Create Signal Analysis Fields Wizard: Trading Parameters
Modify Field Dialog: Trading Parameters
This dialog appears in several forms. The Create Signal Analysis Fields Wizard allows you to analyze the simulated trading of an entry/exit signal for use in display fields and other calculations. The Modify Field Dialog allows you to modify the properties of a previously created field. This page allows you to specify the parameters associating with the simulated trading for a set of signal analysis fields.
Ä Note: Fields that are currently being used by the Solution Service cannot be modified.
Specifying Parameters for Simulated Trading
Signal analysis operates on a single entry/exit signal to determine when to enter and exit the market. Use the following field to specify which signal to trade.
¨ Entry/Exit Signal
This is the entry/exit signal to analyze. You can specify to analyze any signal in the current data series or group, including the Primary, Secondary, or Service signals.
Ä Note: To analyze a signal from another data series applied to this data series, create a calculated field and use the Identity function to copy that signal to this data series. Then, use that calculated field as the signal to analyze.
& For information about special signals, see Primary, Secondary, and Service Signals.
¨ Trading Style
This is the trading style to use for the analysis. In addition to currently defined trading styles, the following values are available:
· Trading style used for creation of signal.
This setting causes the trading style used for the definition of the selected signal to be used.
· Trading style used for current analysis of signal.
This setting causes the trading style currently being used for the analysis of the selected signal to be used.
These settings are useful when defining a signal analysis field for an entire group since the trading style associated with each of the underlying fields will be used as appropriate.
To create a new trading style or edit existing styles, press the Edit Styles… button. This will display the Define Trading Styles Dialog.
& For information about trading styles, see Using Trading Styles.
Ä Note: If the current setting indicates WRONG MARKET, this field was last optimized using a market type which is not the same as the current market type of the data.
& For help with market types and the associated settings, see Understanding Market Types.
þ Override trading style.
This setting indicates that a custom trading style should be used for this optimal signal. To modify the trading style press the Style Settings… button to display the Modify Trading Style dialog.
Ä Note: The optimization values for the trading style are not used during signal analysis.
Ä Note: This setting is only available when a specific trading style is selected. The general settings Trading style used for creation of signal and Trading style used for current analysis of signal cannot be overridden.
þ Use original settings of…
This option appears when this field was created using trading settings which are not the same as the trading settings for the current data. Removing the check from next to this option will cause the field to be recalculated using the current settings for the data.
¨ Analysis Range
This is the date range over which the analysis will be performed. With the exception of custom ranges where an end date is specified, all analysis ranges go through the end of the data.
Ä Note: Multiple ranges cannot be specified for one group of fields. To specify multiple ranges, you will need to create the fields separately.
The following types of ranges are available:
· Since beginning of data
This setting includes all available data in the data series.
· Since beginning of most recent period
This setting begins the range at the start of the most recent period. For example, year-to-date analyses begin on January 1st of the last year in the data series. When a new year is imported into the data series, the start date of the analysis is updated.
Ä Note: Only the values for the most recent period will be calculated.
Ä Note: If the data series does not contain data at or before the start of the period, no values will be calculated.
· Most recent period (adjusted)
This setting begins the range a given period of time before the last record in the data series. Each time new data is imported into the data series, the start date of the analysis is updated.
Ä Note: Only the value for the last record will contain data for the entire period.
Ä Note: If the data series does not contain enough data to fill the period, no values will be calculated.
· Since beginning of testing set
This setting begins the range at the beginning of the testing set of the currently selected signal.
Ä Note: This setting is not available for group analyses and is only available if a prediction or model is currently selected.
· Since end of testing set
This setting begins the range on the record immediately after the end of the testing set of the currently selected signal.
Ä Note: This setting is not available for group analyses and is only available if a prediction or model is currently selected.
· Since date / From date to date
This setting selects the current custom range if that range specifies specific dates.
Ä Note: If an end date is specified, the values on the end date will be held after that date has passed. This is useful for comparing values from different date ranges.
· Create custom range…
This setting displays the Custom Analysis Range Dialog, which allows you to specify a custom analysis range. You can also display this dialog by pressing the Custom Range… button.
Adding and Removing Analysis Fields
One or more signal analysis fields can be generated with information about the simulated trading. For example, the percent gain and percent wins of the simulated trading can be reported. New analysis fields can be added in several different ways.
Common analyses are available from a list on the dialog. For one of these analyses, simply select one and press the Add Selection button.
