• What's New
• Release Notes

What's New in Version 3

The following information is intended primarily for those who are migrating from MSA Version 2. Version 3 was designed to encapsulate the functionality of version 2 while adding portfolio analysis. This is done by (1) adding a second file type for portfolios, and (2) allowing multiple windows/files to be open at the same time. In addition to files of type .msa, version 3 uses a new file type, .msp, to represent portfolios. The vast majority of features and operations pertaining to market systems remains the same in version 3 as in version 2. Working with .msa files and market systems in general is very similar in both versions of the program. In addition, version 2 files can be opened directly in version 3.

The main difference in version 3 is that once several market system (.msa) files have been created, a portfolio can be defined. This is done by opening a new portfolio (.msp) file, then selecting two or more market system (.msa) files from the Setup window. Once the market system files have been selected, the trade histories are combined by MSA to show the resulting portfolio equity curve.

While most features in version 3 pertaining to market systems are the same as in version 2, there are a few differences. In version 3, market systems can have entry and exit dates for each trade. Exit dates are required for each trade if you want to view results that relate to date/time, such as the return each month or year. Entry dates are used primarily to track margin usage when multiple trades occur together. When migrating a version 2 file to version 3, dates can be added in an approximate manner in the Edit/Add Trades window (Trades menu) using the Set Date Range.. button. This enables you to set the dates for each trade based on the starting date, ending date, and average trade length for all trades in the history. To add the exact entry and exit dates for each trade, either re-import the trade data from a file that includes dates or use the Data Source command (Trades menu) to set the trades file a text file that contains the trade data with dates.

When exit dates are available for all trades, the equity curve in the main chart window can be plotted either by trade or by date. To change to plotting versus date, version 3 has a Plot by Date/Plot by Trade pull-down menu selector in the menu bar at the top of the window. You can also choose to limit the trade range by date in version 3 using the date selectors in the menu bar. After selecting the starting and ending dates, click the Recalculate button to recalculate the equity curve for the new range of trades.

Version 3 also allows multiple windows and files to be opened at once. For example, you might have several market system files open as well as a portfolio file. Each file will be shown in its own window. The menus available in the main window frame depend on the type of window/file selected. When a portfolio file is open and selected, the menus in the main window reflect the options available for portfolios, including a Portfolio menu. When a market system file is open and selected, the menus reflect the available options for market systems, including the Trades and Analysis menus. Trades are only entered, imported, and edited in market systems, not portfolios. To enter or import trades, a market system window must be open. By default, an empty market system file is opened when the program is opened from the Windows Programs menu or desktop.

When opening a version 2 file in version 3, the equity curve crossover and dependency rules may need adjusting. In version 2, several of the equity curve crossover and dependency rules adjusted the position sizing parameter value by a specified percentage based on the rule logic. For example, the fixed fraction might have been increased 20% on an equity curve crossover. In version 3, the rules change the position size directly, rather than changing the position sizing parameter value. Instead of increasing the fixed fraction by 20%, the same rule in version 3 will increase the position size by 20%. In some case, this will have the same effect as the old rule. However, in some cases, the effect will be in the opposite direction. For example, increasing the fixed equity amount is the same as decreasing the position size. When working with a version 2 MSA file in version 3 for the first time, each crossover and dependency rule should be reviewed and adjusted if necessary to make sure it works as desired.

Also keep in mind that while MSA version 3 can read version 2 files, the reverse it not true. MSA version 2 cannot read version 3 files, so if you want to be able to continue to use a version 2 file in MSA 2, it's important to "save-as" your version 2 file to a different name in version 3. Once a version 2 file is saved in version 3, it becomes a version 3 file and will not be readable by version 2.

For non-US users, starting with version 3.0.3, you can change the number/currency format (locale) from the Setup command to match the currency that your trading account is denominated in. For example, if the locale is set to Germany, the currency symbol will be the Euro symbol, and the thousands separator will be the "." rather than the "," used in the US. It's not necessary to change the Windows locale, as in previous versions. You can select an account locale for each market system file and for each portfolio file. You can also select the number/currency format for the trades file. For example, if using the WriteTrades3 function for TradeStation, the number format will be "US". If your account is in Euros, you could select Euros in Setup for your account and "$" for the trades file format. The format for the trades file is set on the Trades File Format window when using the Data Source command or when importing a trades file. Please note: MSA does not include a currency converter. If you have market system with different account locales and you combine these into a portfolio, MSA will not convert the currency values from the market system locale to the portfolio locale. All market systems in a portfolio should be in the same currency.

An important difference in version 3 is how trade data are stored. In version 2, the trade data were stored in the .msa file. In version 3, the trade data (entry price, exit price, entry date, exit date, position size, etc.) are stored in a separate text file that is specified using the new Data Source command of the Trades menu. This new feature is designed to make it easier to update and work with trade data files. The Data Source command allows you to specify the file where trade data are stored and identify the columns of data that MSA should read. If you edit trades within MSA, the trades file is updated accordingly. Likewise, if you change the trades file outside of MSA, the market system file will change the next time it's opened or if you select Reload From File from the Trades menu. By storing the trades in a separate trades file, several MSA files can reference the same file of trades. If the file is changed, all MSA files that use that trades file will automatically reflect that change. Also, any portfolio file based on the MSA file will be updated as well.

