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Trade List Windows

 

 

 

 

The next level of test results analysis is to open the trade list, sort by various columns, and review individual trades visually on bar charts.

Right-click on a result, select "Show Trade List", and then double-click on any row in that list to display the trade on a chart.

Once the chart is open, use the UP and DOWN arrow keys to quickly cycle through the trades (an oddly difficult task in most other backtesting software).

As with results and graphs windows, trade lists have an underlying script which defines any custom columns you wish to add.

Trade List Windows include 13 standard columns plus any number of user-defined columns.

If no extra columns are specified, a trade list will show only these standard columns:

Please note that as with all price and volume information that you work with in RealTest, the QtyIn and PriceIn shown are as-traded (unadjusted) values. The same is true for QtyOut and PriceOut. If there was a split between the trade entry and exit date (or a dividend when total return data is used), QtyOut will be different from QtyIn, with the prices adjusted accordingly. This is consistent with what would happen in an actual brokerage account.

The default Trades.RTS that is installed with RealTest is an example of a script which adds custom columns:

Applying changes to this script causes the new columns to be shown in all open trade windows.

Here is how the trade list looks when scrolled horizontally to show the custom columns:

Note that for tests with very large trade counts (10,000+), having a large number of custom trade column formulas will make it take a bit longer to open the trade list. In such cases, progress is displayed in the status bar, and you can hit ESC if you don’t want to wait for completion.

In order to calculate these formula-based trade columns, the currently loaded data file must include at least one symbol with a date range that encompasses the trade entry and exit dates. If the formula references any bar data (Open, Close, etc.) then that specific symbol must be present in memory. If a formula can not be evaluated using currently available data, "nan" is displayed.

One special column, Filter, can be used as needed to prune the trade list when you only want to see some of the trades.

Here's part of a trade list from a system with 7 strategies:

Now we open Trades.RTS by pressing F9 and add this filter:

Then press F4 to apply, and now the top of the list looks like this:

When there's a filter formula in the Trades section, it applies to every trade list window, so you'll want to comment it out again when done looking at that view.

The other special element of the Trades section is Sort, as shown in this example:

If Sort is specified, every new Trade List will initially be sorted by the specified columns. Beginning a column name with a dash specifies a descending sort, otherwise the order will be ascending.

Note that the name used to refer to a column in the Sort statement must be its visible column title, not its formula name. Usually these are the same.

See also Trade Comparison Windows.

The Trades Menu, accessible by right-clicking in a Trade List Window or via the menu bar, provides access to all of the features of this window type, including some not mentioned above.

 

 

 

 

 

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