backtesting engine for trading strategies

Backtest Engine for Trading Strategies

Presented by Quant Trade Technologies, Inc.

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Backtesting Engine Basics Quant Trade Backtesting engine is the universal standalone software suitable to test performance of any recorded sequence of trades. It allows for independent evaluation of trading performance, calculation of trading statistics and visual representation of trading performance charts.

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Backtesting with Bloomberg© Professional

In this presentation we illustrate the use of Quant Trade Backtesting Engine to evaluate performance of trading strategies executed as CS.NET studies in Bloomberg© Professional

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Backtesting Steps

Select strategy Watch trading signals Signal table view Copy signal data Backtest analysis Performance reports

Select Strategy

The first step in analyzing your trading strategy with the backtest engine is to make a strategy selection. This should be determined after you have become familiar with the tools in the Fractal Suite and the Trading Strategy Module. In this example, “Fast Forward mode” is selected as the strategy. “Use ARC flag”, “Use Auto Stop”, and “Turns profit target on or off” are also checked for use as risk control parameters.

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Strategy Settings

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Watch Trading Signals

Once the settings are updated in Bloomberg, the entry arrows and exit dots become visible. The green line between the entry and exit is a profitable trade. The red line is an unprofitable trade. From here, right click on a blank area of the chart. A pop up will appear giving you the option to select “Table View”. Select that option by clicking on it. 7

Signals on Chart

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Table with Signals

Right click on a blank area of the chart. A pop up will appear giving you the option to select “Table View”. Select that option by clicking on it.

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Signal Table View

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A table appears with all of the data that you are running with the Fractal Suite and Strategy Module. Here you can see the trading signals in the trading signals column.

Copy to Clipboard

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Right click on the table and a pop up will appear. Point over Copy/Export Options. Now click on Copy Data to Clipboard.

Backtest Engine

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Now run the Backtest Engine and click on the Paste icon.

Copy of Signals

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You should see the price and indicator data including Trading Signals appear in the Historical prices and trading history section. This is the same data from the Table View in Bloomberg.

Performance Analysis

Trading performance analysis starts immediately on data acquisition. Now view the trading performance to see how your strategy performed. You will see four sections of performance. One is Trading performance and summary statistics, the second is a list of Profitability of Individual trades, the third is Extended Trading Statistics, and the fourth is a Performance graph. 14

Trading Performance

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Backtesting Reports

Save performance reports in a multitude of popular formats:

Microsoft Word® Microsoft Excel® Adobe® PDF Text File HTML Web Page MHT Web Archive

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Save Performance Data

Return to the command bar at the top of the screen and click on the Save icon.

Name your trade data file and press save. Now you can go back to the backtest

engine anytime and load the data by clicking on the Load icon in the command bar at the top of the screen.

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Analyze Multiple Strategies

Expand all of the sections in the Backtest Engine for a full view of your new strategy report.

When you are ready for a new report on a new strategy, simply repeat the previous steps.

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Pioneers in the fractal exploration of financial markets

Trading futures and options involves the risk of loss. You should consider carefully whether futures or options are appropriate to your financial situation. You must review the customer account agreement and risk disclosure prior to establishing an account. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. Past results are not necessarily indicative of futures results. The risk of loss in trading futures or options can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. Information contained, viewed, sent or attached is considered a solicitation for business.

Quant Trade, LLC has been a Commodity Futures Trading Commission (CFTC) registered Commodity Trading Advisor (CTA) since September 4, 2007 and a member of the National Futures Association (NFA).

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