Performance Summary Reports

Questions about MultiCharts and user contributed studies.
fundjunkie
Posts:58
Joined:25 Sep 2005
Location:UK
Performance Summary Reports

Postby fundjunkie » 16 Oct 2006

Hi All,
Have taken a look at the MC strategy performance reports and i like what I see. However, there are elements that I'd like to see included, and which may already be roadmapped.

The statistical output of the report, IMO, can be improved. I see the sharpe ratio is there but I don't see useful things like T-tests, correlational stats and nonparametric statistics, e.g. runs test.

T-test results are certainly a good thing to include I think. They're good for things like:

- The probability that total profit from a set of individually measured and recorded trades could be greater than a chosen threshold resulting from chance.
- Evaluating samples of daily, monthly or yearly returns of a portfolio.
- Determine the probability of future performance (if current conditions prevai) being above a particular threshold.

Correlational stats would help establish the statistical significance of a particular test run. Inferential statistics are the best tool here I believe...

And statistical analysis like the runs test would help to establish whether a strategy is serially dependant. Once identified that can be used to help with optimization.

I can go on but my knowledge of statistics is limited. My point here is that insightful use of statistics in the performance report can help greatly to improve the usefulness of the performance report in the repetative process of system creation.


Thx
D

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Alex Kramer
Posts:834
Joined:23 Feb 2006

Postby Alex Kramer » 17 Oct 2006

Dear fundjunkie -

Thanks for the input, it is most appreciated. We aim to make our performance report the most detailed, statistically sound and convenient for the user report in any trading system, no less.
We would appreciate input on all aspects of report improvement from experienced users. I even suggest to keep this topic alive, making it a kind of "report features wishlist", where you could post your thoughts and propositions for our developers. Thank you.

fundjunkie
Posts:58
Joined:25 Sep 2005
Location:UK

Postby fundjunkie » 19 Oct 2006

Alex,
I think a permanent topic on the backtesting tools themselves would be a good idea. You could move this suggestion, and other questions, into that forum. Seeing that the strategy testing tools are so important having them organized in one thread or subforum will make things easier to track, IMO. Otherwise, interesting stuff will get forgotten amongst the sea of other posts.

That being said, I think what's been done up to now is very encouraging. That should prompt people to put forward ideas and suggestions to help maintain the momentum.


Thx
D

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Alex Kramer
Posts:834
Joined:23 Feb 2006

Postby Alex Kramer » 25 Oct 2006

Dear fundjunkie -

While it may look like a good idea, we're at a risk of overrunning the forum's front page with sticky threads if we keep devoting one to every aspect.
There hasn't been much input on strategy performance reports since you posted the original message, so I suggest writing about performance report to the features wishlist if you see something that needs to be added or modified.


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