Accurate statistics
The statistics of a trading system are crucial to figure out its performance.
Displaying accumulated pips or winratios is not enough to analyse properly a trading strategy, checking if it’s making money over the long run.
A lot of parameters are involved and it’s the trader responsability to take in account all of these factors to assess properly the reliability of his strategy.
NakedMarkets provides a complete module dedicated to display and deeply analyse the multiple characteristics of the investment strategy. It allows to answer these kinds of questions :
- Is the system making money consistently or is it temporary ?
- What ranges of drawdowns do I have to expect ?
- Can I extract more from my system ?
In addition, the NakedMarkets Statistics Center accepts track records from various external data sources to assess their strength.
Trading system overview
With the overview dashboard, you can check if your trading system is profitable in few seconds.
The most important ratios are displayed and help to assess the system :
- The overall growth
- The winratio
- The maximum drawdown
- The trades count
- The profit factor
The returns table allows to check the growth over the months and years to identify the consistency of the trading system.
Detailed reporting
In a second step, the Statistic Center provides details information about the orders and specific ratios.
By taking the time to look at all of these metrics, it’s possible to deepen the analysis of the trading system.
These panels display the statistics related to the winning and losing trades. This highlights the detailed expectancy of the strategy.
The returns statistics bring to the light what you can expect from your trading system over the time.
Specific ratios are very important to evaluate the reliability, such as :
- Sharpe ratio
- Sortino ratio
- Mar/Calmar ratio
- Z-score
- …
Otherwise, the symbols analysis provides the statictics in relation with all traded symbols. This can simplify the identification of symbols peculiarities.
Moreover, we will be happy to add some other metrics and ratios, if you request it.
Timing analysis
The timing review of the trading system can bring interestings elements to your knowledge.
It enables to see the best and worst periods of time, when the system outperforms or underperforms.
The related charts show the winning and losing trades depending on the hours, days and months.
The trade durations gives the lifespan of each position with the correlated growth. This provides the opportunity to check if it’s better or worse to stay longer in the Markets.
Risk analysis
The risk analysis is one of the most important part of the assessment.
It allows the user to answer this kind of questions :
- Will I lose all my money by trading this system ?
- What is the probability to have more than 20% drawdown ?
- Is my system optimized enough to catch all the potential ?
The evaluation of the risk of ruin highlights the possibility to margin call when the system will be trading live on the Markets. It offers different potential drawdown levels you are likely to encounter.
The MAE and MFE ratios are useful to analyse the potential of the trading strategy. By displaying the MAE/MFE ratios related to the Pips and the Growth, the trader can see if it’s better to let run some positions or to cut the losses quickly.
Monte-Carlo simulation
The Monte-Carlo simulation is used to launch hundreds or thousands of simulation of your trading system to check the different outcomes.
This is a great tool to check the reliability of the strategy over the long run.
By modifying several parameters, the user can see if the trading system behaves well when :
- The trades order is shuffled
- Some positions are skipped
- The slippage is higher or lower than expected
This helps to identify if the backtest performance is highly dependent of only few trades or if the system is sensitive to the broker slippage, for example.
Running hundreds of simulation, with tweaked parameters, can give average ratios, like the average winratio or average drawdowns.
Import from various sources
Of course, all the previous statistics can be calculated and displayed for any NakedMarkets backtest. But it’s possible to import from another data sources if you need to analyse live track records :
- Import trades history from Metatrader HTML statement
- Import trades history from Forextester CSV export
- Import trades history from Oanda broker account
Hence, the NakedMarkets Statistic Center is not only useful to analyse the performance and the risks of your own backtesting results but it can be used to assess demo or live trading accounts, as well.
Don’t hesitate to request a new kind of data source, to be able to import and analyse properly new types of track records.
Share your backtesting results
NakedMarkets provides the possibility to upload your statistics on our web servers. This permits to share your backtesting performance with users, who do not have NakedMarkets.
Thus, you can publish these statistics and post them on forums, social networks and websites.
A sample of online statistics is available here.
