Thinkscript Strategy Report Tool

UPDATE 12-18-2009: I updated the tool to v2 after a TOS update broke it. Get the new version at the link below!

UPDATE 4-24-2009: I updated the Thinkscript Strategy Report file to make it backward compatible with at least Excel 2000. Download again if you have had problems!

In my earlier post, I covered how to create strategies using Thinkscript. I have developed a tool that can calculate some more useful statistics about your trading system results.

After adding a strategy set to a chart, you right-click on one of the signals and choose “show report”, as described in my tutorial. Think Desktop then gives you a report on your strategy results. You can save the summary as a .csv file. The information given in the report is net Profit/Loss and the trade that gave the maximum profit. This info isn’t really adequate to evaluate a trade strategy, at least in my book.

However, since most of the information is there, all it takes is a little Excel macro magic to import the .csv file and calculate important parameters, like win rate, loss rate, average win size, average loss size, largest win streak, largest loss streak, and system expectancy, or expected profit per trade over a very large number of samples.

Once you have this information, you can plug it into my Monte Carlo Trade System Simulator and stress test it. You can see how bad (or good) your results could be in the future if all of these parameters remain constant. Or, you can adjust them and get what-if scenarios. What if I have 10% fewer winners? What if my average profit is less than what I get in this small backtest?

Well, download the Thinkscript Strategy Report tool under Released Tools at my Google site to get started! As always, you have to enable macros for the tool to work.

This release is grovel-ware:
Pleasepleasepleeeeeeeeeaze !!! Oh, please!! I will always honor your memory! I swear!!

Please note: this tool only works if you use single position strategies! If you allow more than one entry per direction in the “Properties for all” preference screen, this tool will not work.

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5 Responses to “Thinkscript Strategy Report Tool”

  1. manatrader Says:


  2. skwasha Says:

    What’s the strategy you’re backtesting here btw?

  3. Prospectus Says:

    It’s my volatility-based trailing stop, with a stop loss on a reversal signal, and a profit target based on a high $TICK reading. I’ll write more about it soon.

  4. Prospectus Says:

    I updated this file to fix backward compatibility with Excel 2000. Download the file again if you have had trouble!

  5. Scott Says:

    I think its broken again? I just tried using this tool, and it doesnt import the CSV file into the right columns or rows.

    (Using Excel 2007)

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