System Type: specify whether to create a long, a short or a long/short trading system
Number of positions: Specify the maximum number of positions in the portfolio. You can use the advanced money management script to dynamically change the number of positions in your portfolio.
Entries and exits settings: If a label is underlined when the mouse is over it, click on the mouse left button to display a small menu. You can also update values directly using the mouse wheel.



Entries and exits rules: Click on a rule or on "add rule" to update, add, remove and manage rules.

Specify the stops to apply to the trading system by clicking on the appropriate icon:

·         Maximum loss stop: Exit a position if the symbol's performance (points or percent) falls below this level

·         Profit target stop: Exit a position if the symbol's performance reaches this level

·         Trailing stop: Exit a position if the symbol's drawdown falls below this level

·         N-bar stop: Exit a position after a specific number of bars 

1.3. Capital Settings

The Capital settings include:

• Initial equity
• Periodicity: rebalance period
• Reference symbol: generally an index like the SP500
• Risk free rate
• Percent of capital to invest: Specify the percentage of capital to invest
• Activate stop immediately: If activated then when exiting a trade because of a stop, uses the stop value as the trade exit price, otherwise exit as defined in the sell or cover price and delay settings)
• Reverse entry forces exit: When checked, the back-tester will close a long position if he encounter a short signal for the same symbol and close a short position if he encounters a long signal for the same symbol.
• Reject trade if position size is higher than x times the symbol's volume for that day: tell the back-tester to enter position only if there is enough liquidity.
• Margin: a factor to specify the margin you want to allow for this trading system (A value of 2 means that the amount of money you are allowed to use within this trading system is twice your current equity value)
• Minimum shares: This is the minimum number of shares you can buy or short. (The position will not take place if the number of shares to buy or short is less that this value)
• Minimum position value: The same as 'Minimum shares', but we use here the position value or volume.
• Commissions: Brokerage commissions
• Slippage: specify the average slippage associated with each trade. (Difference between the simulated entry price and the real entry price)
• Allow penny stocks: Reject a trade or a position if the stock price is lower than 2. Use this field only if you are trading stocks.

1.5. Money Management

See Advanced Money Management 

1.6. Optimize a trading system

You can optimize a trading system using the optimizer plug-in or using the simulator optimizer.
The optimizer plug-in uses complex algorithms to find the best trading system, while the integrated simulator optimizer use bulk optimization (that is, the simulator will back-test all the possibilities) 

1.7. Run or optimize a simulation

To run a simulation, first select a trading system, and then click on "Simulation".
To optimize a simulation, first select a trading system, and then click on "Optimize". 

1.8. Trading System Report

1.8.1 Introduction

The "Trading System Report" analyzes all the signals generated by the simulation and gives you a detailed report.

1.8.2 Grid
 

The grid control shows you the simulation basic statistics.
When using optimization, this grid shows all generated simulations, a column for each variable shows you what value were used for each simulation.

Double click on the 'Report' column icon to open the report of the selected simulation.

1.8.3 Chart

Plot equity, drawdown and others time-series graphs.

Right click on the chart to open a menu.
You can create new panes, remove panes, and remove a graph from a pane...

To add a graph to a pane, select a time-series from the combo box as shown below then click on 'Drag' icon then drag the time-series and drop it into a chart's pane.

To draw entries and exits signals in a symbol chart, check 'Plot Entries & Exits on chart' then select a symbol that was used in the simulation.

The symbol chart will look like the picture below. Click on the arrows to display the position details.

1.8.4 Statistics

Capital:

Initial Capital – The size of your account before the simulation started

End Capital – The size of your account after the simulation ended

Net Profit – The profit generated by the trading system

Net Profit in Percentage – The profit generated by the trading system in percentage

Exposure – The percentage of your account that was invested for all bars

Net Risk Adjusted Return – Net profit % divided by Exposure %

Annual Return – Compounded annual return %

Risk Adjusted Return - Annual return % divided by Exposure %

Average Profit/Loss - (Profit of winners + Loss of losers)/(number of trades)

Average Profit/Loss in Percentage - (% Profit of winners + % Loss of losers)/(number of trades)

Average Bars Held - sum of bars in trades / number of trades

Winners:

Total Profit – Total profit generated by winning trades

Number of Winners – The number of winning trades

Average Profit - Average profit of the winning trades

Average Profit in Percentage – Average profit of the winning trades in percentage

Average Bars Held For Winners

Max Consecutive Winner

Largest Winner

Number of Bars in Largest Winner

Losers:

