Wednesday, February 21, 2018

Guided Tour

BTAnalytics Guided Tour

Article Index


BTAnalytics has been designed as a tool to be used in conjunction with your current trading and backtesting tools. Operations on almost any type of instrument (Stocks, Futures, Forex, CFD, ETF...) are supported.

The main BTAnalytics function involves storing trades lists (both real and fictionally generated through backtesting) generated by other trading software along with information about the trader or trading system that generated them in order to proceed to its rigorous analysis, comparison and refinement of the strategies and methods used in their generation. BTAnalytics comes with tools to easily automate the importing process and make it work for your current Trading Software.

The imported trades must have at a minimum the following fields:

  • Instrument.
  • Entry Date/Time.
  • Entry Price.
  • Exit Date/Time.
  • Exit Price.
  • Side. (If it is not included then a Long position is assumed)

Optionally the trades may also contain information about the size of the position (Quantity) and many other fields that will allow to accomplish a deeper analysis of the data.

Once the trades have been imported, depending on whether the Quantity field was defined, one or two nodes will be generated and added to the data tree structure that contains the data of all the simulations and analysis (shown in the "Studies Explorer" component in BTAnalytics). The generated nodes will be:

  • A "Raw Simulation Study" node that contains information about the "Raw Trades" or trades without position sizing, and some other information and analysis data.
  • A child of type "Simulation Study" node (only if the Quantity field was specified, and only for the trades where it was > 0) that contains the Sized Positions and other data about the result of applying position sizing to the Raw Trades and more analysis data.

Importing Trades Flow Chart

It is better to separate the Raw Trades and the Sized Positions in order to be able to analyze the underlying trading methods and position sizing methods independently.

There are a total of 5 different types of node that can hold and organize the information in the "Studies Explorer". Those nodes can be generated using different tools included with the software:

Folder Node"Folder Node": Node utilized to store and organize the other nodes.

Raw Strategy StudyComposite Raw Simulation Study"Raw Simulation Study" (can be a simulation of a single strategy or a combined strategy): Contains the Raw Trades, Trading System Info and their analysis.

Derived Raw Simulation"Derived Raw Simulation Study": obtained modifying or applying filters to the "Raw Simulation Study". Contains the derived Raw Trades, derivation configuration, and their analysis (same as "Raw Simulation Study").

Simulation Study"Simulation Study". Contains the Sized Positions, info about the Position Sizing method, and their analysis.

Monte Carlo Study"Monte Carlo Study": Contains data about a set of simulation runs executed using the same Position Sizing parameters and their analysis.

The nodes can contain other nodes as children, using the following rules:

  • A "Folder Node" can only contain as its immediate children other "Folder Nodes" or "Raw Simulation Study" nodes.
  • A "Raw Simulation Study" node can contain as its immediate children:
    • "Derived Raw Simulation Study" nodes.
    • "Simulation Study" nodes.
    • "Monte Carlo Study" nodes.
  • A "Derived Raw Simulation Study" node can contain as its immediate children the same sub nodes that the "Raw Simulation Study" node, including other "Derived Raw Simulation Study" nodes (derivation can be applied recursively)
  • A "Simulation Study" node can't contain any node as children.
  • A "Monte Carlo Study" node can't contain any node as children.


Backtests and Trading Results Organized in the BTAnalytics Studies Explorer

BTAnalytics includes among other the following tools:


New Simulation"New Simulation". Can be used whenever there is a "Raw Simulation Study" selected in the "Studies Explorer". This tool enables the user to generate new "Simulation Studies" specifying the position sizing and other parameters. Once it is executed, a new "Simulation Study" will appear as child of the selected "Raw Simulation Study".

Strategy Builder"Raw Simulation Builder". A "Raw Simulation Study" can contain the Raw Trades generated by one or more Trading Strategies, which can be organized in a hierarchical tree. This tool allows the user to generate new "Raw Simulation Studies" by selecting strategies included in other "Raw Simulation Studies", and thereby create hierarchical combinations of other strategies and a analyze them.

New Derivation"New Derived Raw Simulation". Can be used whenever there is a "Raw Simulation Study" selected in the "Studies Explorer". A derivation of a "Raw Simulation Study" can be created by different methods, such as by applying filters to the Raw Trades to remove the incorrect ones, or by modifying the slippage that was used when the simulation was done, or by adding filters based on variables included with the trades data to optimize the Trading System, etc. The derivation can be applied recursively and they behave as a normal "Raw Simulation Study". The derivations will appear as child of the selected "Raw Simulation Study".

New Monte Carlo Study"New Monte Carlo Analysis". Can be used whenever there is a "Raw Simulation Study" selected in the "Studies Explorer". This type of analysis allows to perform an elevated number of simulations with the same parameters of Position Sizing, and is useful to evaluate the reliability and variability of the simulation results.


Quality Products

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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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