The "Import Trades" screen is where TSPE accepts a list of the profits and losses (P&L) derived from the simulated or actual results of your trading system. The trading results can be entered 1) manually, 2) through an ASCII file with the trade results shown on separate lines, or 3) as a TradeStation® System Report. In the example at hand, the manual method was used, so we clicked the [Manual] button. The other two options are discussed under "Selecting Data Import Method" in Step 1 (above).
Entering Trade-By-Trade Data
This takes you to the "Enter Data" screen that includes a "Profit/Loss" entry box at the right. This is where you will show the individual trade outcomes, with or without commission and slippage. Click in the first empty entry box below the "Profit/Loss" title and enter the dollar amount of the first profit or loss from your trading record. To include commission and slippage here, the typical ask-minus-bid spread in dollars and the commission should be subtracted from the trade-by-trade results entered. If commission and slippage are excluded, you can enter guidelines for these calculations later.
As you are entering data, you may review the summary statistics shown on the left side of the screen. These include total profit, average gain and loss, maximum drawdown and other details derived from your P&L record. Although this table tells a story about your input data series, it is not a projection of future performance. The information displayed here is dependent upon the sequence of trade results and is, therefore, not appropriate for evaluating profit potential. The differences between the summary statistics and TSPE's ultimate capital analysis results reveal through simulation the importance of TSPE's requirement for trade independence. The independence assumption is critical to the forthcoming evaluation, which will investigate exhaustive random orderings of your trade results forcing sobering reality into your input.
Here is a sample track record to use with this tutorial:
After entering your first trade result, use the down arrow key (not Enter or Tab) to proceed to the next line and enter your next trade result. Continue entering profits and losses in the sequence that they occurred until all trades have been represented. When you are finished entering your trade results, click [OK] or [Save].
If you save the file, you will be asked for a filename so that you can retrieve your list for future use without re-typing. We used TSPEtest.txt for this example. If you save the file, the next time you want to review this listing you can enter your chosen filename to import trades rather than using the manual entry option. After saving your file, click [OK] to proceed.