Analyzing Entry/Exit Signals
Ideally, entry/exit signals can be used to identify the best times to enter and exit a financial market. In order to test whether a particular signal is providing this type of information, it is useful to analyze the signal against previous data. This will give you an idea of how profitable the signal is given previous market conditions.
Every time you generate an entry/exit signal field, TradingSolutions automatically analyzes it for profitability. This includes signal fields generated by entry/exit systems, predictions, committees, and other methods. In addition, signal analysis fields can be generated to use this analysis in new calculations and charts.
& For a step-by-step introduction to this topic, see the activities for the tutorial called Make a Traditional Prediction: Part 2.
& For help with entry/exit systems, see Using Entry/Exit Systems to Generate Signals.
& For help with predictions, see Predicting and Modeling Financial Data.
& For help charting signals and other fields, see Displaying Data in a Chart.
Viewing the Automatic Signal Analysis
There are several ways to view the analysis of a trading signal field:
· From the Portfolio View
Select Analyze Signals… from the context menu for a data series. This will display the Modify Data Series Dialog: Entry/Exit Signals page, which contains a comparative list of all of the trading signals for that data series. Individual signals can then be analyzed by selecting them from the list and pressing the Analyze… button.
· From a Chart View
Select Analyze Field… from the context menu for a signal field in the chart.
· From a Spreadsheet View
Select Analyze Field… from the context menu for the heading of a signal field in the spreadsheet.
· From the Modify Data Series Dialog
Select the Entry/Exit Signals tab to display a comparative list of all of the trading signals for the data series. Individual signals can be analyzed by selecting them from the list and pressing the Analyze… button.
· From the Modify Field Dialog
Select the Signal Analysis tab to display the analysis of a trading signal field.
Ä Note: Trading signal analysis only appears for fields at the data series level. For trading signal fields that were created at the portfolio or subgroup level, the analysis of those fields appears with each data series in the portfolio or subgroup.
Using any of these methods will display the Modify Field Dialog: Signal Analysis page.
Analyzing a Specific Signal
The Modify Field Dialog: Signal Analysis page contains several sub-pages that show you the results of trading the information in the data series using only that trading signal field. The sub-pages contain overview and summary information, as well as trade-by-trade and bar-by-bar analysis.
& For more help with this analysis page, see the help for the Modify Field Dialog: Signal Analysis page.
Comparing Multiple Signals
The Modify Data Series Dialog: Entry/Exit Signals page contains a comparative list of all of the trading signal fields currently applied to a data series. This list enables you see which trading signals would have been the most profitable using a common date range for a data series.
& For more help with this comparison page, see the help for the Modify Data Series Dialog: Entry/Exit Signals page.
Changing Signal Analysis Options
By default, TradingSolutions will analyze trading signals using the closing price as a trading price over the entire date range available in the data series. It performs both long and short entries and uses a standard investment size and commission rate. To change any of these characteristics for a particular data series, press the Options… button on the Modify Data Series Dialog: Entry/Exit Signals page. This will display the Signal Analysis Options Dialog where you can change these options.
The default signal analysis options can also be changed. To do this, select Options… from the Tools menu. This will display the Modify Options Dialog , from which you can select the Signal Analysis page.
Storing the Signal Analysis as Fields
Signal analysis is available on a day-by-day (by bar) basis on the Modify Field Dialog: Signal Analysis page. This type of analysis can also be recreated as one or more fields for use in calculations or sorting in the Portfolio View.
To create a signal analysis field, open the Create a Field Wizard and select to create a new field to Analyze a signal. This will begin the Create Signal Analysis Fields Wizard, which allows you to specify the signal analysis settings and which analysis values to save as fields.
Charting the Equity or Profit of a Signal
You can view the equity or profit of the simulated trading of an entry/exit signal in a chart. To do this, generate the signal analysis as a field, as described above. Then, simply display this field in a chart.
& For help with charts, see Displaying Data in a Chart.
& For more help with signals, see Creating and Analyzing Entry/Exit Signals.