Well well well well, today I want to introduce you to my 3 tool, essential if like me you have more than 200 trading systems and every month you never know which one to choose!
Welcome to this new article, I am an algorithmic trader and today I will introduce you to my new tool!
Let’s start from the beginning, I had just started with algorithmic trading but I already had a few systems and therefore every month I found myself having to choose among my systems which ones to put live.
For a while I relied on a proprietary program, it wasn’t very performing but it had everything needed to compare systems and above all to be able to upload reports and immediately have the metrics of each system available. Over time I realized that this program didn’t measure some performances very well and there were quite a few discrepancies! So I began my online search for better software that was more accurate and offered me viable alternatives. I have not found it.
( you can find the link to the tool at the bottom of the article )
I didn’t understand how many automatic/algorithmic/systematic traders could choose between their strategies without comparing them 2 at a time, I still ask myself this question, I created my own answer and now I make it available to all of you.
I have been using this program for months now and every time I added new things and comparison metrics, now we are at a definitive version.
The tool allows you to load as many systems as you want, otherwise it will do everything on its own.
The first part you will see will be the filtering of your strategy reports, you will be able to choose which data to take from the report and measure each metric on the chosen data, you will have three possibilities:
- Last 5% of trades made
- Last 2 months
- Entire report
This system will allow you to compare all the systems based on the chosen filtering and consider different points of view, personally I first use the last 5% of the trades made to evaluate the systems, and finally I move on to the last 2 months.
Having chosen the criterion that most interests you, let’s get to the important point. You will see a table like this:
This is the list of systems that I have uploaded, as an index you will have the name of the systems uploaded and then a series of metrics, the dataframe is interactive, so you can sort the columns as you like, I prefer the initial configuration which sorts according to the Net Profit
( you can find the link to the tool at the bottom of the article )
Let’s take a closer look at these metrics!
The first 5 columns therefore: Net Profit, Average Trade, % Profit and Profit Factor we know them very well, they need no explanation, they are based on the filtering criterion chosen above so if you choose the last 5% of the trades we will have the Net Profit of the last 5% of the trades for each system, if you choose “Last 2 Months” you will have the Net Profit of the last 2 months.
2 Months Positive is a metric I always look at, if the box is checked it means that the system has made profits in the last two months (excluding the current one).
New Highs last but not least, this simple box reports what it says, i.e. whether the system is making new highs!
Num Trade reports the number of trades made based on the filtering system previously chosen
Finally, Last Trading Day will tell you the date of the last open trade.
Now let’s see the graphics…
Below the table you will see these four graphs:
Naturally they are all interactive, so you can zoom them in and go into more detail, let’s see them one at a time..
Profitability Chart: Profit Factor / % Profit
This chart will show you the systems that have a higher Profit Factor based on % Profit, very useful indeed.
Profitability Chart: Net Profit / Num Trade
No less useful than the previous one we have this graph that will show you the systems that have achieved a higher Net Profit with fewer Trades, very useful for comparing the effectiveness between the various systems.
Max Drawdown / Systems
Here you will have all the Systems sorted by Drawdown, from the one that took the least losses to the one that made the most.
Net Profit / Systems
Last chart, you will get list of all systems in order of Net Profit.
I hope you like this tool and above all it will be useful to you, I created it out of necessity, I adapted it to the values I thought were most appropriate to evaluate automatic trading systems and compare them with each other, if you have any requests or suggestions do not hesitate to contact me, I will do my best to meet your requests!
The completely free tool can be found at this link.
Goodbye and see you in the next article!
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