Help for Summary Results display
1. Overview
The Summary Results display is presented in tabular format, with one row
for each component in the basket. When this display is called up in the
Results page, it has the format shown below. It is also the standard display
in the Basket Design page. Notes are displayed at the bottom of the actual display page.
2. Component Types
The following types of components may be shown in the Summary Results display:
- Discrete component: This component usually contains the results for a
specific system, trading a specific contract. For examle
DblPlaySwing-miniRL-Actual or DblPlaySwing-miniRL-Hypoth. These are the basic
components, from which all others are derived. The component name is a link
that will display the Component Information page.
- System total: This component is reported for multi-commodity systems. It
contains the total for all the discrete components that we report for the
system, and is displayed on a beige background. The name reflects the contents,
for example DblPlaySwing-x4-Act_Total. You can point your cursor at
the component name to view a comment. The System Total is obtained by adding
together the individual profit-or-loss values on a month by month basis, and
then calculating the statistics for the resulting set of monthly totals.
It is interesting to compare the maximum drawdown for the system total with
that for the individual components.
- Included Basket total: This component contains the total for the
components in a specific basket. It is displayed on a gray background.
- Basket Total: This component contains the weighted total for all the
components in the basket being displayed. It is the last component listed, and
is displayed on a yellow background.
3. Sort Order
The
Sort Order selection in the "Preferences" bar of the Results Control
Panel determines the order in which components are listed. The choices are:
- Alphabetic, which is appropriate if you know the names of the systems
that you want to look at.
- One-year System (total) profit/loss. For this selection, the
components for a multi-component system are listed together, and systems are
listed in descending order of the System Total profit-or-loss.
- One-year Individual profit/loss. Here, individual components are
listed in descending order of profit-or-loss, and System Totals are treated
just like any other component.
When the sort order is System or Individual,
the sort values (i.e. the values
that determined the order in which the components were listed) in the "Profit
or Loss" column
are highlighted.
4. "Component Name" column
This column gives the
name of each component: either a discrete component
(System-Contract-Datatype), a system total (e.g. System-x4-Actual_Total), an
included basket, or the total for the shown basket. For a discrete component, the
name is a link which you can click to launch, in a new window, a
"Component
Information" page which gives some basic information about the system (see its
separate help file).
For a system total, you can point your cursor at the name to view a comment.
5. "Account size" column
This column shows the account sizes in $K (thousands of US dollars) recommended to
trade each component. Note that for percentage calculations, the Conservative
account size is used for a discrete component (System-Contract-Datatype), and the
user-entered account size is used for a basket total. The contents of this column
are as follows:
- For a discrete component, two account sizes are shown: (1) the minimum
account size recommended by the Vendor, which is shown in brackets; and (2) the
Conservative account size, which is usually larger.
- For the basket total and any included basket totals, only one account size is
shown, which is the user-specified amount.
6. "Weight" column
This column contains the weight that will be applied to each component when the
basket total is computed. The weight can have a value between 0 and 10 in steps
of 0.1. If the weight is zero, the component will be displayed but will not
contribute to the basket total.
7. "Months of data" column
This column gives the number of months for which results are available for this
component. For a basket total, the number will be the same as that for the component
with the smallest number of months of data. If there is
a gap in data, this
will also be shown. For example, "e3" indicates a 3-month gap at the End (i.e. there
is no data for the 3 most recent months). A gap in the middle is also shown, e.g.
"m2" would indicate a 2-month gap in the middle of the data.
8. "Drawdown" column
This column contains two measures of drawdown for the component, expressed as
a percentage of the Conservative account size (or User account size for a basket
total). Details are as follows:
- The first value (preceding the ">") is the maximum end-of month
drawdown. This value is calculated from the monthly Profit/Loss values.
- The second value is the current end-of-month drawdown. This number may
be of particular interest to traders who like to begin trading a system when
it is in drawdown.
The ">" may serve as a memory aid, because the maximum drawdown should be greater
than or equal to the current drawdown.
Note that we do not report the maximum intra-day drawdown or the
maximum closed-trade drawdown. These values cannot be calculated from the
monthly Profit/Loss values. Note that these drawdowns will be greater than or equal
to the maximum end-of-month drawdown, and the difference can be quite
significant. For Actual results, the maximum closed-trade drawdown can be obtained
by careful manual examination of the trade-by-trade results to determine the equity
highs and lows. For Hypothetical results, both values can be obtained from a
TradeStation report.
9. "Average trades /year" column
This column gives the average number of trades per year for this component. This is
usually computed from the raw data, but in some cases a published number is used.
10. "Average $Profit-or-Loss /trade" column
This column contains the long-term and one-year (short-term) average $Profit-or-Loss
per trade. These numbers may help to put the impact on net results of
slippage and commissions into perspective. The long-term number uses all available
data, and the one-year number uses only data from the most recent 12 months.
11. "Profit or Loss" column
This column gives the average Profit-or-Loss per year, expressed as a percentage
of the conservative or user account size. Since
recent performance may be quite
different from overall performance, both the
Long-term (all our data)
and
One-year (most recent 12 months) numbers are given. The larger the
number the better.
12. "Figure of Merit" column
This column gives an overall figure of merit, which is
our attempt to summarize
the overall performance of a system in a single number. We compute the Figure
of Merit as the annual percentage profit-or-loss, multiplied by the normalized
Sharpe ratio (a measure of consistency) and the normalized Sterling ratio (a measure
of drawdown). The larger the number the better. Details of the calculation are
given in the
Statistics help page.
We require 24 months of data to compute the Figure of Merit. Again, since
recent performance may be quite different from overall performance, both the
Long-term (all our data) and One-year (emphasising the most recent
12 months) numbers are given.
13. "Multi Chart" column
This column allows you to select which components will be displayed in a multi-chart,
and launch the chart.
To specify the components, just click on the check-box
in this column for each desired component. If none of the boxes are checked, the
first 10 components (taking sort order into account) will be displayed. Click the
Multi-Chart icon
to launch the chart (in a separate window). Note that the
currently-specified
preferences will be used, so you may wish to change these before launching the chart.
14. "Chart" column
For each component, this column contains a "Chart" icon
which can be clicked to generate a chart of the component (in a new window).
The currently-specified preferences will be used, so you may wish to
change these before launching the chart.
Page last updated 2006-Apr-02
Caution:
Commodity trading involves substantial risk of LOSS, and is not
appropriate for everyone. Past performance is not necessarily indicative of
future results. Do not trade with funds you can not afford to LOSE!!
Disclaimer:
Information on this website is provided for educational and
informational purposes only. We do not endorse or recommend any particular
system(s) or broker(s). We endeavour to make the information as
accurate and meaningful as possible. However, we assume no liability for
the accuracy or integrity of data, charts, or other information on this
website, or for any use the user may make of this data. Much of the data
presented on this website is based on data obtained from other sources,
and we cannot guarantee its accuracy or integrity. Errors can and will occur.
If you notice any errors or other problems, please inform us as soon as
possible.
