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Subsections
In GeniusTrader a Trading-System consists of the following components:
- GT::Indicators as discussed in the last chapter are the
basis of every trading system.
- GT::Signals are Signals that occur when an indicator
crosses a specific level, two indicators cross each other, etc. A
GT::Signal is not an indication to buy or sell.
- GT::Systems are Systems that provide two functions,
e.g. two signals, one signal to go long and an other to go short.
- GT::Tradefilters are used to decide whether or not a
trade is accepted. It can for example refuse trade going against
the current trend.
- GT::MoneyManagement decides how much money is spent for
a trade.
- GT::Brokers calculates the annual account charge as
well as the commissions for each order.
- GT::CloseStrategy manages the opened positions. The
CloseStrategy decides when to close the position.
Figure 4.1:
The internal structure of GeniusTrader
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Backtesting Systems
When you've set up your trading system it is an important step to
test its performance. GeniusTrader is producing a report as shown in
fig. 4.2 when you call the program
./backtest.pl SYSTEMNAME 13000
This report consists of three sections:
- History of the portfolio
- Global analysis of the portfolio
- Theoretical analysis of the portfolio
The history shows the trades made with the system (name shown in line
no. 1).It shows the prices of the stock and buy- and sell-date.
Figure 4.2:
Example for a backtest-report
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## Analysis of S:CCI 20 120|CS:Stop:Fixed 4|MM:Basic
History of the portfolio :
--------------------------
Long position (0) on code 13000
2000-06-05 Buy 153 at 64.9000
2000-06-06 Sell 153 at 62.3040
Long position (2) on code 13000
2000-06-21 Buy 140 at 70.5000
2000-06-29 Sell 140 at 67.6800
Long position (1) on code 13000
2000-06-13 Buy 151 at 65.1000
2000-07-13 Sell 151 at 79.6000
Long position (3) on code 13000
2000-07-10 Buy 134 at 73.0500
2000-07-13 Sell 134 at 79.6000
## Global analysis (each position is 10keuros, value of portfolio)
Analysis of the portfolio (2000-06-01 / 2000-07-13) :
-----------------------------------------------------
Performance : 19.5% (340.6%) Buy & Hold : 30.5% (818.7%) () => by year
MaxDrawDown : 9.4% B&H MaxDrawDown : 68.3%
Best performance : 19.5% Worst performance : -9.4%
Net gain : 1947.71 Gross gain : 2275.21
Trades statistics :
Number of gains : 2 Number of losses : 2 Win. ratio : 50.0%
Max consec. win : 2 Max consec. loss : 2
Average gain : 14.54% Average loss : -4.77% Avg. perf : 4.55%
Biggest gain : 21.34% Biggest loss : -4.77% Profit fac : 3.05
Sum of gains : 2891.93 Sum of losses : -944.22 Risk of ruin : 2.6%
## Theoretical analysis (10keuros, full portfolio reinvested)
Analysis of the portfolio (2000-06-01 / 2000-07-13) :
-----------------------------------------------------
Performance : 19.0% (325.2%) Buy & Hold : 30.5% (818.7%) () => by year
MaxDrawDown : 9.3% B&H MaxDrawDown : 68.3%
Best performance : 19.0% Worst performance : -9.3%
Net gain : 1896.83 Gross gain : 2224.33
Trades statistics :
Number of gains : 2 Number of losses : 2 Win. ratio : 50.0%
Max consec. win : 2 Max consec. loss : 2
Average gain : 14.55% Average loss : -4.78% Avg. perf : 4.44%
Biggest gain : 21.26% Biggest loss : -4.80% Profit fac : 3.04
Sum of gains : 2830.00 Sum of losses : -933.17 Risk of ruin : 2.5%
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Some more examples, explain the parameters, ...
Next: Indicators
Up: GeniusTrader Manual
Previous: Generating Charts
Contents
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