Advanced Analytics

Signal Evaluator

Considerable attention is paid to exits. It is, however, important to realize that no matter how good exits are, a poorly placed entry is detrimental to a successful system.

Signal Evaluator is a valuable step in system development, allowing you to expose entry point opportunities by calculating, for example, the P/L bar-by-bar for each entry point of interest.

One of the benefits of using Signal Evaluator is that creating a full-fledged trade system for analysis is unnecessary.

Another benefit is the visual representation Signal Evaluator provides. Data is presented not only in grids that can be exported to Excel but also in graphs and charts.

The basic Signal Evaluator workflow is straightforward: Choose the conditions and user values you want to analyze, set evaluation parameters, start the scan, and then view and filter the results. Optionally, you can export the data to Excel and open a corresponding chart for any row in the Detail grid.

To open Signal Evaluator, click the SigEval button on the toolbar. If the button is not displayed, then click the More button, and then click Signal Evaluator.

Note that analysis of portfolios requires an enablement.

59.Setting Evaluation Parameters

Before using Signal Evaluator, you should create the conditions and user values to use in the evaluation.

We are using:

SigEval_Buy

SigEval_Sell

We will apply these conditions both to individual commodities EP and CLE and to a small sample portfolio of symbols.

Signals

• 
  Select the Buy at and Sell at signal conditions from the drop down menus.
  
• 
  Select the price/user condition from the drop down menus.
  
• 
  To create a new condition: click the button to open the Specify Long Entry Signal window, then click the Define Condition button.
  
• 
  To create a new use value: click the button to open the Specify Long Entry Value window, then click Define User Value.
  

Commodity or Portfolio

• 
  Select Commodity or Portfolio from the drop down menu.
  
• 
  For commodities: type the symbol. For portfolios: select a portfolio from the drop down menu.
  
• 
  To create a new portfolio, click the button to open the Select/Define Portfolio window, then click the New button.
  

Chart parameters

Parameter	Description
From/To	Either type dates or select them from the calendar drop downs. The calendar also provides a link to go directly to today’s date.
Interval	Values: 1 Min, 5 Min, 10 Min, 15 Min, 30 Min, 60 Min Daily, Weekly, Monthly, Quarterly, Semi-Annual, Annual
Sessions (intraday only)	Values: All Sessions, Primary Session Only Click the button to create a custom session (only with commodity, not portfolio). Read more about sessions|topic=Session Preferences.
Continuation type (not for portfolio)	Values: No continuation, Standard, Adjusted, Active Read more about continuation types, by month, equalize close, and rollover|topic=Continuation Preferences.
By Month	Limits display to month specified.
Equalize closes	Used only with Adjusted or Active.
Rollover	Used only with Adjusted. 1, 3, 5, 10 trading days before expiration

Exits

Type a value from 1 to 500, or select a pre-defined value from the drop down menu.

Error Log Window

If there is any issue with the values you’ve selected or if there are other errors, an error statement is displayed on the bottom of the window. Click that link to open a log of all errors.

60.Starting and Stopping an Evaluation

Click the Start button to run the evaluation. The progress is indicated on the green bar.

If there are any unresolved symbols, a message is displayed when the evaluation begins. At the end of the evaluation, a list of up to 10 unresolved symbols is displayed.

Click the Stop button to discontinue the evaluation.

61.Viewing Results

Evaluation results are displayed on four tabbed windows: Detail, Profit Curve, Distribution, and Summary.

Details

Lists the results for each of the bars comprising the period selected. Rows are set in Results View: Summary, while columns are set in Results View: Bars Out.

When you hover the mouse over a row, the cursor changes. In this mode, click the row to open a chart.

Profit Curve

Charts the strategy results by dollar or percent over the selected time period.

Distribution

Displays a histogram of the results.

Summary

Plots the value selected in Results View: Summary on the vertical axis and bars out on the horizontal axis.

62.Filtering Results

Results are filtered using Results View Parameters. Click to view these parameters:

General

Component	Description
Bar out	Use this menu to change which bar is plotted on the profit curve, distribution, summary, and portfolio windows. The number of bars is selected in Evaluation Parameters: Exits.
Show	Values: Both Entries, Long Entries, Short Entries
Sort	Values: Chronological, Reverse Chronological, Selected Bars Profit, Select Bars Losses
Display As	Values: Dollar Amounts, Percent Changed
Display Bars	Type the bar number in this field to filter details results by bar. In this way, you see data only for the bars listed here. Enter bar numbers or bar ranges separated by commas starting from 0. For example: 1, 3, 5-7
Display opens for first five bars	Select this check box to add the first 5 open bars to the displayed results.

Portfolio

When working with portfolios of symbols, these parameters include a list of symbols in that portfolio.

You can select all or some symbols to be displayed in the results. Save this abridged list as a new portfolio by clicking the Save checked in new portfolio button.

Summary

Values that are checked are displayed as rows on the Details results window.

Value	Definition
ClosedNetProfit	Total profit/loss for all trades or zero if no trades N - total number of trades (wins + losses + break even trades)
PercentLong	Percentage of long trades to total number of trades, or zero if no trades
AverageProfit	Average profit/loss for all trades, or zero if no trades
AverageWin	Average profit/loss for wins, or zero if no wins
MaximumWin	Biggest profit/loss of wins, or zero if no wins
AverageLoss	Average profit/loss for losses, or zero if no losses
MaximumLoss	Smallest profit/loss of losses, or zero if no losses
MaxClosedDraw	Largest amount lost (largest difference between previous highest profit/loss peak and the following lowest profit/loss value), or zero if no trades
MaxConsecWins	Largest number of consecutive wins (between losses and/or break even trades)
MaxConsecLosses	Largest number of consecutive losses (between wins and/or break even trades)
PercentWinners	Percentage of wins to total number of trades, or zero if no trades
ProfitToMaxDraw	ClosedNetProfit /MaxClosedDraw
ProfitLossRatio	Total profit/loss for wins/total profit/loss for losses, or empty if no losses
RemoveToNeutral	Number of the most profitable trades that have to be removed in order to make the total profit zero percent of the total number of trades, or zero if the total profit is negative or zero

63.Exporting to Excel

To export the evaluation results to Excel, click the button in Results View Parameters:

Excel is opened automatically. (Must be Excel 2007 or later).

The workbook contains 5 or 6 sheets, depending on whether you are in commodity or portfolio mode.

Summary

Shows summary table and summary chart. The summary chart displays the value of the first row in the worksheet. Click the values in column A to change the chart.

Formulas

Shows parameters: Start Date, End Date, Value Display, Bar Interval, Showing, Portfolio/Commodity, Sell Signal, Sell Entry Price, Buy Signal, Buy Entry Price.

Data

Shows columns: Commodity, Date, Entry, and bars. Rows of short entries are have an orange background. Positive bars out values are green, negative are red, and neutral are black.

Profit Curve

Shows pivot table and pivot chart for the table in the Data worksheet.

Distribution

Shows table of distribution data calculated dynamically depending on selected bars out in Distribution worksheet.

Portfolio

Shows pivot table and pivot chart for the table in the Data worksheet.

Download 0.61 Mb.

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