All good trading simulators generate output containing a wealth of information about the performance of the user’s simulated account. Expect to obtain data on gross and net profit, number of winning and losing trades, worst-case drawdown, and related system characteristics, from even the most basic simulators.
Better simulators provide figures for maximum run-up, average favorable and adverse excursion, inferential statistics, and more, not to mention highly detailed analyses of individual trades. An extraordinary simulator might also includein its output some measure of risk relative to reward, such as the annualized riskto- reward ratio (ARRR) or the Sharp Rario, an important and well-known measure used to compare the performances of different portfolios, systems, or funds (Sharpe, 1994).
The output from a trading simulator is typically presented to the user in the form of one or more reports. Two basic kinds of reports are available from most trading simulators: the performance summary and the trade-by-trade, or “detail,” report. The information contained in these reports can help the trader evaluate a system’s “trading style” and determine whether the system is worthy of real-money trading. Other kinds of reports may also be generated, and the information from the simulator may be formatted in a way that can easily be run into a spreadsheet for further analysis. Almost all the tables and charts that appear in this book were produced in this manner: The output from the simulator was written to a file that would be read by Excel, where the information was further processed and formatted for presentation
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