Difference between revisions of "Using Performance Report"

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Report-Chart Synchronization simplifies this process. Trades on the chart are automatically highlighted when the user hovers his mouse over a trade in the Strategy Performance Report.
 
Report-Chart Synchronization simplifies this process. Trades on the chart are automatically highlighted when the user hovers his mouse over a trade in the Strategy Performance Report.
  
To learn more about this feature, see [[<span style="color: red;">'''LINK'''</span> /0280_Backtesting/22-8004_BTReport.html name="4=41";  |Setting Display Properties]]
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To learn more about this feature, see [[Using_Performance_Report#Setting_Display_Properties|Setting Display Properties]]
  
 
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== Setting Performance Report Properties ==
 
== Setting Performance Report Properties ==
  

Revision as of 20:34, 23 February 2012

Basing on the trades placed in the chart the performance report can be calculated to comprehensively analyze the strategy performance measures as well as trades list and statistics. There over 100 performance indices are available for analysis including about 30 charts.

Attention: The new trades occurred are not being included in the performance report in realtime. To include the new trades occurred the performance report should be re-opened again.


Attention: In case signals were added or deleted the performance report should be re-opened again.


Note: Only one performance report can be opened at a time.


Accessing Performance Report

To access a Strategy Performance Report:

  1. Apply a strategy to a chart.
  2. In the menu select View then click Strategy Performance Report.


Viewing Performance Report

In MultiCharts the Performance Report features a tri-panel design.

Left panel is a navigation structure while the upper right one displays performance data.

Tip: Upon left-clicking on any performance index its description will appear in the lower right panel.


Viewing Performance Indices

To view performance indices:

  1. In the left panel select a performance indices section 14_Icon_Table.gif to review.
  2. In the right side move cursor on a performance index required. The cursor will change into Description 12_Cursor.gif cursor then left-click.
  3. In the lower right panel a text description will appear. Click Close 13_Close.gif button to close the description panel.
  4. Use Back 27_Left.png and Forward 28_Right.png toolbar buttons to move between the Performance Report sections.


Viewing Performance Charts

To view performance charts:

  1. In the left panel select a performance chart 15_Icon_Chart.gif to review.
  2. Click Zoom In 31_Zoom_In.png or Zoom Out 32_Zoom_Out.png toolbar buttons for zooming charts in an out respectively. Click Reset Zooming 33_Reset_Scales.png to reset a zoomed chart.
  3. Use Pan 08_Hand.png or Cross 17_Show_Cross.png cursor modes for moving charts or precise reviewing chart values respectively.
  4. Use Back 27_Left.png and Forward 28_Right.png toolbar buttons to move between the Performance Report sections.


Understanding Report-Chart Synchronization

MultiCharts allows the user to visually match the trades from a Strategy Performance Report with their signals on the chart.

For strategies that have hundreds of trades over a long data series, it may be cumbersome to manually match a trade in the Strategy Performance Report to the chart.

The user would have to use the scroll button to find the trade in the data series.

Report-Chart Synchronization simplifies this process. Trades on the chart are automatically highlighted when the user hovers his mouse over a trade in the Strategy Performance Report.

To learn more about this feature, see Setting Display Properties


Setting Performance Report Properties

It is possible in MultiCharts to set financial and display settings for the Performance Report.

Financial settings allow to better analyze the strategy performance with different costs, statistic and risk level settings.

Display settings allow to configure visual setting for the report. It is possible to display the report figures in dollars or in a regional currency, set number of decimals to use and smoothing for charts. It is also posiible to display trades with partial exits basing on entries or on exits.


