Create Custom Signal Analysis Dialog

The Create Custom Signal Analysis Dialog allows you to create a custom signal analysis field using a collection of settings. The analysis options on this page can be combined to create a wide array of analysis fields. In all, over 1000 different analysis fields can be created. This may seem like a confusing number of options at first, but the process for getting the value you want to analyze is fairly straightforward.

Specifying a Custom Signal Analysis

Begin by selecting what type of analysis you would like to perform, selecting from types such as overall equity, trade profitability, and trade lengths. Then, select a scope, or subset, of trades to analyze. For example, you can limit your analysis to only long trades (remember, this term does not refer to the length of the trade, it refers to buying the equity as opposed to selling it).

When you have selected a type and scope to analyze, select the specific value you would like to see. For many types, the current, last, average, maximum, and minimum values are all available. In addition, many values can be expressed as a raw value or as a useful percentage.

Finally, you can indicate whether to include the currently active trade in the analysis. This may or may not be favorable, depending on the type of analysis being performed.

The following list explains each option in more detail.

¨    Type of Analysis

This value indicates the general type of analysis that this field should perform during the trading simulation. The following types of analysis are available.

·      Account Equity

This type of analysis tracks the amount of money in the trading account during the simulation. It can be expressed as a total dollar amount or as percentage of the original amount. The maximum and minimum values of this type can also be analyzed.

·      Account Profit

This type of analysis is exactly the same as Account Equity, except that the values represent the change from the original amount, rather than the total amount. It can be expressed as a total dollar amount or as percentage profit. The maximum and minimum values of this type can also be analyzed.

·      Comparison to Buy/Hold

This type of analysis is similar to Account Equity, except that the equity is compared to the equity that would be generated by simply buying the stock on the first bar and holding it. The actual value of buying and holding the stock can also be generated using this type.

·      Current Trading Values

This type of analysis reports the trading values for each bar. It can also be used to report the entry (limit) and stop prices currently being used in the analysis.

·      Number of Trades

This type of analysis tracks the number of trades in the given scope. It can be expressed as a count or as a percentage of all trades.

:    Example: To calculate the percentage of winning trades, select Number of Trades with a scope of All Winning Trades and an analysis value of Percentage of Trades that are in Scope.

·      Sizes of Trades

This type of analysis tracks the number of shares that have been held in trades in the given scope. The average, maximum, and minimum values of this type can also be analyzed, as well as the current and last values.

·      Lengths of Trades

This type of analysis tracks the length of the trades in bars in the given scope. For end-of-day data, this is the number of trading days that a position is held. The average, maximum, and minimum values of this type can also be analyzed, as well as the current and last values.

:    Example: To calculate the average length of long trades, select Trade Lengths with a scope of All Long Trades and an analysis value of Average Bars for Trades in Scope.

·      Profitability of Trades

This type of analysis tracks the profit generated by trades in the given scope. It can be expressed as a total dollar amount or as a percentage profit. The average, maximum, and minimum values of this type can also be analyzed, as well as the current and last values.

:    Example: To calculate the average percent profit of short trades, select Trade Profitability with a scope of All Short Trades and an analysis value of Average Percent for Trades in Scope.

·      Maximum Gains

This type of analysis is similar to Trade Profitability, except that it tracks the maximum gain for each trade in the given scope. This is useful for determining the effectiveness of exit signals since it can be compared to the actual profit to determine if a position was held too long. The average, maximum, and minimum values of this type can also be analyzed, as well as the current and last values.

·      Maximum Losses

This type of analysis is similar to Trade Profitability, except that it tracks the maximum loss for each trade in the given scope. This value is also known as the "Maximum Draw Down" since it tracks the amount that an investment is drawn down from its original value. This is useful for determining the risk associated with positions. The average, maximum, and minimum values of this type can also be analyzed, as well as the current and last values.

:    Example: To calculate the maximum loss for all trades, select Maximum Losses with a scope of All Trades and an analysis value of Maximum Value for Trades in Scope.

Ä    Note: This value is not set on the first bar of a trade.

·      Entry Signals

This type of analysis tracks the entry signals that started the trades in the given scope. The strongest, weakest, and average signals of this type can be analyzed, as well as the current and last values.

·      Exit Signals

This type of analysis tracks the exit signals that caused trades in the given scope to be exited. The strongest, weakest, and average signals of this type can be analyzed, as well as the last value.

·      Strongest Signals

This type of analysis tracks the strongest signals that occurred during the trades in the given scope. The strongest, weakest, and average signals of this type can be analyzed, as well as the current and last values.

