Tracking the performance of multiple strategies

Discussion in 'Trading' started by HotTip, May 13, 2008.

  1. HotTip


    I currently employ multiple day/overnight trading strategies, and the only way I can track the performance of each strategy is by entering them in a massive excel spreadsheet and tagging each trade with the associated strategy. Is there an easier way of accomplishing this? I use IB, and I haven't found any order attribute on TWS that allows you to peg the order to a user defined strategy identifier.

    Are there other traders out there that use multiple strategies and are also trying to track individual strategy performance? If so, have you figured out an easy way of doing it?

    Thanks all.
  2. vikana

    vikana Moderator

    I use the following little trick: assign an OCA group that encodes the system name.

    If you use the API, you can get the OCA info back as part of the fill events.

    I've made an enhancement suggestion to add "tagging" in the past. Maybe you can do it, and I'll vote for it :)
  3. HotTip


    Great idea vikana. If I don't use the API and just use the basket order, would I still be able to get OCA info on the trade and portfolio export reports?
  4. In TradersStudio, you can create/design, backtest and on an ongoing base engage in live "Trade Management".

    I trade daily using a similar approach and I can keep track of my trades and their performance using TraderStudio. I can also use TradersStudio to ensure that I place the accurate trades per each system/strategy with my broker.

    So consider you have five different strategies.

    In TradersStudio - each system is called a Session. You can create a portfolio of systems (Sessions) . This portfolio of systems is called a TradePlan in TradersStudio.

    When you create a system/Session in TradersStudio - you give each signal in each system a unique signal name e.g. "BUYSGL1", "BUYSGL2'. Each session/system can have multiple signals/signal names and each TradePlan can have multiple sessions/.

    At the end of the trade day as I prepare for the next trade day I run my TradePlan and get the "Active Trades' reports - this gives me the list of trades I should place for the next Trade date. If you have multiple orders- you can even copy/export t this report to Excel, format it and upload into your broker’s platform if they support batch order input. I know IB and Open E Cry support batch orders,. With this you can submit hundreds of orders in seconds and do so error free! No need t manually type in hundreds of orders.

    There is also a TradebyTrade report in TradersStudio that specifies what trades were triggered that day (and historically) and their open PandL. I can compare this TradebyTrade report to my actual trade blotter or FCM statement. I can also use these reports to keep track of performance by system, by portfolio/Tradeplan, by market, etc.

    It's a quite powerful and user friendly framework for the active trader. Highly Recommended!