Topic: Analyzing live performance

Hello

How do you analyze the live performance of your strategies when using the FS-MT4 Bridge?  I have set up 6 strategies on demo that I want to test live, some of them on multiple pairs (I have 14 running in total).  i have given each strategy a unique ID (eg 210) and a matching Magic number.  This all seems to work fine in ForexSB where I can see which strategies in which pair has a position open, however how can I track this performance of each individual strategy on each pair once those positions are closed?

Thanks
Jarrod

Re: Analyzing live performance

Forex Strategy Builder is specialized in the backtesting and do not provide trading statistics. You can use the MT logs or some third party tools for that purpose.

You can see in that (and next) video how you can export the MT logs and create an Excel table for summarizing the results.

13-Exporting & Analyzing Expert Advisors' Performance

Re: Analyzing live performance

Hi JRod,

I use 2 tools for analyzing trading results.

1.  Fx Blue http://forexsb.com/forum/post/33876/#p33876

2.  MyFxBook http://forexsb.com/forum/topic/5356/usi … -accuracy/

HIT

Re: Analyzing live performance

Thanks bannedUser

I have built myself a little excel tool now that tracks it all for me.  I have set it up so that it automatically provides me with a magic number for each strategy and each instrument, tracks where they are all deployed and how many lots attributed to each.

From the MT4 data (simple copy and paste as per Popov's video), I now track total trades (long and short), P&L, Profit Factor, Win % and an equity chart for each strategy and the portfolio.

Happy to share if anyone wants to use and adapt to their own portfolio.

Re: Analyzing live performance

Hi JRod,

Wow, your excel tool sounds fantastic!

Do you mind if you upload it here for others to use?

Thanks

Regards
Hannah

HIT

Re: Analyzing live performance

Here it is. I haven't thoroughly tested it so let me know if there are any bugs or additional information that is worth including and I will update.

To use it,
1. Add any additional instruments / pairs into the 'Lookups' sheet.  It is easy enough to add capacity for more if required.
2. The Magic Number system I have used is Strategy Number (i.e 1,2,3....) then Instrument (Start at 10 and increment by 10).  So Strategy number 5 with Instrument 5 (EURJPY in my spreadsheet) would be Magic Number '550'
3. As you develop a new strategy, type in the name into column C of the 'Magic Numbers' sheet.  This will automatically assign a magic number for that strategy to be used on all instruments.
4. When you deploy a strategy to a particular instrument, select the strategy and instrument in columns C and D on the 'Deployed Strategies' sheet.  This will pick up the Magic Number for you.
5. Paste in your MT4 Statement including comments into the 'MT4 Data' sheet  (starting in column F) and press 'Setup Data' button in the top left corner.  This will just trim the number of lines in the tool to the number of lines the statement is.   Note that I have only included closed trades at the moment but could expand to include open.  Also, I don't know if people have a different statement setup to me.  If they do then I could make this more flexible to allow more customised Statement formats.
6.  'Instrument Summary' sheet just shows how many strategies are deployed on each instrument and timeframe
7. Live performance shows the high level summary for each strategy and the portfolio.
8. Equity Chart shows the P&L / Equity chart (I haven't included an opening account balance) for the portfolio as well as a selected strategy (change the selected strategy in C3)

Post's attachments

FSB EA Live Performance Tool 2.xlsm 260.64 kb, 15 downloads since 2016-04-30 

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Re: Analyzing live performance

Hi JRod

Very well thought.

Wished I have this in the beginning of my EA development.  I've thousands of EA and my numbering is a mess.

Thanks once again for sharing your talent and resources.

ps i need to understand the numbering system a bit more.  I will ask further after I at a look at it.

Q1. How does this work if I already have my magic number?

Q2. Does this measure EA's profit factor and win/lost ratio?

HIT

Re: Analyzing live performance

Hi Hanahis. If you already have all of your magic numbers then you can just over-write the calculations on the 'Magic Numbers' sheet F4:Z50.  This will then flow through the rest of the tool.  It will calculate each EA's profit, Profit Factor, win/loss % so long as the magic numbers in the spreadsheet line up with your MT4 data, and you have deployed the strategies to an instrument.

Re: Analyzing live performance

Hi

Get the message the document is opened for reading.

But thanks looks beautiful from the whole

Pit

Re: Analyzing live performance

Not sure what is going on there pit. The workbook is not protected.  Make sure you enable content and enable macros.

Re: Analyzing live performance

I have done a little more work on the tool and now include Max Drawdown, Max Drawdown %, Return / Drawdown ratio, Average win, Average Loss, Maximum win, Maximum loss, Expectancy Ratio and Equity Curve (including opening balance) rather than just a P&L chart.

Would appreciate any thoughts on what else would be useful to include - maybe something to help balance the portfolio between different types of strategies (i.e. trend following, mean reversion etc)?

It is still a bit messy, but I will clean it up once I have all of the functionality in it.

Post's attachments

FSB EA Live Performance Tool 3.xlsm 377.04 kb, 9 downloads since 2016-05-02 

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