Is the input data given on a daily basis, or on a per trade basis?
Each data row is per trade, because all analysis is based on a closed-position equity curve. The first data column is profit or loss for the trade, the second column is the initial risk (stoploss) for the position, and the third column is the initial volatility (e.g. 20-day average true range) of the market when the position was entered. These values can be obtained from TradeStation by putting a call to the _SystemHistory function in your strategy’s signal. _SystemHistory needs to be called on each bar, passing it your current stop price and the current Average True Range. _SystemHistory will create a file containing the required data for every closed position.
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