If you have written many systems like me you have found yourself in the same situation as me.
I have written about 200 trading systems on different underlyings and every month I find myself having to choose which system to use for the month that has just begun. But how to evaluate the performance of your systems? Which one to choose the best, those that are doing better in the last period and make the most of them?
I started working on it some time ago, initially I used these analyzes only for myself but now I’ve decided to make them public and formalize the birth of my new free and accessible online tool for everyone!
This tool not only allows you to evaluate the performance of your systems but also to give them a general and more parsimonious look, if like me you use Tradestation or Multicharts you will find it fantastic. On the tool page you will find a small guide that will explain you step by step how to use it.
Let’s get to the point…
1. EQUITY ANALYSIS
First of all, once your system/s have been loaded (you can load as many as you want) the tool will start automatically. The first thing you will find in front of you is the equity line of the system itself, the equity (in green) and you will also have the drawdown as a percentage superimposed.
It is an interactive graph so you can zoom in on parts of it to see every moment of the system in detail
2. PERFORMANCE SUMMARY
Scrolling down you will find in the first column called “METRICS” the general performance of your entire system
Now let’s move on to the highlight…
3. PERFORMANCE METRICS
There are two methods I use to evaluate the performance of a system: the first is to compare the general metrics of the system with the latest metrics recorded by the system, in this case the last 5% of the trades, the second method is to compare the general metrics with metrics from the last two months. In this tool I wanted to include both to have a greater comparison and better choice. Let’s see them together:
I chose these 4 metrics as an evaluation method because in my opinion they are the best for evaluating a system and therefore comparing them over time to evaluate its effectiveness.
From the photo it is clear how to evaluate your system, I personally use the performance of the last two months but I always like to compare it with the last 5% of the system. If, as in this case, the system performs better than in the past, it means that in the last period it has been reacting well to the market and is outperforming its own general parameters. The specific metrics I use are:
1 Metric: Average Trades
2 Metric: Percent Profitable
3 Metric: Profit Factor
4 Metric: Positive last two months
Below the columns I’ve added a points system that gives you the score of the system based on its own column and the above metrics.
This score ranges from –100 to +100, in which case you see that the system in question outperformed the overall system metrics in both cases.
Last but not least you will find a summary in tabular format of the profits / losses month by month for each recorded year.
I hope this tool will help you and if you encounter problems, bugs or have suggestions to tell me let me know!
Thanks for reading.