If you import trades into MSA from a text file using the Import command, the next time you save the MSA file, the program will prompt you for a file name for storing the trade data. This will be the "trades file" for your MSA file. Any changes made to the trades while in MSA will be stored in the trades file. If you want to use the the text file from which you imported the trades as your trades file, you can save a few steps by using the Data Source command to define your trades rather than importing them.

Release Notes

Starting with version 3.0.0, installations of later versions of MSA 3 (e.g., 3.0.4 or 3.0.5) should install over the prior version. The prior version 3 should not need to be uninstalled before installing the new version. Also, provided the installation is on the same computer as the prior version 3 installation, no new activation code should be required.

Version 3.0.4

1. The order of the periodic performance results in the Return Tables part of the performance reports has been reversed so that the most recent results are on top.
2. Two new options have been added to the Trade Size command for the portfolio. When entering the data for each market system, a box can be checked to exclude the market system if there is no new entry signal. If there is an open trade, a second box can be checked, and the position size for the open trade can be entered.
3. Feedback for plot-by-date errors has been improved. If the program can't plot by date due to a missing or incorrect date, the trade where the problem occurs is noted in a error box displayed to the user.
4. The options for drawing tick marks and new equity highs has been improved to allow marks at equity highs by themselves without requiring tick marks on all trades.
5. Portfolio files now search for market-system files (.msa) in the folder where the portfolio (.msp) file is located if the market-system files can't be found in their specified locations. This makes it easier to copy portfolio files or send them to someone else. Provided the portfolio, market-system, and trades (.csv) files are all in the same directory, MSA will be able to find them. MSA will also search in standard locations, such as the Documents folder, for .msa and trades files that are not found in their specified locations.
6. The wording on the Setup screen for the risk-free interest rate used in calculating the Sharpe ratio has been changed to indicate that a monthly interest rate should be entered. Because the Sharpe ratio is calculated from monthly rates of return, the risk-free interest rate should be the interest rate per month, not an annual rate.
7. [bug fix] Whenever the trades file was written, it was saved with only two decimal digits of precision. The trades file is now saved with a total of seven digits of precision.
8. [bug fix] Exporting the trades file has been corrected to include a total of seven digits of precision, up from two previously.
9. [bug fix] When all trades are short, the performance summary misaligned the columns so that they overlapped. This has been corrected.
10. [bug fix] Extra space has been removed from the text file generated when exporting the trades file to make the format compatible with Excel.
11. [bug fix] Adding trades created with the statistical trade generator ("Create Trades from Statistics") to trades plotted by date gave an error. This has been corrected.

Versions 3.0.0 through 3.0.3.1

In addition to the changes discussed above, version 3 (through 3.0.3.1) includes the following:

1. Performance results have been expanded to include:
   • Results for long and short trades tabulated separately
   • Period returns for each month and year and for the most recent 100 weeks and days
   • Average yearly, monthly, weekly, and daily returns
   • True Sharpe ratio based on monthly returns and using a user-adjustable value for the risk-free rate of return
   • Average and standard deviation of the annual, monthly, weekly, and daily results, including net profit, return, drawdown, number of trades, percentage wins, and profit factor
2. Right-clicking or double-clicking in the results summary (right-hand) pane brings up the full performance report.
3. Performance reports can be printed from the performance results window or saved to a file in the following formats: .txt, .doc, .csv, .htm, .html.
4. The graphics in the main chart have been improved:
   • New highs in equity can be optionally marked on the chart.
   • An empty chart can be formatted to use as a template.
   • Clicking on the main chart displays a full-screen cursor with an information box to display chart details.
   • Drawing of the zoom selection box has been improved to reduce screen flicker.
   • When viewing a portfolio equity curve, the equity curve for any one of the market-systems comprising the portfolio can be optionally plotted.
5. The floating menu, accessible by right-clicking in the main window, now includes the most commonly used menu items from the Analysis, Portfolio, and View menus.
6. Initially, the starting account size is set to an estimate of the minimum equity required to trade the strategy. The estimate is calculated by adding the one-contract/share drawdown to the one-contract/share margin requirement and multiplying by the largest position size in the input data.
7. The results summary in the right-hand pane now scrolls vertically.
8. Negative prices are now valid, which allows back-adjusted prices series data to be used even in cases where the back-adjusting results in negative values.
9. Version 3 is fully Vista compatible.
10. A new registration/licensing system prevents errors occasionally encountered under Windows 2000 and Windows XP Pro.
11. The following bugs have been corrected:
    • MSA crashed when the number of non-empty days of performance results was exactly equal to the display limit.
    • Trades files were not read correctly when using non-US locales.
    • Trade risks were not saved in the trades file after defining them using the Create Trade Risks command.
    • Results file exported to .txt format did not open correctly in NotePad.
    • In the position sizing window for portfolios, the market system column was blank if a label had not been defined for the market system. It now uses the file name if a label has not been chosen.
    • Edit/Add dialog did not save data correctly when using non-US locales.
    • Trying to import a file that was already open on the user's desktop generated an error.
    • Hard-coded "$" symbols have been replaced with the symbol based on the selected locale setting.
    • The risk-free interest rate has been added for the portfolio Sharpe ratio.
    • The date selector on the menu bar can now be changed manually by typing into the date field.
    • The number format in the Edit/Add Trades window has been increased to 7 digits in total.
    • Negative position sizes are no longer allowed.