When I was first starting out a couple of years ago I didn’t really track my performance beyond the simple report that IB generates. Eventually I moved on to excel sheets which grew to a ridiculous and unmanageable size. I took a look at tradingdiary pro, but it wasn’t flexible or deep enough for my requirements.
So I wrote my own (I blogged about it here): on the one hand I focused on flexibility in terms of how the data can be divided up (with a very versatile strategy/trade/tag system), and on the other hand on producing meaningful and relevant information that can be applied to improve your trading. Now I have ported it to WPF and removed a bunch of proprietary components so it can be open sourced. So…
I’m very happy to announce that the first version (0.1) of the QUSMA Performance Analytics Suite (QPAS) is now available. For an overview of its main performance analysis capabilities see the performance report documentation.
The port is still very fresh so I’d really appreciate your feedback. For bug reports, feature requests, etc. you can either use the GitHub issue tracker, the google group, or the comments on this post.
While the IB flex statements provide enough data for most functionality, QPAS needs additional data for things like charting, execution analysis, and benchmarking. By default it uses QDMS, but you can use your own data source by implementing the IExternalDataSource interface.
Currently the only supported broker is Interactive Brokers, but for those of you who do not use them, the statement importing system is flexible: see the Implementing a Statement Parser page in the documentation for more.
I should note that in general I designed the application for myself and my own style of trading, which means that some features you might expect are missing: no sector/factor attribution for stock pickers, no attribution stats for credit pickers, daily-frequency calculation of things like MAE/MFE (so any intraday trades will show zero MAE/MFE), and no options-specific analytics. All these things would be reasonably easy to add if you feel like it (and know a bit of C#), though.
- Highly detailed performance statistics
- Ex-post risk analytics
- Execution analytics
- Trade journal: annotate trades with rich text and images
- MySQL, or MariaDB, or SQL Server
- QDMS (Needed only for some features: benchmarks, execution analysis, and charting)