV, the user is allowed to get insights about the number of trades, trades duration, trades profit and other metrics depending upon the entry/exit time of the trade. For example, with this DAV it is possible to analyze the trades by hour of day, month, day of week, etc.


Raw Simulation Study: Metrics By Period Data Analysis Visualizer (DAV)

  • Trades Life DAV: This DAV is designed to study the evolution of Trades in time (profit/loss by duration.) This can be very useful for setting timeouts for the trades.


Raw Simulation Study: Trades Life Data Analysis Visualizer (DAV)

  • Slippage Analysis DAV: With this component the user is able to analyze the impact of distinct levels of slippage in the trading strategies and their results.


Raw Simulation Study: Slippage Analysis Data Analysis Visualizer (DAV)

  • Analysis Vars DAV: Using this DAV there is possible to check the impact in the Trading Systems of applying different filters over indicators and variables. This is a tool that enables to visually make powerful optimizations to the Trading Systems, limiting the over optimization and curve fitting of the automatic optimizers used by some software.

For example, with this DAV, the user can evaluate the result of applying an additional filter to the Trades Entry Conditions such as RSI(15) < 20.

In order to be able to apply the filters, it is necessary to include the Analysis Variables values along with all the other data for the trades. This enables a new method to visually optimize Trading Systems with little effort and less prone to over optimization.


Raw Simulation Study: Analysis Variables Data Analysis Visualizer (DAV)


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Risk Disclosure:

Futures and other instruments trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

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