Strategy Report

Once you have added all the desirable pre-defined or newly created strategies, you can backtest their performance using a feature called Strategy Report. The report takes into account all Buy and Sell signals suggested by the strategy and estimates the Profit/Loss value. Let's see how it works in practice.

Let us add Bollinger Bands® Long Entry and Short Entry strategies to the E-mini S&P 500 Index Futures chart with "1 Year Day" time frame. These two strategies have generated 6 Buy signals and 5 Sell signals so far; Long Entry strategy serves as an exit for the Short Entry strategy and vice versa.

Right-click on any Signal arrow, and choose "Show Report" from the menu.

The Strategy report window will appear. In the report table, you will find information on the trades suggested by the added strategies.

The contents of the table is as follows:

  • Strategy. Name of the strategy that generated the trade signal.
  • Side. Direction of the trade and position effect.
  • Quantity. Number of contracts to be traded. You can specify this number in Global Strategy Settings. You can also specify it using the AddOrder function; in this case, the number specified in Strategy Global Settings will be overridden.
  • Amount. Number of contracts multiplied by dollar value specific to the instrument.
  • Price. Price at which one asset is traded.
  • Date/Time. Date and time of the suggested trade.
  • Trade P/L. Profit/Loss value of the certain trade.
  • P/L. Cumulative Profit/Loss value.
  • Position. Your position after the certain trade.

Below the table you can see maximum trade Profit/Loss value, total Profit/Loss value for closed positions, and number of suggested orders.

Bollinger Bands® is a registered trademark of John Bollinger.