· Account Equity
This value tracks the amount of money in the simulated trading account.
· Percent Gain
This value tracks the change in the account equity from the initial amount invested.
· Buy/Hold Percent Gain
This value tracks the change in the account equity if the initial amount invested had been used to purchase the stock on the first bar of the simulation.
· Percent Gain Over Buy/Hold
This value tracks the difference between the Percent Gain and the Buy/Hold Percent Gain.
· Number of Trades
This value tracks the number of trades that have entered since the beginning of the simulation.
· Percent Winning Trades
This value tracks the percent of the trades that have generated a profit. It includes the state of the current trade.
· Current Position
This value tracks the current position held by the simulation – long, short, or out of market.
Ä Note: The current position can be affected by stops, limits, and other settings in the selected trading style.
· Current Position Length
This value tracks how long the current position has been held by the simulation.
· Current Position Percent Gain
This value tracks the change in account equity relative the amount invested in the current trade.
· Current Trading Signal
This value displays the signal being analyzed after it is adjusted for the effects of stops and intraday time criteria. This is useful for displaying the effects of stops in the Portfolio View or charts.
· Current Limit Price
This value reports the calculated limit price that should be used for the next entry.
Ä Note: The trading style being used for the analysis must have an entry limit activated for this value to be available.
Ä Note: In order to produce a value for the current bar, the trading style being used cannot use a trading value from the next bar, such as the default value of tomorrow’s open.
Ä Note: A recommended limit/entry price is only available when the signal analysis encounters an entry signal that it is not told to ignore. For example, if the analysis stops out and the trading style indicates to wait until an exit occurs, any new entries before that exit will be ignored.
· Current Stop:Loss Price
This value reports the calculated stop:loss price that should be used for the current trade or next entry. If a trailing stop is being used, it will update automatically.
Ä Note: The trading style being used for the analysis must have a stop loss activated for this value to be available.
· Current Stop:Profit Price
This value reports the calculated stop:profit price that should be used for the current trade or next entry.
Ä Note: The trading style being used for the analysis must have a profit stop activated for this value to be available.
· Current Stop:Length Bars
This value reports the calculated stop:length bars that the trade should be stopped at. If a trailing stop is being used, it will update automatically.
Ä Note: The trading style being used for the analysis must have a length stop activated for this value to be available.
· Current Stop:Length Remaining
This value reports the calculated stop:length bars that are remaining before the trade should be exited. If a trailing stop is being used, it will update automatically.
Ä Note: The trading style being used for the analysis must have a length stop activated for this value to be available.
Other analyses can be created by pressing the Add Custom… button. This will display the Create Custom Signal Analysis Dialog.
You can also add new analysis fields by copying a set of fields from another signal analysis field definition. This copy can be from another signal in the same data series, or from a signal in a different data series. To perform a copy, press the Copy An Analysis button and select one of the fields from the set of fields you would like to copy.
If you are creating a new signal analysis and decide you do not want to create a field that is listed, select the unwanted field from the list and press the Remove Selection button.
Ä Note: The Copy An Analysis… and Remove Selection buttons are only available when new signal analysis fields are being created. After a signal analysis field set has been created, individual fields cannot be removed from the list.
What Do I Do Next?
If you are creating new fields, press the Finish button to create the selected fields. If you would like to exit the Wizard without creating a new field, press the Cancel button. If you would like to create a different type of field, such as a prediction, press the Back button to return to the Create a Field Wizard: Select Type page.
If you are finished updating the properties of a previously created field, press the OK button to save your changes or select another property page. If you would like to exit from this dialog without performing any changes, press the Cancel button.
Additional Property Pages
The Modify Field Dialog has many different property pages that will be displayed as is appropriate for the type of field being modified. For information on the other property pages available, see the help for the Modify Field Dialog.
How Did I Get Here?
The Create Signal Analysis Fields Wizard appears when you select to analyze the simulated trading of an entry/exit signal from the Create a Field Wizard: Select Type page. It also appears when you select the Add Signal Analysis Fields button from the Fields toolbar or when you select (Create an analysis of this signal…) from the Modify Group Dialog: Display page.
The Modify Field Dialog appears when you select to modify or analyze the selected field from the Modify Data Series Dialog or the Modify Portfolio/Group Dialog. It is also displayed when you select Modify Field… from the context menu for a field in a chart or spreadsheet.