Setting Financial Properties

To set financial properties:

  1. In the Strategy Performance Report window click Settings 10_Format_Window.png toolbar button.
  2. Select the Financial tab.
  3. Set appropriate properties or click Default to set back to the default settings.
    More Information:
    Point value – review [[LINK /101-01_SettingIndProp.html name=""; |Big Point Value]] definition.
    Initial capital - Initial capital to start strategy performance calculations with.
    Commission - the amount supposed to be paid to broker for trades execution. The commission can be set on "per contract" or on "per trade" basis.
    With Per Contract option, the Commission value is multiplied for the each trade by the double number of contracts in the trade (i.e. for Entry and Exit).
    With Per Trade option, the Commission value value is multiplied for each trade by the 2 (i.e. for Entry and Exit).
    The default Commission value is zero.
    Slippage - the amount reserved for differencies between the expected and actual order execution price. The commission can be set on "per contract" or on "per trade" basis.
    With Per Contract option, the Slippage value is multiplied for the each trade by the double number of contracts in the trade (i.e. for Entry and Exit).
    With Per Trade option, the Slippage value is multiplied for each trade by the 2 (i.e. for Entry and Exit).
    The default Slippage value is zero.
    Margin per contract - the amount to be borrowed when trading on a margin account. This number is used in some report indices calculation.
    Interest rate - the rate used in some report indices calculation. Usually the Treasury Bill rate is used.
    No. of standard deviations – the number of standard deviations is used in some report indices calculation. The default is 1.
    Minimal acceptable rate of return – reference point for Sortino Ratio (See "Performance Ratios" section in the Performance report)
    Degree of risk aversion of the investor - reference point for Fouse Ratio (See "Performance Ratios" section in the Performance report)
  4. Click OK.


Setting Display Properties

To set display properties:

  1. In the Strategy Performance Report window, click the Settings 10_Format_Window.png toolbar button.
  2. Select the Display tab.
  3. Select USD to display the report in U.S. dollars or select Regional Currency to display the report in another currency. If Regional Currency is selected, enter the exchange rate in the USD/$ rate textbox.
  4. Set No. of digits after decimal to the required precision level.
  5. In the Performance & Quality section, select the appropriate smoothing.
  6. Select the Enable Strategy Performance Report – Chart Synchronization check box to visually match the trades in the performance report to the signals in the chart.

    Two additional options become available if this checkbox is selected:
    • Select the Entry-based radio button to match the trade in the performance report to its entry signal in the chart.
    • Select the Exit-based radio button to match the trade in the performance report to its exit signal in the chart.
      To use this feature, in the Strategy Performance Report:
    1. Expand Trade Analysis in the tree view pane.
    2. Select List of Trades.
    3. Hover the mouse pointer over any trade on the list. The trade on the list will be matched with the signal for this trade in the chart. The signal on the chart will be highlighted.
  7. Select Recalculate the Report on each new order checkbox to update the Strategy Performance Report in real-time with each new trade. If a new trade is made while the Strategy Performance Report is open, the Strategy Performance Report will be updated immediately with the new trade.
    If this checkbox is unchecked, then the Strategy Performance Report will be updated with the new trade only after closing and reopening the Strategy Performance Report.
  8. Click OK.


Saving Performance Report

To save the Performance Report:

  1. In the Strategy Performance Report window click Save 03_Save_Workspace.png toolbar button.
  2. In the Save As dialog window appeared navigate to the required file location.
  3. In the File Name field type in the file name.
    Note: The file name with symbol name included in it is supplied automatically.
  4. In the Type field select the file type. There are 2 types available: *.XLS (MS Excel) and *.XML (XML RINA).
  5. Click Save.
Attention: To save data in an .XLS format a full version of Microsoft Excel must be installed on the computer. Once saved the .XLS file may be read by any Excel compatible application.
Note: In the *.XLS file the entire report will be saved (including charts).


Printing Performance Report

It is possible in the Performance Report to print a selected section or chart.

To print a selected section or chart:

  1. In the left panel of the Strategy Performance Report select a section or a chart to be printed.
  2. Click Print 03_Print.png toolbar button.
  3. The standard print dialog will appear.
  4. Click OK.


or

  1. In the left panel of the Strategy Performance Report select a section or a chart to be printed.
  2. Click Print Preview 02_PPreview.png toolbar button. The Print Preview dialog will appear.
  3. Use Magnify Mode 02_PPreview.png or Whole Page 08_Hand.png toolbar buttons to preview the page.
  4. Click Print 03_Print.png toolbar button to access the print dialog.
  5. Click Close button to close the window.