How to use the Strategy Analyzer 2.0

ICE Data Services -

How to Use the Strategy Analyzer Report
Access the report

You can access a Strategy Analyzer Report by selecting an Advanced Chart and then selecting "Back Testing" menu option from the Tools menu or from the Advanced Charts right-click menu (Tools-->Back Testing).

To close the Strategy Analyzer Report, click the Close (X) button in the top right of the window.

Settings

The setting dialog box, which can be opened by clicking on the Setting icon on the menu bar, consists of three tabs of configurable report settings.

The first tab is the Financial Settings. These settings adjust the basis for which the report calculations will originate to create the most realistic results as possible.

 

Point Value - This field is used to force the currency values to reflect totals based on the total value of the underlying security.  For equities, the point value would be left at 1 because for every point increase in the securities price, the currency value of the position increases by 1.  If the report is being tested on a futures or commodities contract, enter the currency point value increase per 1 point increase of the security's price.

Initial Capital - The sum of money you are initially investing in the specified market. This value is the starting point for calculating the profit and loss percentages.

Commission - The commission charged by your broker calculated as "per trade" or "per contract" commission.

Slippage - The difference in price between when you place an order and when the order is executed.  This doesn't happen naturally in back testing so this field exists to allow you to incorporate a realistic affect of slippage to the end results.

Margin Per Contract - The amount you pay the broker as margin per contract.  

Interest Rate - The interest earned by your money outside of active trades.   

Number of Standard Deviations - Some of the Strategy Performance Report fields are calculated with the addition or subtraction of a certain number of standard deviations.  

Minimal Acceptable Rate of Return - The minimal acceptable rate of return for the investor.

Degree of Risk Aversion of the Investor - The degree of risk aversion for the investor, necessary for calculating the Fouse index.  Risk aversion values can be set to 1, 2, or 3 - correspondingly for aggressive, moderate, and conservative risk tolerances.  The risk premiums an investor needs to forfeit an investment with a certain return are shown in the table.  

 

The second tab is the Display Settings.  Parameters in the tab influence the format and structure of data representation in the report.

Currency - The currency settings allow you to set the report figures to reflect a specified currency.  For any currency other than US dollars, enter the exchange rate against the US dollar (USD/currency).

No. of digits after decimal - Specify the number of digits to appear to the right of the decimal.

Fonts and Colors - These settings allow you to set the color, font type and font size (if applicable) for the Background, Expanded Background, Negative Values, Tables, General Font, Headings Font and Tabs Font.

Performance & Quality - Allows you to select Anti-Aliased font smoothing or none.

Periodical Analysis Tab Settings - (Display Limits) You can specify the number of periods evaluated in the Periodical Anaylsis tab. This does not apply to the fields in the other tabs.

 

 

The third tab is the Format Settings.  In this tab you can set the order of the displayed sections of each tab in the report and indicate which specific fields will be displayed while in extended tables mode.  While in extended tables mode, click on a field name to see it's full description in the Description box.

 


Save As

The Save As button allows saving the report in HTML format so that it can be emailed or opened in an internet browser for viewing.