Past Trade Analysis Software

Discussion in 'Trading Software' started by InTheZone, Mar 9, 2003.

  1. Hello,

    I'm looking for software to help analyze my past trades.

    I'm currently planning to do the following in Excel:

    A. Download historical one-minute bar data into a worksheet.

    B. Mark the bars that are part of my pattern setup

    C. Mark the bars that are my entry and exit points

    D. Determine the maximum drawdown while in the trade. Drawdown in terms of maximum loss experienced while in the trade. Not in terms of cumulative losses from completed trades.

    E. Perform statistical analysis of the past trades in aggregate to look for common characteristics of winning and losing trades. For example, I would look at the time of day, day of week, week, of month, month of year of all the winning and losing trades to see if there's a pattern or not.

    F. Modify my entry and exit rules so that I can examine "what-if" scenarios.

    G. Study the structure of my setup as per task (B). Are some structures more profitable then others?

    I'm quite certain I can do this in Excel. However, the resulting Excel file will be come very large no doubt. For example, 1 minute bars of all the E-mini S&P December 2002 contract is over 70,000 rows of data.

    I've considered using TradeStation 2000i to do this, but it would be cumbersome to use to to do task (E).

    Are there any other software products out there that can do this?


    -- ITZ