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Trading System Analysis

Proper trading system analysis helps find trading systems that work. Successful traders need various performance ratios and descriptive ways of viewing the results. MultiCharts’ strategy performance report is a powerful tool used by CTAs and regular traders for evaluating strategies.

200+ ways to measure your performance

At your fingertips, you have more than 200 performance measurements available. Some of the most useful ones are located in strategy performance summary, performance ratios, time analysis, list of trades, total trade analysis, outliers, run-up and drawdown, trade series analysis, and periodic analysis.

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Strategy Performance Summary and Ratios
These sections display the performance summary for all trades and the most important rations to quickly analyze performance of the trading strategy.

Time Analysis and List of Trades
The information in the Time Analysis table evaluates results strictly from the standpoint of time. You set the time frame for displaying the results using the Display tab of the Setting dialog box. List of Trades displays the complete trade-by-trade report.

Total Trade Analysis and Outliers
Total Trade Analysis displays overall performance of the trading strategy. Outliers or outlying trades are those that exceed the average trade by a significant value (plus or minus three (3) standard deviations).

Runup/Drawdown and Trade Series Analysis
Runup measured as the open to the highest unrealized high of the trade for a long position, and from the open to the lowest unrealized low of the trade for a short position. Trade Series Analysis displays statistical measures based on the winning and losing trades.

Trade Series Statistics
Trade Series Statistics displays information on the consecutive winning (losing) trades series.

Interactive graphs that show the complete picture

MultiCharts includes 28 interactive graphs to display relative and absolute values. Drawdown, for example, is shown in relative values, which allows you to see the realistic picture.

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Equity Curve with Drawdown
This graph displays an equity vs trade numver for all closed trades combined with both Drawdown ($) and Drawdown (%).

Let’s consider an example. Imagine a case where equity is $20,000 and drawdown is $10,000, which is 50%. This is unacceptable for a trader. However, drawdown of $10,000 when equity is $100,000 is only 10%, and that is quite normal. Therefore, a losing trade of the same size can have a very different impact for a trader at different times. If there is no graphic representation of relative drawdown, this very important difference is not as obvious.

Equity Curve Detailed
This graph allows greater insight into trading performance than a usual equity curve graph. It displays net profit on a bar-by-bar basis revealing equity drawdowns and runups.

Equity Curve Detailed with Drawdown
This detailed Equity Curve graph combined with both Drawdown ($) and Drawdown (%).

Equity Runup and Drawdown
These graphs illustrate equity' drawdown vs equity runup in dollar and percent amount.

Equity Curve Close to Close
This graph displays an equity (in $) vs trade number for all closed trades. This all-purpose equity chart is best used for general analysis of trading performance.

Buy/Hold Return
The return you would have gained if you had bought and held the papers for the whole duration of the test period. If you are trying to compare the total net profit of the strategy and the Buy/Hold Return, please remember keep in mind that the buy and hold strategy can lead to major drawdowns as well as risks because your investments are still exposed to market moves for the whole period. Also, since your money is placed in the market, you cannot invest it elsewhere.

Total Trades and Winning Trades
These graphs displays the profit (in $) vs trade number for all trades or for all winning trades. Horizontal line stands for the average trade.

Drawdown
This graph displays each trade's drawdown vs trade number for all trades.

Maximum Adverse Excursion
This graph is best used to determine protective money management stops for a trading strategy. It graphs each trade's realized Profit/Loss vs Drawdown in a scatter graph format.

Runup
The Runup graph Displays each trade's runup vs trade number for all trades.

Maximum Favorable Excursion
This graph is best used to determine trailing stops for a trading strategy. It shows the realized Profit/Loss vs Drawdown in a scatter graph format. The green arrows represent winning trades, and the red arrows represent losing trades.

Maximum Favorable Excursion (%)
Produces the Maximum Favorable Excursion graph, but uses percentages rather than dollar amounts. This graph is best used for longer-term evaluations.

All important information is one click away

MultiCharts provides speed and efficiency. Our philosophy is that time should be spent perfecting strategies and trading ideas, as opposed to looking up performance information.

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In MultiCharts, looking up the necessary trade takes just one click. You have 16 qualifying parameters to choose from. As soon as you identify the trade that interests you, all it takes is a click to display it on a chart. In this way, you see the trade in the report, and the graphic chart representation, at the moment when the trade was created. This allows you to quickly identify flaws in entering and exiting methods, and to improve trading logic.

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Risk Warning:
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.