Signal Analysis Page: Overview
The Modify Field Dialog allows you to analyze and modify the properties of a field. The Signal Analysis page allows you to analyze statistics associated with an entry/exit signal.
& For help with entry/exit signals, see Creating and Analyzing Entry/Exit Signals.
Overview Sub-Page
This sub-page displays an overview of the simulation used to test the signal. It summarizes the information that can be found on the other sub-pages.
Signal Analysis Settings
This section displays the settings that were used during the signal analysis on these sub-pages.
p Style
This value is the trading style that was used to analyze the signal. It can be modified using the Change… button.
p Range
This value is the date range currently being analyzed. It can be modified using the Change… button or by selecting a range on the Equity Curve sub-page and selecting Analyze the Displayed Range from the context menu for the chart.
p Comments
This text indicates special situations and inconsistencies that may result with the selection of the trading style.
These settings can be changed for this dialog by pressing the Change… button. This will display the Signal Analysis Options Dialog.
Equity Curve
This chart is a miniature version of the equity curve that is displayed on the Equity Curve sub-page. It displays the equity in the simulated trading account over the entire date range. It also displays the value of buying and holding this data series and the benchmark data series.
A legend of the line colors used in the chart is displayed above the Profitability section.
Profitability
This section displays the profitability of the signal over the entire date range. It also displays the profitability of buying and holding this data series. An optional benchmark data series can also be displayed for comparison.
Ä Note: The benchmark data series is specified in the trading style being used for analysis.
p Net Profit
This value is the total profit that the trading achieved over the date range. It is the final equity minus the initial investment.
p Gain/Loss
This value is the total profit compared to the initial investment.
p Annualized Return
This value is the annualized return on the initial investment. It can be used to evaluate the overall profitability of the signal. This value is the annualized return on the investment from its initial value to its final value. Additional background information is available on the help for the Modify Trading Style Dialog.
A more detailed analysis of the profitability of the signal can be found on the Trading Analysis sub-page.
Trading Overview
This section displays the number of trades that were performed and the percentage of them that made a profit. In addition to overall values, values for long and short trades are also displayed.
A more detailed analysis of long and short trades can be found on the Trading Analysis sub-page.
Risk Overview
This section displays key values from the Trading Risk and Equity Risk sub-pages, as well as displaying an average number of annual trades.
p Annual Trades
This value is the average number of trades that took place for each year in the date range. This is useful for determining how actively this signal would need to be traded to achieve the displayed results.
p Profit Factor
This value is the profit generated by profitable trades divided by the losses generated by losing trades. A value of 2 would indicate that twice as much money was made from winning trades than was lost from losing trades. Higher values indicate less risk.
Ä Note: This value is not defined if no losing trades were made.
p Sharpe (Annualized)
This value uses the Sharpe Ratio by bar and annualizes that value based on the approximate number of trading days in the year. The Sharpe Ratio by bar is the average percent change in equity of each bar over the standard deviation of those changes. This is useful as a basic reward-to-risk ratio. Higher Sharpe Ratios indicate that a greater amount of average profit could be made with less day-to-day volatility.
Ä Note: Traditional Sharpe Ratio values also take into account a Risk-free Rate of Return. This value is not taken into account in TradingSolutions.
Ä Note: The Annualized Sharpe ratio is essentially a measure of profit and volatility for the year based on the data being analyzed. It is not the same as looking at the by-bar value over the course of a year.
Additional risk measures are available on the Trading Risk and Equity Risk sub-pages.
Not the Results You Expected?
The trades displayed on this page may not match the entry/exit signals displayed in a Chart View or Spreadsheet View. Here are some common causes for this:
· Trades Excluded by Analysis Range
The date range being analyzed may not include all of the data. This can cause entry signals that appear in a chart or spreadsheet to not be included in the analysis.
· Trades Excluded by Analysis Activity
The signal analysis may be only performing long or short trades. This can cause all long or short entry signals that appear in a chart or spreadsheet to not be included in the analysis.
· Entry Signal for First Trade Does Not Appear in Chart View
By default, entry/exit signals that are displayed in the Chart View do not include redundant signals. For example, once an Enter Long signal has been displayed, no Enter Long signals will be displayed until after an Enter Short or Exit Long signal has been displayed. Therefore, if the signal analysis date range does not start at the beginning of the data, a redundant entry signal that is not displayed in the chart may start the first trade.
Redundant entry/exit signals can be displayed in the Chart View by changing the display characteristics for a charted entry/exit signal from the Change Display Properties Dialog.
The simulated trading of an entry/exit signal can also produce better or worse results than expected. Here are some common causes for this:
· Trading Style Does Not Match The Definition
Optimal signal fields and postprocessed predictions or models of signals use simulated trading to produce their values. This simulated trading is based on a specified trading style. If the trading style used to create a field and the trading style used to analyze a field do not match, less favorable results may be reported.
: Example: An optimal signal may be generated using an investment of $10,000 and a commission of $10. If that signal is then analyzed with an investment of $1,000, it will not be as profitable since the commission will take out a larger percentage of each trade.
· Optimal Signal Produced No Trades
The optimal signal uses two parameters to determine when to enter the market. One setting is the number of samples to look ahead, the other setting is the minimum amount of profit that is required. If the minimum profit cannot be achieved in the given number of samples, no entry signal will be generated. For lower volatility stocks and intraday data, you may need to reduce the minimum profit or extend the number of samples to look ahead.
How Did I Get Here?
This is a sub-page of the Modify Field Dialog: Signal Analysis page.