Market System Analyzer Changelog

What's new in Market System Analyzer 3.5.0

Dec 23, 2015

MSA Version 3.5.0 includes a new Monte Carlo algorithm that uses parallel processing to take full advantage of multi-core processors. This not only dramatically speeds up stand-alone Monte Carlo analyses in MSA but improves processing times for position sizing optimization and the Parameter Studies feature when the Monte Carlo option is selected for these functions.
Also new to version 3.5 is the ability to read trade data from RINA xml files, which can be generated by trading software such as TradeStation and MultiCharts. The File Open command can now be used in MSA to directly open one or more text files of trade data, including xml files, and create a new MSA document in the process. Multiple files of trade data, such as multiple xml files, can be merged into one MSA document, or a separate document can be created for each file of trade data, with an optional portfolio file created as well.
In addition, this release includes the following changes and bug fixes:
Separate fields have been added for entry and exit trade times. Previously, it was necessary to represent trade entry and exit dates and times in combined date/time fields. MultiCharts produces output files that include separate fields for date and time. MSA now supports this.
Also in support of MultiCharts, the words "EnterLong" and "EnterShort" are now accepted as descriptions of trade direction in the Long/Short column of a file of trade data.
In the Return Tables section of the Performance Report, the limit on the number of displayed rows has been removed. All rows of results for yearly, monthly, weekly, and daily returns are now shown.
[bug fix] When the main plot was set to display Monte Carlo results and a setting was changed that affected those results, the display went blank for 10 second before reverting to the regular equity plot and displaying a message stating that the Monte Carlo analysis needed to be rerun. This behavior has been changed so that if the current plotting is for Monte Carlo results, any change that affects those results causes the Monte Carlo analysis to be redone automatically and the Monte Carlo plotting to be updated without user intervention.
[bug fix] Clicking the "font" button on the Chart Format window caused the program to crash.
[bug fix] Formatting errors were present on the portfolio optimization results window related to the display of the names and paths for the market-system files comprising the portfolio. The same errors were corrected on the results window for the Monte Carlo analysis for portfolios.
[bug fix] When entering trades manually through the editor (Edit/Add Trades window), if the profit/loss and risk fields were left empty, the corresponding values were set to zero, rather than as undefined. The zero values could subsequently affect the results if the selection on Analysis Setup was to use profit/loss and risk values, rather than prices.
[bug fix] Incorrect column labels on the trade export results have been corrected.
[bug fix] The missing cursor for dragging the vertical divider between the Performance Summary window and the main chart window has been restored.

New in Market System Analyzer 3.4.1 (May 29, 2014)

New in Market System Analyzer 3.4.0 (May 29, 2014)

New in Market System Analyzer 3.3.1 (May 29, 2014)

New in Market System Analyzer 3.3.0 (May 29, 2014)

In MSA version 3.3.0, the Monte Carlo analysis was updated so that the equity plot displays probability bands resulting from the MC analysis. A new "Current Sequence" drop-down menu in the menu bar changes to "Monte Carlo", and four equity curves are displayed, representing the current sequence of trades, the upper and lower confidence bands for the Monte Carlo analysis, and the equity curve at 50% confidence.
In addition, the following bug fixes and changes were made:
[bug fix] The portfolio Monte Carlo analysis calculated the optional results incorrectly by only including the last market system in the portfolio. This has been corrected.
[bug fix] The "Skip first..." edit box on the Trades File Format window allowed the user to enter a value but didn't respond to it. The user can now either use the spin controls or directly type in a value for the number of lines to skip.
To avoid long processing delays, only the first 100 lines are now shown in the Trades File Format window.
[bug fix] The last character of the symbol for the last trade in a file of trades formatted for "WriteTrades" was not read on import or via Data Source. This has been corrected.
[bug fix] The Trade Type field was not read correctly when text codes were used. This has been corrected.
[bug fix] The currency conversion factor was incorrectly multiplied by the entry, exit, and stop prices and by ATR before storing these values, resulting in incorrect values in the stored file. This has been corrected.
[bug fix] The correlation coefficient was calculated using the wrong range of trades in some cases when market systems had been saved with a modified date range. This has been corrected.
The time-out interval for searching for a file of trades has been reduced from one minute to 30 seconds.
[bug fix] If a portfolio was defined with a market system file that contained no trades, the program would crash. This has been corrected.
[bug fix] In fixed ratio position sizing, the first level of increase was calculated based on an initial size of 1, regardless of the specified initial size. This has been corrected.

