I read recently the book "Building winning algorithmic trading system from Kevin J. Davey. The author points out the importance to follow your trading system result during live trading..

The idea is to detect when your trading strategy is not relevant according to the change of the market condition.

The author recommends to monitor your live trading performance vs your backtesting performance metrics (win%, avg win...).

The Account tool doesn't have any visualizer to be able to see your live results. Is there a way in WLD to do something similar to what the author asks to do ?

The beauty of the Accounts tool is in its simplicity, that is, it's not overloaded with "live trading performance" or other elements that first draw attention and later become forgotten by the trader. Nonetheless, this task can be approached from different sides:

1. It's natural for PosSizers to evaluate your system's performance through the lens of its equity or performance metrics and size (or reject) trades accordingly. For example, Trading the Equity Curve and TSSF (Trading System Safety Factor).

2. Employ the script-based equity interaction technique. Example usage: Trading by win rate and profit factor

Eugene,

Thank you for your reply. I understand that you do not want to modify the account tool. Your alternative solution is not what I'm looking for because you adjust the sizing of your position according metrics / equity. This not give me a clear view of the current metrics regarding backtesting results.

In the community components, there is the possibility to import real (historical) trades http://www2.wealth-lab.com/WL5Wiki/RealTrades.ashx. Why not to extend this feature for managing trades recording in the account tool ?

Good idea. It's pretty trivial to implement by parsing the Accounts history file using LinqToXml and then saving as CSV to be read by the "Import Real Trades" class. I'll do that soon so look forward to updated Community Components v2015.07 early next month.

Thanks a lot Eugene :-)

Note: as ImportHistoricalTrades requires an exact date/time match, trades taken on intraday scales will NOT be visible on non-intraday scales (such as Daily) AND vice versa. This is by design and not subject to change.

Hi abegy,

I did not read the book, but I have real doubts about any strategy that requires this kind of action. First I believe that you must be talking about intra day strategies (which I really dislike and believe they are a waste of money and time). Second, there will always be times when the system will behave unusual (positiv or negativ). I wonder what you do if you encounter an unusual large DrawDown? IMO this is the best time to stay in the system, because it should recover from it soon. If the systems well tested, on clean data, not "over optimized", preferable verified with walk forward testing and out of sample markets then you should have little to worry about.
We all like to look at our performance throughout the day, in my case it is more out of curiousity than to "verify" my system.

VK

Hi VK,

By reading this book, I had the confirmation that the market conditions are changing every time (new laws, new restrictions, new players...). For this reason, you must take care of your trading results all the time. The problem is that when you are a non professional trader like me, you do not know what the exchange has decided to change and could influence the market conditions.

The only way to know if your trading strategy is going to crash your account because of that is to look on your main metrics (wining rate, average profit, large loss). If you see your results moved in a different way that your backtest results, this is a big alarm to stop (or reduce your position sizing).

The Walk forward testing is not enough to avoid new market conditions. Walk forward is a good way to adapt your trading list but not your trading strategy to the market condition in my opinion.

Do not forget that there are a lot of great traders which were thinking that their strategies were the best in the world. But they were not able to bypass some events (subprime, High Frequency trading...). They just forgotten to change ! We are in a changing world. Now, trading strategies are linking to Twitter news... Do you think that it was the case 20 years ago ?

I hope you understands why I had requested an upgrade of WLD to help our community to look on their trading results in a more simple way.

And in my opinion, this is not link to your trading style (swing trader, day trader...).