Position sizing and money management software for trading

If you're still looking for an edge in the markets, mechanical trading systems are the best way to get it. Learn more.

Trading Software with Detailed Performance Statistics

Market System Analyzer (MSA) is a trading software application that calculates detailed performance statistics for trading strategies. The performance statistics in MSA are designed to detail every nuance of your strategy's performance. MSA can be used to evaluate trading systems and methods, optimize trade sizes, perform position sizing calculations on a trade by trade basis, and perform Monte Carlo simulation and other types of analyses.

The performance summaries available in most trading software packages, such as TradeStation,™ are generally based on the assumption that a fixed number of shares/contracts is being traded; e.g., one contract per trade. Performance statistics such as the average trade, largest loss, and drawdown are quoted in dollars. However, when position sizing is incorporated into a trading simulation, the number of contracts or shares tends to increase over time as trading profits accrue.

As the number of shares/contracts increases, so does the drawdown. A drawdown of 10% is \$3,000 on a \$30,000 account, but if the account grows to \$200,000, a 10% drawdown is \$20,000. Given the dollar value of the drawdown without the corresponding percentage, is that \$20,000 drawdown a 67% drawdown on the starting equity of \$30,000 or a 10% drawdown on the same account after it grew to \$200,000? The point is that the more important statistic is the percentage drawdown, not the absolute dollar value.

The same is true of the average trade size and a number of other statistics. The solution is to track trading results relative to account equity. That way, regardless of whether the position sizing is based on one contract or the fixed ratio method, the performance statistics will be meaningful and the account size and position sizing will be properly represented. MSA is designed to properly account for position sizing and trading equity to provide a more accurate trading simulation than programs based on a fixed number of shares or contracts.

Market System Analyzer provides a detailed list of performance statistics based on account equity and expressed in percentage terms. The statistics are computed for the current sequence of trades, as displayed in the main chart window. If any change is made to the current sequence, such as changing the position sizing method or adding a dependency rule, the performance statistics are automatically updated. The performance statistics can be viewed at any time by selecting Performance Results from the View menu. An example is shown below.

The Performance Results window in Market System Analyzer displays the performance results for the current sequence of trades.

The performance results include the following statistics:

Gross Profit
Gross Loss
Total Net Profit
Profit Factor
Pessimistic Return Ratio
Withdrawals from Equity
Final Account Equity
Return on Starting Equity
Percent Profitable
Max Number of Shares/Contracts
Minimum Number of Shares/Contracts
Average Number of Shares/Contracts
Average R-Multiples, Wins
Average Length of Wins
Max Number Consecutive Wins
Average R-Multiples, Losses
Average Length of Losses
Max Number Consecutive Losses
Win/Loss Ratio
Win/Loss Ratio (%/%)
Return/Drawdown Ratio
Modified Sharpe Ratio
Sharpe Ratio
Average risk
Average Risk (%)
Average R-Multiple (Expectancy)
R-Mulitple Standard Deviation
Average Margin
Average Margin (%)
Max Margin (%)/Margin Value
Date of Max Margin
Average Leverage
Risk of Ruin
Average Annual Profit/loss
Ave Annual Compounded Return
Average Monthly Profit/loss
Ave Monthly Compounded Return
Average Weekly Profit/loss
Ave Weekly Compounded Return
Average Daily Profit/loss
Ave Daily Compounded Return
Average Drawdown
Average Drawdown (%)
Average Length of Drawdowns
Worst-case Drawdown
Date at Trough
Length of Drawdown
Worst-case Drawdown (%)
Date at Trough
Length of Drawdown
Longest Drawdown
Start of Drawdown
End of Drawdown
Percent of Equity of longest drawdown

If desired, the performance statistics can be exported to a text file via the File menu. Selecting Help will bring up a help window with a description of each statistic.

Some of these statistics are also computed during the Monte Carlo analysis. See Monte Carlo Analysis.

To see how to optimize system parameters and position sizing parameters simultaneously using Market System Analyzer and TradeStation, click on the Next button at the bottom of the page or go to the online store below to purchase your own copy of MSA.

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