Looking to create an excel program that would take futures trading transaction data and convert it into all kinds of statistics and charts with measures daily, weekly, monthly, and year to date.
starting and ending equity, equity curve chart, %ROC
# and %of trades: total, wins, losses, break-evens
# and % of long trades, of short trades
average win, average loss, largest win, largest loss
avg. time in trade: Total, wins, losses, break-evens, long, short
Risk measures: sharpe ratio, sortino ratio, risk adjusted return
* * *This broadcast message was sent to all bidders on Thursday Nov 26, 2009 12:29:09 PM:
Hello, Thanks to everyone who replied to my bid request. Many of you have asked questions and following is my answers: There is new data to be added every day and comes from csv file from which I would cut the data and paste into the engine. I will attach a sample file for your review. Preferably I could run the engine on both excel 2003 and 2007, but if it's too complicated then just 2007. For the graphs, the equity curve should be plotted as equity over time, and the other statistical measures can be plotted as pie charts and histograms. I can provide the formulas for the Sharpe and Fortino ratios, the other calculations are all fairly straightforward. Let me know if you have any more questions.