Total Loss – Total loss generated by loosing trades

Number of Losers – The number of loosing trades

Average Loss - Average loss of the loosing trades

Average Loss in Percentage – Average loss of the loosing trades in percentage

Average Bars Held For Losers

Max Consecutive Loser

Largest Loser

Number of Bars in Largest Loser

Drawdown:

Maximum Trade Drawdown - The largest peak to valley decline experienced in any single trade

Maximum Trade Drawdown In percentage - The largest peak to valley decline in percentage experienced in any single trade

Maximum system drawdown in dollar - The largest peak to valley decline experienced in portfolio equity

Maximum system drawdown in percentage - The largest peak to valley decline in percentage experienced in portfolio equity

Recovery factor - Net profit divided by Maximum system drawdown

CAR/MaxDD - Compound Annual percentage return divided by Maximum system percentage drawdown

RAR/MaxDD - Risk Adjusted Return divided by Maximum system percentage drawdown

Misc:

Number of trades – The total number of trades generated by the simulation

Percent of winners – The percentage of trade's winners

Annual turnover – Example: a value of 100% means that the average holding period of a trade is one year; a value of 200% means that the average holding period of a trade is six months

Total trading costs – The sum of all the trading costs generated by the simulation

Volume activity – The sum of all the positions size generated by the simulation

Percent trading cost of volume - Total trading costs / Volume activity

Percent positive days – The percentage of positive days in the simulation equity

Percent positive months - The percentage of positive months in the simulation equity

Percent positive years – The percentage of positive years in the simulation equity

Average daily return

Average weekly return

Average monthly return

Stats:

Ulcer index - Square root of sum of squared drawdown divided by number of bars

Ulcer performance index – This indicator is used to measure the riskiness of an investment

K Ratio - A ratio that is used in the performance evaluation of an equity relative to its risk. The ratio examines the consistency of equity's return over time. Higher is better

Standard deviation - A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Standard deviation is calculated as the square root of variance.

Downside standard deviation - The downside standard deviation from the ordinary standard deviation insofar as the sum is restricted to those returns that are less than the mean

Sharpe ratio - The Sharpe ratio tells us whether a portfolio's returns are due to smart investment decisions or a result of excess risk, the higher the better

Sortino ratio - The Sortino ratio is similar to the Sharpe ratio, except it uses downside deviation for the denominator instead of standard deviation, the higher the better

Profit factor - Profit of winners divided by loss of losers

Payoff ratio – Ratio of average wins / average loss

Performance Vs Benchmark:

Beta - A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole; if a stock's beta is 1.2, it is theoretically 20% more volatile than the market. 

Alpha - A measure of performance on a risk-adjusted basis, a positive alpha of 1.0 means the fund has outperformed its benchmark index by 1%. Correspondingly, a similar negative alpha would indicate an underperformance of 1%.

R Squared – The percentage, of a fund or security's movements, that can be explained by movements in a benchmark index. R-squared values range from zero to 100. An R-squared of 100 means that all movements of a security are completely explained by movements in the index

Correlation - a statistical measure of how the security and the benchmark move in relation to each other

1.8.5 Trades

Realized trades: This window shows you the list of all realized trades.

Trades flow: This window shows you the list of all the trade's entries.

1.8.6 Detailed trades

This window shows you the entries and exits of the trades on a bar-basis.

1.8.7 Performance Per

This window shows you the performance of the trading system per day, week, month and year.

1.8.8 Symbols

The Symbols tab contains the list of the symbols that were used by the simulation.

1.8.9 Formula

The formula tab contains the formula that was used to create the trading system.

1.8.10 Profit distribution

Display a graph that shows you the profit distribution.

1.8.11 MAE/MFE

Display two graphs, one for maximum adverse exclusion and the other for the maximum favorable exclusion.

1.8.12 Custom graphs

Create custom graphs, could be Trade/MAE or Drawdown/MFE...

1.8.13 S.I.M.I

Shows you the position symbols distribution over markets, industries, sectors and indexes.

1.8.14 Reference symbol

The symbol used as reference.

1.8.15 Exit rules

Shows you the exit rules distribution and the average trade's performance for each exit rule.

1.8.16 Report settings

The Report settings tab allows you to define the default graph interval values.

1.8.17 Errors Tab

This tab displays the errors, if any, that occurred during the execution of the money management scripts.
The tab name changes to "No errors" if no errors occur during the money management scripts execution or if no money management rules is defined.