The File of registration of
trades , version 1.0. March, 31, 2002
With additions and changes from "____" __________ 20 ____
The
present description defines a set of fields and groups of fields of the file containing
information on trade transactions generated by a trading strategy applied to historical
data.
1. A name of
the file
It
is desirable, that the name of a file contains information about the author, the name of trading
strategy, the securities and the period. Use nickname under which you are known in
the internet or the initials or something
another, that would be unique enough, associated with you as with the author of
the file and
was, as it is possible, more shortly, 6 symbols are no longer. The name of the strategy
and the periodicity is better to include into square brackets, then the ticker end periodicity
follows .
2. A format of
the file.
It
was chosen a coma separated values CSV format to record data. Each row of the data begins with a new line.
Columns of values in the line is divided by commas. Traditionally similar format has expansion CSV and is well imported into
Excell. In addition the file contains comments and headers.
2.1. The
comment, is group of consecutive lines in the beginning of the file, beginning with a symbol ";"
(semicolon). The comment can contain any additional information, and also macrodefinitions for programs of
import.
2.2. The first line after the of the comment contains
a header with a number of fields. Names of the fields enclosed into angular brackets also
separated by comma. Now the row of fields contains:
<Strategy>, <Ticker>, <Position>, <EnterDate>, <ExitDate>, <Gain>
It is fixed.
2.3.
Rows of data are the consecutive group of lines after the comment and header
rows. In the current version of the file the minimal data set in a row is shown
in the table below.
The Field
| Purpose
| The Format
| <Strategy>
| The Name of
a strategy
| The
string in length up to 20 symbols
| <Ticker>
| The Name of an active (securities)
| The
string in length up to 20 symbols
| <Position>
| The
Direction of a trade
| Number 0, either 1, or-1; long = 1, short =-1, out = 0;
| <EnterDate>
| Date when
trade is open
| Date in format YYYYMMDD
| <ExitDate>
| Date
when
trade is close
| Date in format YYYYMMDD
| <Gain>
| Capital
gain
| Number with a floating
point, the precision is up to 4 digits after a decimal separator point
|
3.
Separator Symbols.
The Symbol of a decimal
separator should be "." (Point), a column separator symbol should be "," (comma).
4. Macrodefinitions.
There
are some beforehand known combination of symbols with additional information. It
is usually used by programs. In the current version the following required and
optional macrodefinitions are used:
а)
required:
;
%A=authors_nick_here
б)
optional:
;
%S=the_name_of_your_trading_strategy
;
%T=ticker
;
%P=periodicity (for tics T, for intraday - an interval in
minutes, daily
-
D)
5. An example of
the file.
" konkop [NRTR_LS] EESR [D] .csv ".
; The file is created 03/31/2002 11:35 with the $TradeFile () EL function
; developed by Konstantin Kopyrkin. Ekaterinburg Russia.http: // konkop.narod.ru
; %A=konkop
; %S=NRTR_LS
; %T=EESR
; %P=D
<Strategy>, <Ticker>, <Position>, <EnterDate>, <ExitDate>, <Gain>
NRTR_LS, EESR, 1,19970701,19970714,0.2304
NRTR_LS, EESR,-1,19970716,19970725,-0.0536
NRTR_LS, EESR, 1,19970807,19970813,-0.0515
NRTR_LS, EESR,-1,19970828,19970902,0.0173
NRTR_LS, EESR,-1,19970911,19971002,-0.0749
NRTR_LS, EESR, 1,19971002,19971009,0.0049
NRTR_LS, EESR,-1,19971023,19971031,0.1836
6. The formula for calculation of
the <Gain> field
<Gain> =
(EXITPRICE/ENTERPRICE-1) *POSITION;
Where:
ENTERPRICE - price
when trade is open
EXITPRICE -
price when trade
is close
POSITION -
direction of the trade short =-1, long = 1.
*************************************** ***
The
file format was developed by: Sergey Kosinsky (aka ksr, ksr@hotbox.ru), Konstantin Kopyrkin
(aka konkop, konkop@mail.ur.ru)
With
assistance of : Sergey Saltykov (aka СергейЮ), Michael Koroljuk
(aka Moysha).
|