Simulation and Benchmark - Trading Software

Simulation and Benchmark

Back to threads

allan nathan
2012-02-01 14:01:27

Hi,
Do you think it would be possible to display the return of the benchmark in simulation?

Thank you,

Allan

QuantShare
2012-02-02 04:10:01

Hi Allan,

Add the following money management script in your trading system and you will see the return of a benchmark you select appears in the simulation report table.

Benchmark Return in a Trading System Simulation

Benchmark Return in a Trading System Simulation (by QuantShare, uploaded several months ago)

No notes

allan nathan
2012-02-02 12:14:30

Hi,
Works well.Just to be sure,reference symbol in settings should be set to the same symbol for benchmark for consistency,but doesnt have to be.
The return for the benchmark is return from inception,where as the return from the system is annual returns.I have to read more documentation,but is there a simple way I could the column "net profit in percentage",so I can quickly see if the system outperformed/underperformed a buy and hold of the benchmark?

thanks,

Allan

allan nathan
2012-02-02 13:56:39

Hi,
In trade reports,"Trades", is the field Entry Price and Exit Price available?

QuantShare
2012-02-03 04:21:53

Hi Allan,

I have just updated the benchmark script so that it displays annual return. Please download it again.

The trade report do not have Entry Price and Exit Price fields, however you can add them using the money management script:

Create a new money management script then add the following formula to the "OnEndSimulation" event:

MMPosition[] pos = Portfolio.GetAllPositions();
for(int i=0; i < pos.Length;i++)
{
pos[i].AddTradeMetric("Entry Price", pos[i].EntryPrice);
pos[i].AddTradeMetric("Exit Price", pos[i].LastPrice);
}

allan nathan
2012-02-03 13:17:05

hi,
just to be sure of what you mean by create new money management script.

Go to Advanced Money Management>On end simulation>type in above formula>Save

is that correct?

Allan

allan nathan
2012-02-03 13:26:39

p.s. I redownloaded the MM script from above but I do not see the Annual Benchmark field.

QuantShare
2012-02-04 04:01:55

Hi,

Update Trading System -> Money Management -> Add New -> On End Simulation -> Type Formula

Here is the script I have uploaded in the sharing server:
Entry Price and Exit Price in Trading System Report

Regarding the Benchmark item, the field name is the same (Benchmark Return). I have updated it now and the new name is "A. Benchmark Return".

Entry Price and Exit Price in Trading System Report (by QuantShare, uploaded several months ago)

No notes

Get more messages

No more messages

Back


Trading Items Benchmark Return in a Trading System Simulation Benchmark Expansion MAE and MFE of a Trading System Short Cover Simulation Indicator Vary the Start Date of a Trading System Simulation	How-to Lessons How to add a metric in the trading system simulation report How to create a Monte Carlo simulation How to create trading rules based on Put and Call volume data How to create and trade a Neural Network model How to scale and move the chart Y-axis
Related Forum Threads Simulation and equity Invested doesn't correspond to equity setti... indicator for 1 symbol in screener and simulation EOD simulation but intraday stops and targets?? Rank using simulation Option simulation	Blog Posts Trading System Analysis: Backtesting report and custom measures True portfolio simulation applied to trading systems How To Create and Backtest an S&P 500 Trend Following System Backtesting a Strategy Based on Bond and Stock Index ETFs How to build and backtest a robust stock trading system