Portfolio Performance Report: Difference between revisions
From MultiCharts
Portfolio Performance Report (view source)
Revision as of 19:51, 14 February 2018
, 14 February 2018→Saving Portfolio Performance Report
(Created page with "Category:Portfolio Backtesting") |
|||
(8 intermediate revisions by 5 users not shown) | |||
Line 1: | Line 1: | ||
[[Category:Portfolio | <br> | ||
A Portfolio Performance Report is generated by [[Backtesting_a_Portfolio|Backtesting a Portfolio]]. | |||
Once the portfolio backtesting is complete, a Portfolio Performance Report is displayed in a separate window on the desktop. Reports can be displayed only one at a time. | |||
The report is used to analyze, based on the historical data, the strategy's performance for the entire portfolio. | |||
Performance Report features a two-panel design. Left panel is a "tree" navigation structure, while the right panel displays the performance data. Each section of the report is accessed by clicking the appropriate section name in the left panel. | |||
Performance measurements are organized into five categories: Strategy Analysis, Trade Analysis, Periodical Analysis, Breakdown by Symbols, and Correlation Analysis. A description for each of the measurements within a group is available in the group‘s root section. | |||
Two of the five categories are unique to portfolio backtesting. | |||
<br> | |||
== Breakdown by Symbols == | |||
The Breakdown by Symbols category shows the performance of each symbol in the portfolio. | |||
The '''Overview''' node shows the net profit and total number of trades of each symbol. | |||
The '''Ratios''' node shows the performance ratios of each symbol. The ratios available are Upside Potential, Sharpe Ratio, Sortino Ratio, Fouse Ratio, Calmar Ratio, Sterling Ratio, Avg. win / Avg. loss, Profit Factor, and Percent Profitable. | |||
The '''Equity Curve Analysis''' node shows equity curve statistics for each symbol. | |||
The performance statistics available are Maximum Equity Drawdown, Maximum Equity Run-up, Avg. Monthly Return, and Standard Deviation of Returns. | |||
<br> | |||
== Correlation Analysis == | |||
The Correlation Analysis category shows the equity correlation among the symbols in the portfolio. | |||
The '''Based on Daily Equity''' node shows the daily equity correlation of the symbols in the portfolio. | |||
<br>The '''Based on Monthly Equity''' node shows the monthly equity correlation of the symbols in the portfolio. | |||
<br>The '''Based on Annual Equity''' node shows the annual equity correlation of the symbols in the portfolio. | |||
The description for each performance measure is described in the report. | |||
To show the description of the performance measure, | |||
# Hover the mouse pointer over the name of the performance measure. <br>If there is a description, the pointer will change to a '''Description''' [[File:12_Cursor.gif]] pointer. | |||
# Click on the name. The description will appear on the bottom of the report. | |||
For more information on using performance reports, see [[Using_Performance_Report|Using Performance Report]]. | |||
<br> | |||
== Saving Portfolio Performance Report == | |||
That is possible to save Portfolio Performance report for future reference. To do that: | |||
# In the Portfolio Performance Report window click '''Save''' [[File:Portfolio_Save.png]] toolbar button. | |||
# In the '''Save As''' dialog window appeared navigate to the required file location. | |||
# In the '''File Name''' field type in the file name. | |||
# In the '''Save as type''' field select the file type. There are 3 types available: *.XLSX (MS Excel), *.ODS (Open Office Workbook) and *.CSV; *.TXT (Text file with the List of Trades only). | |||
# Click '''Save'''. | |||
When saving the file in *.XLSX or *.ODS format select the sections to be saved in the pop-up window. You can use '''Check/Uncheck All''' buttons to select/disable all checkboxes. | |||
For saving file in *.CSV; *.TXT format select no separator or a comma/semicolon as a separator in the appeared window. Then select from two options available: export all trades or setup a date to perform export from. | |||
<div style="background-color: #F8D3CD;">Attention: | |||
* To save data in an *.XLSX format a version of Microsoft Excel that supports Visual Basic for applications must be installed on the computer. Once saved the *.XLSX file may be read by any Excel compatible application. | |||
* To save data in an *.ODS format OpenOffice package must be installed on the computer. Once saved the *.ODS file may be read by any *.ODS compatible application.</div> | |||
[[Category:Portfolio Trading]] |