Charting Recommendations

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Postby Dacamic » Mon Jul 28, 2008 5:15 pm

billybob wrote:The website I referenced changed their access. All I have been able to find is references to "3 Sigma". My understanding is that they divided each half of the Bollinger Bands into thirds. I'm not sure if your reply described the same thing.

Yes, that is the same in nature as what I described ... or, maybe not. I don't know the details of their calculation, and so should qualify my response by admitting that it is based upon my interpretation of how to divide a Bollinger Band into "sixths". With that admission in place, I would use the following formulas to display Bollinger Bands in "sixths" on a chart using three sigmas (standard deviations) for the uppermost and lowermost bands:
    bbu(close, 14, 3.0)
    bbu(close, 14, 2.0)
    bbu(close, 14, 1.0)
    mov(close, 14, simple)
    bbl(close, 14, 1.0)
    bbl(close, 14, 2.0)
    bbl(close, 14, 3.0)
I don't know the moving average they use for their Bollinger Bands and arbitrarily chose a 14-day moving average for my example. StrataSearch can be configured to use whatever length you want.

These formulas can also be used to create Trading Rules. For example, "close > bbu(close, 14, 2.0) and close < bbu(close, 14, 3.0)" would trigger a signal only when the closing price is in the highest "third" of the upper Bollinger Band.
Steve
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Postby Grek » Wed Jul 30, 2008 10:24 pm

Hi.

Is there a way in charts to drag one line to make a given pane (e.g. price) large, while reducing the other panes proportionally to the remaining area?

I tried holding several key combinations while dragging, but to no result.

Being able to quickly build a chart with many panes is _great_, but having price (and the trade entries) be one tiny sliver is not a useful display.

Some sort of smart dragging/resizing of panes seems to be needed.
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Postby Overload » Thu Jul 31, 2008 8:42 am

Is there a way in charts to drag one line to make a given pane (e.g. price) large, while reducing the other panes proportionally to the remaining area?

Currently only the size of the neighboring panel is adjusted when the size of a panel is adjusted. You can certainly adjust the remaining panels manually to fit the sizes you want, but I can also see how a proportional adjustment would be good as well. Thanks for adding it to the list.

Pete
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Log scale in equity plot please

Postby KenRush » Sun Aug 03, 2008 7:21 pm

As a trial user just starting with this tool I find a few things frustrating.

First, there seems to be no way to get a log scale on the equity plots.

Second. Average Anual Return is not calculated properly. It would be better to measure the return for each calendar year and report the average than to take the total return and divide by the number of years.
Or better, measure the year-over-previous-year return for each day and average those numbers.

Third, the Review tab in Detailed Analysis does not report Compound Anual Return.
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Postby Overload » Sun Aug 03, 2008 9:28 pm

Thanks for the input. Because StrataSearch is so different and does so many things, it's interesting to see where new users focus their attention. Responses to your items are below:

First, there seems to be no way to get a log scale on the equity plots.

You're correct, but it's mostly because you're the first one who's ever asked for a log scale on the equity plots. Adding such a feature would be a pretty simple enhancement, so if you become a user and would like to make a request, I'm sure it could be added to a future release.

Second. Average Anual Return is not calculated properly. It would be better to measure the return for each calendar year and report the average than to take the total return and divide by the number of years.
Or better, measure the year-over-previous-year return for each day and average those numbers.

Actually, there are a number of ways to calculate an Average Annual Return. But I would suggest the numerous ways are different rather than right or wrong, as each method generally has its strengths and weaknesses. Nevertheless, there have been other users that have mentioned that the current approach has a downward bias, meaning that the APR will go down over time using the Fixed Trade Equity approach and assuming upward equity. That is correct, and the year-over-previous-year method you mentioned would solve that issue. We're considering adding such an APR number in the future as a supplemental value.

Third, the Review tab in Detailed Analysis does not report Compound Anual Return.

You may not have noticed, but the Review tab is configurable. If you click the Add button, you can add any of the performance values in the Detailed Analysis to the Review tab, including the Compound Annual Return.

Pete
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Thanks Overload

Postby KenRush » Mon Aug 04, 2008 5:39 pm

Thanks for the prompt reply. This is somewhat a test to see how well you guys respond to messages. You passed.

Comments:
I have been using AmiBroker to do back testing. In an effort to avoid "curve fitting" I have been training my systems over very long periods, 1990-2008. With linear scales on the equity plot the first few years are jamed against the baseline. With a log scale I can get a feel for how consistent the % return is over a long time. Constant % return produces a straight line regardless of the current total equity. AmiBroker has this and I have gotten use to it.