New in Market System Analyzer 3.2.1 (May 29, 2014)

New in Market System Analyzer 3.2.0 (May 29, 2014)

Updated user interface with the following features:
Tabs are now used to display the open documents.
Tabs can be grouped into horizontal or vertical panes.
The program stores the open windows when exiting and opens the documents the next time the program is started.
Different styles/color schemes can be selected for the user interface to match popular Windows programs, such as Office 2007, Windows XP, etc.
The tool bars can be customized.
The right-click (floating) menus can be customized.
Ability to plot the equity curve by day, week, month, or year. The equity change over the selected period is used in plotting, with one equity point per period.
The .msp extension for portfolios has been changed to .msaport to avoid conflicts with Windows installation files. For backwards compatibility, MSA 3.2 can open and read either .msp or .msaport files.
The option to add periodic withdrawals to the equity curve simulation has been added. Withdrawals can be specified on a weekly, monthly, quarterly, or annual basis.
Two new position sizing methods have been added: percent volatility position sizing bases the position size on the average true range, and constant value position sizing sets the position size so that the position has a specified value (e.g., $5000 per trade).
A second delta has been added to the fixed ratio position sizing method for decreasing the position size, so that the rate of increase and the rate of decrease can be specified independently.
A file properties window is available from the File menu, which lists file details of the document currently selected.
The following types of moving averages can now be specified for computing the moving average for equity curve crossovers: simple, exponential, weighted, TRIX (triple exponential).
The following new performance metrics have been added: pessimistic return ratio, average R-multiples (wins), average R-multiples (losses), average R-multiple (overall), R-multiple standard deviation, average risk, average margin, max margin, date of max margin, average leverage, risk of ruin.
The trade editor has been redesigned to improve usability. Multiple trades can be deleted together using shift and control.
New data input fields are available including market symbol, trade type (regular, cost/fee, add/withdraw), currency conversion factor, and average true range.
Multiples .msa and .msaport/.msp files can be opened together using the File - Open command.
The equity table can now be sorted by any column by clicking on the column heading. The table has been expanded to include the new data fields.
The Edit/Add Trades dialog and Trades File Format dialog windows are now resizable.
The full-screen cursor box, displayed when clicking the mouse over the chart window, now displays the equity value at the cursor location ("Equity"). The account equity at the selected trade is displayed under "Account" and the date of the trade under "Exit Date".
Bug fixes in version 3.2.0:
Weekly results in the Return Tables tab of the performance report has been corrected so that each listed week starts on Sunday. The date for the listed week is the date for the Sunday on which the week starts.
An error has been corrected that occurred when writing reports to a text file in which the report contained no date information.
An error related to the date/calendar control has been corrected in which the program selected the incorrect trade based on the selected date when multiple trades had the same date with different times.
The portfolio optimization now returns zero, rather than a negative number, for the position sizing parameter when the associated market system does not contribute to the portfolio equity.
An error related to rounding errors resulting in negative position sizes has been corrected. This occurred when a series of overlapping trades resulted in zero available equity.
When the portfolio performance report was displayed and the portfolio was closed, the report dialog window was not closed. This has been corrected.
Updating of the Equity Table window has been improved to reduce unnecessary redraws.
The full-screen cursor sometimes appeared when the chart was initially opened. This has been corrected.
Opening a portfolio file sometimes crashed MSA in cases where the trades file in the .msa file had been changed. This has been corrected.
Previously, if all trades were deleted under Edit/Add Trades, the program crashed when clicking OK. This has been corrected.
If all trades were deleted via "Clear All", the right-hand summary pane did not update. It now resets the performance numbers to zeros.
When an empty portfolio was created with two empty market-system files, calling the Trade Size command for the portfolio caused the program to crash. This has been corrected.
A problem with an internal number formatting function has been corrected that caused improper rounding in some cases.
When selecting "save as" from the File menu, the program now prompts for a new trades file in addition to a new .msa file.
When a market-system was randomized then saved, the program opened with the "restore" function dimmed. This has been corrected.
When MSA cannot find the trades file specified in the .msa file, the search function now times out after 60 seconds, rather than continuing to look for the file, which previously caused the program to wait for extended periods of time.
On the Trade Size and Portfolio Trade Size windows, clicking the calculate button is now the same as hitting the Enter key, so hitting the Enter key no longer closes the window.
Printing of reports has been corrected so that long lines are no longer truncated. The print size is reduced so that the report fits the paper.
A problem with an internal number formatting function has been corrected that caused an error when the number being formatted was too large.
Known issues in version 3.2.0:
The cursor disappears when selecting the resizing bar between panes on the main window.
Window tab settings (e.g., horizontal or vertical pane settings) are not stored when the program exits.

