Trade-by-Trade Reports

Illustrative trade-by-trade reports were prepared using the simulators contained in TradeStation (Table 2-3) and in the C-Trader toolkit (Table 2-4). Both reports pertain to the same simple moving-average crossover system used in various ways throughout this discussion. Since hundreds of trades were taken by this system, the original reports are quite lengthy. Consequently, large blocks of trades have been edited out and ellipses inserted where the deletions were made. Because these reports are presented merely for illustration, such deletions were considered acceptable.

In contrast to a performance report, which provides an overall evaluation of a trading system’s behavior, a detail or trade-by-trade report contains detailed information on each trade taken in the simulated account. A minimal detail report contains each trade’s entry and exit dates (and times, if the simulation involves intraday data), the prices at which these entries and exits occurred, the positions held (in numbers of contracts, long or short), and the profit or loss resulting from each trade. A more cmprehensive trade-by-trade report might also provide information on the type of order responsible for each entry or exit (e.g., stop, limit, or market), where in the bar the order was executed (at the between), the number of bars each trade was held, the account equity at the start of each trade, the maximum favorable and adverse excursions within each trade, and the account equity on exit from each trade.

Most trade-by-trade reports contain the date (and time, if applicable) each trade was entered, whether a buy or sell was involved (that is, a long or short position established), the number of contracts in the transaction, the date the trade was exited, the profit or loss on the trade, and the cumulative profit or loss on all trades up to and including the trade under consideration. Reports also provide the name of the order on which the trade was entered and the name of the exit order. A better trade-by-trade report might include the fields for maximum favorable excursion (the greatest unrealized profit to occur during each trade), the maximum adverse excursion (the largest unrealized loss), and the number of bars each trade was held.

As with the performance summaries, there are differences between various trade-by-trade reports with respect to the ways they are formatted and in the assumptions underlying the computations on which they are based.

While the performance summary provides a picture of the whole forest, a good trade-by-trade report focuses on the trees. In a good trade-by-trade report, each trade is scrutinized in detail: What was the worst paper loss sustained in this trade? What would the profit have been with a perfect exit? What was the actual profit (or loss)open, the close, or in on the trade? Has the trading been fairly consistent? Are recent trades worse than those of the past? Or are they better? How might some of the worst trades be characterized in a way to improve the trading system? These are the kinds of questions that cannOt be answered by a distant panoramic view of the forest (a summary report), but they can be answered with a good trade-by-trade or detail report. In addition, a properly formatted detail report can be loaded into a spreadsheet for further analysis. Spreadsheets are convenient for sorting and displaying data. They make it easy, for instance, to draw histograms. Histograms can be very useful in decisions regarding the placement of stops (Sweeney, 1993). Histograms can show how much of the potential profit in the trades is being captured by the system’s exit strategy and is also helpful in designing profit targets. Finally, a detailed examination of the worst and best trades may generate ideas for improving the system under study.