System Test Analysis

Last modified 11:57, 10 Oct 2012

System Test Analysis

The purpose of System Testing is to constantly improve trading strategies by testing their performance against historical price data.

To accomplish this it is useful to be able to readily compare the performance of one System Test against another, or against prior settings or different markets or groups of securities.

The principle tool for making these comparisons is the table on the Performance Summary tabbed page of the System Test.

Performance Summary tabbed page

The table contains a list in its first column of Statistical Types, in the first column to the right appears the total data for each statistical type, and then individual columns breaking the total down by the month or year in which the trades occurred:

Statistics

The first column in the table contains each statistic's description.

The data for each statistic is contained in the row to its right.

All Trades

Summary of all results for the individual statistics appears in the first column, immediately to the right of the statistic's description.

Monthly / Yearly Selector

The remaining columns divide the All Trades statistics into monthly or yearly groups. Select Month or Year from the drop down list on the header bar of this tabbed page.

Full calendar months and calendar years (January-December) are used to create the groupings.

Depending on the settings in the Search On settings of the System Test work page's System Test Settings tabbed page, a full year or month may not be displayed in the first or last columns for monthly/yearly statistics. If you want to compare full years/months with all other full years months you must specify first days of years/months in the Start Date text box, and last days of years/months in the Start Date text box.

Refine Test Settings and Re-Test

Once you have run the System Test analyze the results to determine if they are what you were looking for.

Of course, disappointing results can either be the market's fault, or the  scan criteria's fault.

Clone Trading System (Save As)

The current Trading System can be changed from the System Criteria page, saved and run again.

Alternatively, the original system can be retained and a new trading system created in which incremental changes can be made.

Use the Action menu's Clone Trading System command:

The new trading system can now be altered and tested.

Alter the System Test

In either case users can make adjustments to the current Trading System and run the test again. These changes can either be to run the system test against new markets, groups of symbols or over different time frames.

The Scope of the System Test can easily be altered from the System Criteria tabbed page of the System Test itself.

Three alterations can be made.

Direction

The direction can be changed between Long and Short.

Search On

The Search On drop down-menu has four choices.

Each choice has a different parameters box, some of which provide additional choices, selector dialog boxes or parameters.

Time Frame

Use the Start Date and End Date selectors to change the time frame of the test.

Alter the Trading System

Alternatively, users can make changes to the underlying entry, exit or scan criteria of the Trading System itself. Making changes to the Trading System will affect all the system tests that are related to it and appear in its System Test list.

A trading system will always have an entry criteria.

A trading system may or may not have an exit criteria, and the exit criteria can be scan based, or stop based.

These components can be selected, replaced or deleted from the trading system's System Criteria  tabbed page:

Both entry and exit scan criteria have timing and level adjustments that can be used to smooth out, or lessen the effect of, abnormal price signals or other irregularities.

Change the Underlying Scan or Stop

The Trading System component array can be left intact, but the scans or stops that make up the System can themselves be altered.

Edit Scan

Scans are edited in the Scan Criteria tabbed page of the Scans' work page

The contents of the parameters definition area will depend on the type of scan or signal included in the criteria of the scan.

Note - The Search On parameters in the top part of this tabbed page can assist in defining the criteria and parameters, but will have not effect when the scan or signal is used in the System Test.

Edit Stop

The Trading System's Stops are defined and edited in special Stop Criteria work pages:

Two groups of stop criteria Types are available, Technical and Money Management.

The stop's Parameters definition area will have different controls and selections, depending on the stop type employed. All changes made to the stop and saved from this work page will be immediately reflected in the Stop in the System Test.

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