When exploring trading systems, investors often find themselves inundated with historical data to analyze. In some cases, so much historical data that much of it may get pushed to the back burner.
eFloorTrade, through the iSystems platform, provides historical data that includes back tested, walk forward (tracked) and live trading data for hundreds of different automated trading systems. Investors may choose to evaluate and go through the selection process of systems by themselves or work with an experienced eFloorTrade associate to review and implement a comprehensive trading plan. In either case, it is important to have a thorough understanding of the systems by the numbers provided on the iSystems platform. Let’s get started.
The total return divided by the number of years in the period (total return = net profit/loss divided by suggested capital).
Suggested Capital is a calculated value which uses the system’s worse historical drawdown and volatility to target a future drawdown less than -33%. No guarantee can be made that the system will not lose significantly more than 33% of the suggested capital amount.
Required Capital is the amount which must be in the account in order to activate the system for live trading, and is based on the contract’s margin and the worst historical session loss for the system.
The number of trading sessions in the period (what used to be known as days, until the advent of nearly 24 hour electronic trading).
The total profit or loss (P/L) over the analyzed period, net of commissions, slippage and license costs.
The profit factor is the ratio between profits and losses, and it is calculated by dividing the sum of profits over the sum of losses.
In our case, as we mark-to-market open positions in order to get a daily P&L on all systems, we use a variation of the classic Profit Factor formula, where we divide the sum of profits in profitable sessions over the sum of losses in losing sessions.
A 1 to 3 ranking (3 being highest) based on max drawdown, annual return, and track record length.
The number of trading sessions in the period with returns greater than 0.
Current Run-up since DD low
Loss from the last peak to current date.
The highest return in a single session over the period analyzed.
Winning Session Average
The average return across all winning sessions.
% Time with Open Positions
The percentage of time the system has an open trade.
Sharpe / Sortino Ratios
Sharpe ratio measures the excess return per unit of deviation. It characterizes how well the return of an asset compensates the investor for the risk taken. When comparing two assets versus a common benchmark, the one with a higher Sharpe ratio provides better return for the same risk.
Sortino is a modification of the Sharpe ratio but penalizes only those returns falling below a specified target, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally.
The worst peak to valley loss of the system, as measured on an end of session basis, with the date of the low point listed.
Current Drawdown quantifies the losing streak at a given time. If currently it is not in a losing streak but at an all time high, the Current Drawdown will be zero.
The lowest return in a single session over the period analyzed.
Losing Session Average
The average return across all losing sessions.
Slippage per side
Slippage is the difference between the execution price indicated by the trading algorithm, and the price the trade actually executes at in real accounts. Non live performance is adjusted downwards by a slippage estimate based on the actual slippage amount seen in the same contract traded by real clients on other systems.
Sterling / MAR Ratios
The Sterling ratio is a risk adjusted return metric measuring return over drawdown, and uses the average annual drawdown, and uses the average annual drawdown of the system plus a -10% penalty.
The MAR ratio also measures return over drawdown, but simply uses the maximum drawdown as the risk measure.
So, where do I go from here?
The beauty in the iSystems platform is that it allows the investor to review the data, with the assistance of eFloorTrade if necessary, that is most important to them. Investors can sort and filter automated trading systems by different criteria such as Annual ROI, Worst Drawdown, Markets Traded, etc. Through this refining process, investors can narrow down the systems that make the most sense to them.
Which statistics do you find most important when analyzing automated trading systems?
IMPORTANT RISK DISCLOSURE
You should fully understand the risks associated with trading futures, options on futures, commodity trading systems and retail off-exchange foreign currency transactions (“Forex”) before making any trades. Trading futures, options on futures, Forex and commodity trading systems involves substantial risk of loss and is not suitable for all investors. The ability to withstand losses and to adhere to a particular trading program in spite of trading losses are material points which can adversely affect investor returns. You should carefully consider whether trading is suitable for you in light of your circumstances, knowledge, and financial resources. You may loss all or more than your initial investment. Opinions, market data, and recommendations are subject to change without notice. Past performance is not necessarily indicative of future results.
The returns for trading systems listed throughout this website are hypothetical in that they represent returns in a model account. The model account rises or falls by the average single contract profit and loss achieved by clients trading actual money pursuant to the listed system’s trading signals on the appropriate dates (client fills), or if no actual client profit or loss available – by the hypothetical single contract profit and loss of trades generated by the system’s trading signals on that day in real time (real-time less slippage, or if no real time profit or loss available – by the hypothetical single contract profit and loss of trades generated by running the system logic backwards on backadjusted data (backadjusted).
The hypothetical model account begins with the initial capital level listed, and is reset to that amount each month. The percentage returns reflect inclusion of commissions, fees, slippage, and the cost of the system. The monthly cost of the system is subtracted from the net profit/loss prior to calculating the percentage return.
If and when a trading system has an open trade, the returns are marked to the market on a daily basis, using the backadjusted data available on the day the computer backtest was performed for backtested trades, and the closing price of the then front month contract for real time and client fill trades. For a trade which spans months, therefore, the gain or loss for the month ending with an open trade is the marked to market gain or loss (the month end price minus the entry price, and vice versa for short trades).
The actual percentage gains/losses experienced by investors will vary depending on many factors, including, but not limited to: starting account balances, market behavior, the duration and extent of the investor’s participation (whether or not all signals are taken) in the specified system and money management techniques. Because of this, actual percentage gains/losses experienced by investors may be materially different than the percentage gains/losses as presented on this website.
Please read carefully the CFTC required disclaimer regarding hypothetical results below.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.
The information contained in the reports within this site is provided with the objective of “standardizing” trading systems account performance and is intended for informational purposes only. It should not be viewed as a solicitation for the referenced system or vendor. While the information and statistics within this website are believed to be complete and accurate, we cannot guarantee their completeness or accuracy. As past performance does not guarantee future results, these results may have no bearing on, and may not be indicative of, any individual returns realized through participation in this or any other investment.
EFLOORTRADE HAS NO OPINION ONE WAY OR ANOTHER AS TO EXPECTED FUTURE PERFORMANCE OF THESE SYSTEMS. THEREFORE, IT IS THE CLIENT’S OBLIGATION TO MONITOR TRADING SYSTEMS IN THEIR ACCOUNTS AND TO DETERMINE THAT THE TRADING SYSTEMS SELECTED ARE PERFORMING AS EXPECTED.