·      Weakest Signals

This type of analysis tracks the strongest signals that occurred during the trades in the given scope. The strongest, weakest, and average signals of this type can be analyzed, as well as the current and last values.

¨    Scope of Analysis

This value indicates the subset of trades that this field should analyze during the trading simulation. This value may not be available for analyses that can only be run for all trades. The following subsets are available.

·      Current Trade

This scope returns the selected type of analysis for the currently active position to date. The value reflects state of the trade at that point in time; future values are not considered.

:    Example: To calculate the length of the current trade to date, select the Trade Lengths type of analysis with a scope of Current Trade.

·      All Trades

This scope returns the selected type of analysis for all trades to date. The type and analysis value settings determine what value will be returned.

·      Other Scope Values

The other scope settings return the selected type of analysis for a subset of the trades to date. The type and analysis value settings determine what value will be returned.

:    Example: To calculate the percentage of winning trades, select the Number of Trades type of analysis with a scope of All Winning Trades and an analysis value of Percentage of Trades that are in Scope.

:    Example: To calculate the average length of losing trades, select the Trade Lengths type of analysis with a scope of All Losing Trades and an analysis value of Average Bars for Trades in Scope.

¨    Analysis Value

This value indicates the type of value that should be produced for the selected type of analysis and scope. This value may not be available for analysis/scope combinations that only produce one value. The following values are available.

·      Total Equity (under Account Equity)

This value returns the total equity generated by the simulation. It can be viewed as a running total of how much money is in the trading account combined with the value of the current investment. This field is added by default when new signal analysis fields are being created. The percentage version of this value is relative to the initial investment.

·      Maximum / Minimum Equity (under Account Equity)

These values return the maximum or minimum equity generated to date. They can be viewed as running high and low water marks of the total equity value. The percentage versions of these values are relative to the initial investment.

·      Total Equity Minus Buy/Hold (under Comparison to Buy/Hold)

This value returns the total equity generated by the simulation minus the equity that would be generated by simply buying the stock on the first bar and holding it. Effective entry/exit signals should cause this value to be mostly positive. The percentage version of this value is relative to the initial investment.

·      Buy/Hold Equity (under Comparison to Buy/Hold)

This value returns the total equity that would be generated by simply buying the stock on the first bar and holding it. This value does not use the entry/exit signal and is provided only as a reference value.

·      Number / Percentage in Scope

These values return the cumulative count of the selected analysis for the selected scope as either a raw number or as a percentage of the total count for all trades to date.

·      Average / Maximum / Minimum in Scope

These values return the average, maximum, or minimum value for the selected analysis and scope to date. The as percent of profit versions of these values are relative to the equity at the beginning of each trade.

·      Value / Percent for Last Trade in Scope

These values return the selected analysis for the last trade that was in the selected scope. The as percent of profit value is relative to the equity at the beginning of each trade.

:    Example: To calculate the percent profit from the last completed short trade, select the Trade Profitability type of analysis with a scope of All Short Trades and an analysis of Percent for Last Trade in Scope.

Ä    Note: If Include Current Position in Value is selected, this value will return the selected analysis for the current trade if it is in the selected scope. Otherwise, only completed trades are included.

·      Strongest / Weakest / Average Value for Trades in Scope (for Signal Types)

These values return the strongest, weakest, or average value for the selected analysis and scope to date.

·      Recommended Entry Price (for Trading Values)

This value returns the entry price that would be requested by a new trade. If limits are being used, this is the limit price that is being used. When used as a portfolio display field, this can be useful for determining the price to enter new trades at.

·      Recommended Stop Price (for Trading Values)

This value returns the stop price that is being used by the current trade. If trailing stops are being used, it will be updated each day; otherwise, it will remain at the value set when the trade was entered. When used as a portfolio display field, this can be useful for determining the price that stop orders should be placed at.

·      Trading and Basis Values (for Trading Values)

These values return the current trading values being used by the signal analysis. The values are determined by the fields specified in the trading style.

þ    Include Current Position in Value

This value indicates whether to include the current trade in the selected type of analysis and scope. For non-equity values, only the completed trades to date are included by default. Selecting this value includes the current state of the current trade in the analysis if it is in the selected scope.

Ä    Note: If the selected scope is limited to winning or losing trades, the current position may alternate between being included and not included as it changes from being profitable and non-profitable.

What Do I Do Next?

Press the OK button to add the newly specified analysis. If you would like to exit without adding a new analysis, press the Cancel button.

How Did I Get Here?

The Custom Analysis Range Dialog appears when you press the Add Other… button on the Create Signal Analysis Fields Wizard: Trading Parameters page or the Modify Field Dialog: Trading Parameters page.