Strategy Performance Report Currency

Questions about MultiCharts and user contributed studies.
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Januson
Posts: 119
Joined: 18 Apr 2007
Location: Denmark

Strategy Performance Report Currency

Postby Januson » 05 Aug 2008

Can somebody explain to me why I need to apply USD/kr for my local currency? Why is the performance report using currency conversion at all? :?

And is it what 1 USD costs in my local currency or is 1 USD divided with my currency rate? 1USD costs at the moment DKK 4,840 - so what would be the right input number? :?

Please take a look at the attached screenshot, I've a question there :P

I seem to remember a trade analysis where both strategy profit and buy and hold gets compared graphically. I can't find it now, can somebody help me? :oops:
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khalaad
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PRECISELY!

Postby khalaad » 05 Aug 2008

Januson,

I feel for you. Such precisely is my two-year frustration -- and hence my shouting -- with MultiCharts and its inability or unwillingness to address and put right some very basic flaws which do not allow one to research and develop trading model(s) in the knowledge that results shown in the performance report are reliable.

A few examples; for instance MultiCharts:
does not provide the Sharpe Ratio, in my opinion the single most important measure of performance;
in my estimation does not calculate the drawdowns correctly, which is probably why it does not provide the Sharpe;
even in its version 4 is confusing $ and points;
leaves it to the user to experiment how to correctly factor in the transaction costs – Under Strategy Properties $25 go in as 0.25.

For a software which is openly inviting people to develop and back-test trading ideas this is very poor showing.

By the way one can compare strategy performance to buy and hold; under Back-Testing Strategy Performance Report select Strategy Analysis, then Equity Curve Detailed and then Buy & Hold Return – the comparison is not on a single chart though.

Khalid

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Januson
Posts: 119
Joined: 18 Apr 2007
Location: Denmark

Postby Januson » 06 Aug 2008

Thank you khalaad 8)

Yes I must admit it's a bit frustrating that such small things doesn't get fixed right away.
One thing is features which of cause TSSUPPORT need their time to develop properly, but bugs or things that are supposed to work as "sold" should be cleared with highest level of priority.

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Marina Pashkova
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Joined: 27 Jul 2007

Re: PRECISELY!

Postby Marina Pashkova » 08 Aug 2008


A few examples; for instance MultiCharts:
does not provide the Sharpe Ratio, in my opinion the single most important measure of performance;
Sharpe ratio is calculated, however it is not displayed properly (as well as some other ratios). This will be fixed shortly.
in my estimation does not calculate the drawdowns correctly, which is probably why it does not provide the Sharpe;
even in its version 4 is confusing $ and points;
leaves it to the user to experiment how to correctly factor in the transaction costs – Under Strategy Properties $25 go in as 0.25.
Could you elaborate on the above please?

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Januson
Posts: 119
Joined: 18 Apr 2007
Location: Denmark

Postby Januson » 09 Aug 2008

Hi Marina
Please don't forget my currency question ;)

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Re: Strategy Performance Report Currency

Postby Marina Pashkova » 14 Aug 2008

Can somebody explain to me why I need to apply USD/kr for my local currency? Why is the performance report using currency conversion at all?
How would you like to have it?
And is it what 1 USD costs in my local currency or is 1 USD divided with my currency rate? 1USD costs at the moment DKK 4,840 - so what would be the right input number?
The value to be entered is the cost of USD in your currency.
I seem to remember a trade analysis where both strategy profit and buy and hold gets compared graphically. I can't find it now, can somebody help me?
We don't have that.

Regards.


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