Getting Your P&L String Ready

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When preparing a profit and loss record (P&L) for analysis with Unfair Advantage, it is important to make sure your data conforms to the assumptions used by TSPE.

Sample Size: When building your initial file, you should continue adding information to the P&L string until you supply more than 30 trades if your P&L distribution is not normal (bell-shaped). Although it is possible to run TSPE with just a few trades in the file, we recommend at least 50 entries spread over an extended and representative time period to obtain a reasonable assessment of the trading system. Results derived from fewer than 50 samples may have little validity. This is particularly true when an actual trading record is evaluated because TSPE makes few corrections for user bias in this case.

For proper evaluation of a system, the selection of samples should be either a census of all trials or a random sample drawn from a P&L set that possesses a mean and variance representative of the parent population. It goes without saying that any attempt to trick the computer with biased input is an attempt to fool yourself with an unachievable solution. Please read the section on importance of sample size and trade independence in "The TSPE Model" in the Introduction.

Receiving an ASCII file from Position Manager

Unfair Advantage's Position Manager module may be able to create a suitable P&L file based upon the trades in your position list. If you are maintaining trade records there, and have a sufficient quantity for analysis, click "Send to TSPE" from the Position Manager's File menu and complete the necessary prompts to save the data.

Preparing and Saving an ASCII File

You can create an ASCII text file with any spread sheet program or word processor, including the Notepad program that is included in your Windows Accessories.

The ASCII file hold separate line for each trade record. These lines include a single field per line, which is the profit and loss information.

This is a positive or negative number indicating the net or gross profit or loss on a trade. A decimal point may be included in the value. Do not include $ symbols in your file.

Profits are entered as positive numbers. Do not use a + to identify positive values.

Losses are entered as negative numbers. Use a - sign immediately in front of the dollar value to indicate losses. DO NOT put a space between the - sign and the numerical value.

An example:

When you are finished entering your P&L information, save the file anywhere you want, being sure to give it a unique name and to remember how to find it again.

Preparing a TradeStation System Report File

TradeStation can create a file of profits and losses IN POINTS, which TSPE is able to import and process for evaluation. We recommend preparing the report in TradeStation before launching UA. Here's how:

1. Perform the desired analysis through TradeStation, using the markets and studies you wish to certify with TSPE.

2. Pull down TradeStation's View menu, and select "System Report."

3. Click the disk icon to Save File.

4. Save the report as an Excel file to c:\sysrep.xls

5. Close TradeStation and launch TSPE.

Note that each file created in this way has the same filename, so you cannot store two reports simultaneously. They overwrite each other! If you wish to analyze multiple TradeStation studies, you'll need to run the study, generate the report, analyze with TSPE, and then repeat the entire sequence for the next TradeStation study.

Once you have compiled the proper profit and loss data to enter or import into TSPE, you'll be ready to launch the program.