Trade Graphs visualizer > Win% + Profit Factor
Author: tradercn
Creation Date: 12/28/2013 6:22 PM
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tradercn

#1
Try to analysis the historical trades after backtesting, however I have to manually save trades into a text file. Is it possible to save all the trades into a specified text file by a strategy? Thanks.
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Eugene

#2
Of course it's possible. Give this routine from Community Components a try:

SaveTrades

However, I just wonder what's the point in analyzing trades when Wealth-Lab has performance visualizers for every taste?
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tradercn

#3
Thanks for your answer. It is amazing!

The Trade Graphs (Performance visualizer) is not great as I expect. In this extension, Win%+ Profit Factor are provided, but I need Avg Profit% and Payoff Ratio as well. Second, It shows above lines without moving average. Third, this is the most important. The whole testing period can not be showed as a bird view, a certain period can not be zoomed. Or, simply say, it is not flexible as I need. At last, if trades are over 20000, trade graph are showed very slowly.

Currently I trade based on signals from EOD data, it is difficult to manually trade at open price, I have to write a program to execute trades. I have several strategies based on several datasets. Before market is open, I have to make decision manually to apply the strategy based on its average profit% is greater than its SMA(20). Currently I analysis it on Excel. Trying to make it simpler.

Not sure if my answer is clear since it is a little bit complicated plus my poor English. Thanks for your ask. I wish WLD could be better and better

One sudden question, how to get the equity curve data based on trades? I can write codes but try to get a simple solution. Is there any functions like SaveTrades you showed above? You've been very helpful. Thanks so much.
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Eugene

#4
QUOTE:
One sudden question, how to get the equity curve data based on trades?

I've no idea what the trade-based equity curve is. By chance, is this what we know as Closed Equity?

QUOTE:
The Trade Graphs (Performance visualizer) is not great as I expect. In this extension, Win%+ Profit Factor are provided, but I need Avg Profit% and Payoff Ratio as well. Second, It shows above lines without moving average. Third, this is the most important. The whole testing period can not be showed as a bird view, a certain period can not be zoomed. Or, simply say, it is not flexible as I need. At last, if trades are over 20000, trade graph are showed very slowly.


1 - I'll enter your request in our backlog for future evaluation. Making no promises as this might be a considerable effort.
2 - Win Rate % and Profit Factor itself are the moving averages. The window for averaging is in the upper left corner: type in your value in the Lookback field (30 trades by default).
3 - For some reason, I never planned to make the graph zoomable. I'll enter your request in our backlog for future consideration.
4 - Actually, Trade Graphs is not one visualizer: it's a set of 5 visualizers running together in parallel. When one executes an enormous backtest with 20K+ trades, some slowdown should naturally be expected compared to normal backtests with hundreds or thousands trades. While I can assure you that every effort was made to make the PV code work fast, the control it's using may not deliver optimal performance itself under heavy load.
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tradercn

#5
Yes, Closed Equity is what I want. Thanks so much.

As regard to the point 2 you mentioned above, what I need else is Avg Profit, which equals to avg profit (based on profitable trades) * win% + avg loss (based on loss trades) * loss rate. I need moving average for this indicator and win%. It is very important for short term trading system.

Thanks for your answer and your effort to improve WLD.
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Eugene

#6
QUOTE:
I need moving average for this indicator and win%.

Perhaps you overlooked my earlier comment. Therefore let me quote my reply #4:

<<2 - Win Rate % and Profit Factor itself are the moving averages. The window for averaging is in the upper left corner: type in your value in the Lookback field (30 trades by default).>>

QUOTE:
3 - For some reason, I never planned to make the graph zoomable. I'll enter your request in our backlog for future consideration.

I just looked into it and can say that I was wrong. The graph already is zoomable so no action is required. I just completely forgot about it. ;)

To zoom in on Win % Rate / Profit Factor chart, click and hold your left mouse button anywhere inside the lower pane (Profit Factor) and then drag towards right. Just don't click on the PF curve itself as doing that would take you to a particular Position on the chart. Special buttons will appear to zoom out.

Hope that helps.
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Eugene

#7
tradercn,

It does not make sense to display rolling Payoff Ratio as its shape resembles already existing Profit Factor very closely:

Profit Factor = Gross profit / Abs(Gross loss);
Payoff Ratio = Abs(sum of average profit % / sum of average loss %);

So in upcoming update, I'll add rolling Avg Profit % to the Trade Graphs visualizer as you requested. Consequently, the "Win Rate + Profit Factor" tab will be renamed.