Research / Backtesting

(1) QuantumX (QX) application allows you to open and save several suites on your harddrive.

(2) You current license information is shown in the right hand corner of QX. Also, green or red dot identifies if you’re currently connected to the license server. If you are not connected and red dot is shown you have 48 hours before your software will not be able to run backtesting unless you can connect again. All you need to do is to be on the internet and allow normal web page browsing

(3) All of the systems which are a part of the suite are in the block on the right of QX. Check box signifies if you want to run all selected systems in a suite. If something is not checked that means that it won’t be runs a part of combined suite but you can still run it as an individual system

(4) All of the tabs here allow you to configure your suite parameters, or configure a selected system, or view results for a backtesting run

(1) Open Suite – this allows a user to open a stored suite. Stored suite is on the disk under SavedSuites folder in QX installation as a “.config” file.

(2) Save Suite As – this allows a user to save all systems in the working suite as a new suite. CATION: if you choose the same file as in the stored SavedSuite folder it will overwrite the suite with a new suite.

(3) Save - this allows a user to quickly save all current modifications to the suite without running a backtest. In most cases if user makes a change in either suite params or a system the changes are automatically saves by default (unless Autosave Config setting is turned to No).

(4) Run – this allows a user to run an individual system without running a full suite of systems. This is quite useful if a user is working on a particular system and is in the Add/Edit System mode and wants to test how it runs.

(5) New System – this creates a new system in the suite which user can then modify.

(6) Copy System – this functionality allows a user to quickly copy (duplicate) a system for further modifications

(7) Export – this functionality allows a user to export only selected systems as its own suite (config) file. This can be useful if a user wants to have several suites for different testing purposes. Example: MR Long leg only; MR Short leg only.

(8) Import – this functionality allows a user to import different stores suite’s systems into a current suite.

(9) Reorganize – this functionality allows a user to quickly update all systems in the suite for their allocation and other available properties, also allows user to see which systems are Short and Long legs

(10)Delete System – this functionality allows a user to delete a system from the current suite

View Results

Main table column definitions:

1. CAGR%

a. Compounded Annual Growth Rate expressed in percent

2. RAR%

a. Regression Annual Rate expressed in percent

3. Max TE Drawdown

a. Maximum Total Equity Drawdown for the duration of the full backtest expressed in precent

4. Avg 5 Total DD%

a. Average of the highest five drawdowns expressed in precent

5. Longest Drawdown

a. Longest time in

6. TMS Performance Ratio

a. TMS ratio which uses Avg 5 Total DD% and RAR% to score the current backtest results

7. R-Cubed

a. Uses Avg 5 Total DD%, RAR% and Average 5 Longest Drawdowns to score the current backtest results

8. MAR

a. Ratio of CAGR vs Max TE Drawdown

9. Win%

a. Percentage of wins vs total number of trades

10. Win/Loss

a. Average Win / Average Loss

11. Trades

a. Total number of trades taken. Trade is counted as open and then closed position (including any remaining open positions at the end of the backtest).

12. Avg Trade Duration

a. Average trade duration

13. Avg Win%

a. Average Won Value

14. Avg Loss%

a. Average Loss Value

15. Max Open Positions

a. Maximum number of open positions in a duration of a backtest

16. PF(Profit Factor)

a. Total Won Values / Total Lost Values

17. Performance Ratio

a. Win Percent * Win/Loss Ratio