CHAPTER 27
Spreadsheet Development
Now that we have learned how to build a simple spreadsheet to calculate f, let’s
look at a more professional version and what we can analyze with it. This spread-
sheet is the one that I use to calculate the result for the systems in Active Trader
magazine. All the initial performance summaries in Part 2 were, for example, put
together with this spreadsheet. I wish I could show you how to put together a
spreadsheet like this, but there is simply too much going on here to make that pos-
sible. This spreadsheet can calculate the combined results from 2,500 days of trad-
ing (approximately 10 years) on 60 markets simultaneously.
Figure 27.1 shows the initial parameter setting that you can experiment with.
The initial equity, risk-per-trade multiple, and average commissions are the same
as those in Figure 26.3. To this, I have added the possibility to adjust for dividends
and for an interest rate earned on the money left on the account.
The max margin-to-equity ratio keeps the system from entering into any new
positions if this number is surpassed, to avoid having all money tied up in open
positions, if the unthinkable happens and everything starts to move against you.
The max drawdown and max monthly drawdown values let you stop trading mid-
month if the drawdown reaches intolerable levels. In both cases, the trading
resumes at the beginning of the next month, but will only be allowed to continue
as long as the trading goes your way. The mean accepted return is used to calcu-
late the Sortino ratioin Figure 27.2.
For the strategy summary and rolling time window return analysis I strived
to gather as much information as possible, similar to the Institutional Advisory
Services Group (IASG) Web site. Figures 27.4 to 27.7 show the Web site.325Copyright 2003 by The McGraw-Hill Companies, Inc. Click Here for Terms of Use.