Evaluating Your System


Start testing your system by running MATLAB command:

>> runts('tsFilename')

runts loads the market data and calls your tradingsystem for each day of the backtest with the most recent market data. It simulates the equity curve for your output values p. runts returns a struct with the exposures and the equity curves of the trading system. It computes the performance numbers of your system and plots its Factsheet.

Trading Results

The answer struct contains the following:

Field Data Type Description
ans.tsName STRING a string that contains the name of your trading system
ans.fundDate INTEGERS a list of the dates available to your trading system
ans.fundEquity DOUBLE a list defining the equity of your portfolio
ans.marketEquity DOUBLE a list defining the equity earned in each market
ans.marketExposure DOUBLE a list containing the equity made from each market in settings.markets
ans.errorLog CELL ARRAY a list describing any errors made in evaluation
ans.runtime DOUBLE a float containing the time required to evaluate your system
ans.evalDate INTEGER an int that describes the last date of evaluation for your system (in YYYYMMDD format)
ans.stats STRUCT a struct containing the performance statistics of your system
ans.settings STRUCT a struct containting the settings defined in mySettings
ans.returns STRUCT a list defining the market returns of your trading system