Overview

 

What it Is

 

Brute Analytics VIEW360^TM is an “elegant design solution” that is easy to install and easy to use for performing Walk Forward Analyses of simple and/or complex trading strategies, perfect for intra-day trading.  It is a highly versatile and flexible system designed to maximize CPU power for processing large amounts of data and producing straight forward understandable analytical results.

 

What it Does

 

Brute Analytics VIEW360^TM provides an independent validation assessment of the trading strategy, its financial performance and the cumulative cash impact.    

1. Validate Trading Strategy - "How often did it work, How was it affected by market conditions"
2. Measure Financial Performance - "How well did it work, in part and in total"
3. Cumulative Cash Impact - "What the Big Picture looks like over time"

  Results include:

• Win/Loss $ Ratio
• Net Profit, Gross / Loss Profit
• Profitable Trades %, Highest/Lowest Outlier Trades & Consecutive Win/Loss Trades
  
• Profit & Loss Statement (In Total and by Trade)
• Pessimistic Return On Margin
• Summary of Results and Trade-By-Trade Detail 
   
• Equity Curve Cumulative Cash Position & Maximum Draw Down
      
• Walk Forward Evaluation Ratio
   
• Next Inputs for Future Trading Parameters.

 

How it Works   

Essentially, this is how the process works. 

   

Input Data.

Brute Analytics VIEW360^TM reads the optimized trading history file generated by your trading system (eg; NinjaTrader or TradeStation).  The optimization process generates all permutations over the range of values specified for each Trading Strategy parameter.  Up to 10 optimized trading parameters may be specified. The optimized trading file contains all of the trades that have met your trading strategy algorithm.

   

Unlike many other Walk Forward software packages, with VIEW360^TM you only need to perform your trading system's optimization once for optimizing the trading strategy parameters of interest and collecting ALL of the theoretical trades generated (including detailed trade information). Trades may then be selected independently allowing much greater flexibility as well as saving you significant time and repeated effort. 

 

  

Time Sequencing.

VIEW360^TM then separates all of the trades generated into the specified “in-periods” and “out-periods” based on the time period lengths you select.  For example, you may use an "in-sample" period of 120 days and check results in the following 30 day "out-period".  VIEW360^TM works very efficiently by temporarily saving all of this information. 

  

 

Strategy Selection.

Next, VIEW360^TM selects the trading parameters (and subsequently the trades) you are interested in across all of the “in-periods”. This is easily performed by creating "objective function" selection criteria from list menus of predefined keyword names, trading functions and logical operators.  Using your search criteria, you then can select the best trading method (ie; optimized parameters) within each trading “in-period” sample.  VIEW360^TM will automatically select the corresponding trades in the following “out-periods”.

    

 

Walk Forward Analysis.

VIEW360^TM automatically repeats this process as the analysis “walks forward” through the time-series of trading events.  In this way, it can be seen how well the process of selecting the best performing trading strategy within each "in-sample" period performs during the "out-period" that follows.  VIEW360^TM allows you to choose the length of the “in-sample” time periods of the "past" as well as the length of the “out of sample” periods that follow of the "future".  VIEW360^TM then tests the validity of your trading strategy in the following “out of sample” periods. 

 

 

Results Evaluation.

Multiple measures are provided to help evaluate how 'robust' the trading strategy is for reliability and consistency across multiple periods, parameters, markets and conditions. For example the win/loss ratio of trades, net profit dollars, gross profit/loss, pessimistic return on margin, etc.  

 

Generally speaking, results achieved during the unknown "out of sample" time periods will most often be less than the results achieved during the known ‘in sample’ periods on which the trading strategy is based.  Therefore, the overall evaluation of the trading strategy performance is usually reflected by the ratio of results during the ’out of sample’ period compared to the results from the ’in sample’ periods.  This is known as the Walk Forward Evaluation ratio.

Note: Frequently Authors suggest that any trading strategy to be considered should generate financial results “out of sample” that are at least 50% of the results achieved during the ’in sample’ periods.   

 The results are straight forward, based on rigorous processing of actual detailed trading events. 

1. Validate Your Trading Strategy
2. Measure Financial Performance
3. Determine the Cumulative Cash Impact
   
   Results (select to enlarge)   

      

      Performance Summary              Cumulative Equity Curve           List of Optimized Trades

 

     

    In-Period Trade Results               Out-Period Trade Results        Next Input Parameter Values