New in Market System Analyzer 3.1.1 (May 29, 2014)

New in Market System Analyzer 3.1 (May 29, 2014)

Portfolio optimization has been implemented. Each market system may use a different position sizing method if desired, and stocks and futures can be freely mixed in the same portfolio.
The optimization command for market systems now opens a window that stays on the screen while the optimization is ongoing to provide additional feedback and intermediate results. It's now possible to work in other windows in MSA while the optimization is ongoing.
Correlation analysis has been implemented for portfolios. A correlation table has been added to the performance report. The correlation analysis is automatically performed whenever the portfolio document is recalculated.
An option has been added to automatically reload the chart at specified intervals, such as every 5 seconds or every 2 minutes. This is intended to facilitate the use of MSA for day trading where the trades file is automatically updated after each trade.
Dependency analysis and significance testing are now calculated automatically whenever the document is recalculated. Tabs for the corresponding results have been added to the performance report. The user settings for dependency analysis and significance testing have been moved to the Setup command window.
The user's guide and help files have been updated through this version.
The performance of the tabbed performance reports (market system, portfolio) has been improved to reduce screen flicker and correct scrolling errors.
The floating (right-click) menu has been expanded to include most functions from the Analysis and Portfolio menus.
The toolbar has been expanded to include icons for the most commonly used Analysis and Portfolio menu functions.
On the Portfolio Position Sizing dialog window, the Set All window has been redesigned to improve functionality.
Color schemes have been added to the Format Chart window, Lines and Colors tab.
Copy-to-clipboard functionality has been added. The Ctrl+C keyboard combination can be used in the main window, the right-hand pane, and in most results windows. Copying the main chart copies a bitmap of the chart to the clipboard. Copying elsewhere copies the text from the window to the clipboard.
All the results windows (performance results, Monte Carlo results, optimization results, equity table for market-system and portfolio documents) can be saved to the following formats: tab-delimited text (.txt), comma-delimited text (.csv), unformatted Word (.doc), and html (.htm).
On the Trades File Format window (used with Data Source or importing trades), the preset format for TradeStation Trades List has been updated for TS 8.3.
[bug fix] Font changes made to the chart also applied to the cursor box displayed when clicking the mouse on the chart, sometimes resulting in text that was too large for the cursor box. This has been corrected so that the font for the cursor box does not change.
[bug fix] Performing a Clear All command then saving the market-system document resulted in an error when trying to open the empty trades file then selecting another trades file. MSA will not properly open an empty trades file.

New in Market System Analyzer 3.0.4 (May 29, 2014)

The order of the periodic performance results in the Return Tables part of the performance reports has been reversed so that the most recent results are on top.
Two new options have been added to the Trade Size command for the portfolio. When entering the data for each market system, a box can be checked to exclude the market system if there is no new entry signal. If there is an open trade, a second box can be checked, and the position size for the open trade can be entered.
Feedback for plot-by-date errors has been improved. If the program can't plot by date due to a missing or incorrect date, the trade where the problem occurs is noted in a error box displayed to the user.
The options for drawing tick marks and new equity highs has been improved to allow marks at equity highs by themselves without requiring tick marks on all trades.
Portfolio files now search for market-system files (.msa) in the folder where the portfolio (.msp) file is located if the market-system files can't be found in their specified locations. This makes it easier to copy portfolio files or send them to someone else. Provided the portfolio, market-system, and trades (.csv) files are all in the same directory, MSA will be able to find them. MSA will also search in standard locations, such as the Documents folder, for .msa and trades files that are not found in their specified locations.
The wording on the Setup screen for the risk-free interest rate used in calculating the Sharpe ratio has been changed to indicate that a monthly interest rate should be entered. Because the Sharpe ratio is calculated from monthly rates of return, the risk-free interest rate should be the interest rate per month, not an annual rate.
[bug fix] Whenever the trades file was written, it was saved with only two decimal digits of precision. The trades file is now saved with a total of seven digits of precision.
[bug fix] Exporting the trades file has been corrected to include a total of seven digits of precision, up from two previously.
[bug fix] When all trades are short, the performance summary misaligned the columns so that they overlapped. This has been corrected.
[bug fix] Extra space has been removed from the text file generated when exporting the trades file to make the format compatible with Excel.
[bug fix] Adding trades created with the statistical trade generator ("Create Trades from Statistics") to trades plotted by date gave an error. This has been corrected.