I stand corrected, yes there are many ways to compute returns. One is not right or wrong with respect to another, they are just different. I appreciate the way you handled the question.

Yes, I found the "Add" button and modified the Review tab to show the information I wanted. My bad.

AmiBroker has been around a long time and has a lot of users. I just find that it is not complete. I had resigned myself to patching together my own code to do what I needed when I found SS. You guys are just about there, and it seems that you are making progress. Saturday I bought a new quad core machine to be dedicated to SS 24-7.

KR
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Postby Overload » Mon Aug 04, 2008 6:28 pm

With a log scale I can get a feel for how consistent the % return is over a long time.

I agree consistency over time is helpful for avoiding curve-fitted systems (although it's just one of many tricks that can be used). In the Detailed Analysis, Charts tab, you can of course view the Monthly, Quarterly, and Yearly Net Profit charts. These offer a quick glimpse of the returns over time.

You can also switch to the Trades Report in the Detailed Analysis, and you'll have access to the Summary By Year and Summary By Month tabs. These can give you some pretty detailed statistics for the various periods in your back test.

But as you know, StrataSearch is primarily about searching for trading systems on a more automated basis. Toward that end, you can always set up filters based on Monthly or Yearly Standard Deviations. Another method I like to use is to set up a comparison of the Best and Worst Years with the Average Annual Return. If the difference is too great, the automated search will reject the strategy since it isn't consistent enough to meet my needs.

Another set of consistency filters I sometimes use is to compare the Number of Winning Years with the Total Number of Active Years. If the numbers aren't the same (i.e. the system wasn't profitable every single year), the filter automatically rejects the strategy.

Some of the above might be a couple steps up the learning curve, but I thought I'd at least throw them out there. Feel free to ask if you have additional questions.

Pete
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Postby taowave » Thu Aug 07, 2008 8:57 am

Hey Pete,

Did you know that you can simply click on the space bar and it will scroll thru your charts one by one in charting??

You have to initially hit one of the arrows and then the space bar will continue the scrolling in that direction.

Allan
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Postby Overload » Thu Aug 07, 2008 10:33 am

Did you know that you can simply click on the space bar and it will scroll thru your charts one by one in charting??

Yes, I did know that. Another method to do the same thing is to highlight the Symbol dropdown, and then hit the down arrow key. I admit this wasn't added intentionally, but sometimes Windows ends up giving us some helpful tricks.

Pete
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Postby taowave » Tue Sep 02, 2008 8:26 am

Hi Pete,
I just created a new indicator

rsi2(obv(), 17)

and plotted it on my chart.Everything looked OK,but when I attempted to read the values from the data popup,it gave me no values.All I got was the date and indicator.Also,how does one plot a buy line and sell line level?

On a related issue,I would like to see a full data window which gives all the values from the various windows.Currently,you can only get data for one selected window.

Last but not least,for some odd reason when I create a "Chart with calculations" with the above formula,the actual indicator does not get charted.The conditions being met,i.e 0 or 1 is graphed,but not the indicator.

I noticed that occured in several instances.Sometimes the indicator is plotted,and other times only the condition being met.What determines if the indicator itself is plotted?I would like to always have the indicator graphed.Is there a way to make that the default?

Allan



Allan
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Postby Overload » Tue Sep 02, 2008 11:30 am

I just created a new indicator

rsi2(obv(), 17)

and plotted it on my chart.Everything looked OK,but when I attempted to read the values from the data popup,it gave me no values.All I got was the date and indicator.

It appears this is the result of a line break. If you press the enter key after typing in the above calculation, the cursor moves to a second empty line, and this is what creates the problem you mention. To correct it, you should edit the calculation and remove the line break by backspacing from the second line to the end of the formula on the first line.

I'd not seen this before, but it should be pretty easy to fix. I'll make sure it gets taken care of so that users don't have to worry about trailing line breaks.

Also,how does one plot a buy line and sell line level?

You can just add additional calculations to the panel. For example, for RSI crossovers, you could add the calculations of 30 and 70.

On a related issue,I would like to see a full data window which gives all the values from the various windows.Currently,you can only get data for one selected window.

Thanks, a number of others have asked for this as well.

Last but not least,for some odd reason when I create a "Chart with calculations" with the above formula,the actual indicator does not get charted.The conditions being met,i.e 0 or 1 is graphed,but not the indicator.

I noticed that occured in several instances.Sometimes the indicator is plotted,and other times only the condition being met.What determines if the indicator itself is plotted?I would like to always have the indicator graphed.Is there a way to make that the default?

Assuming you're talking about the buy and sell indicators (arrows) for the system, they are always plotted on the top panel. Because they need to be "attached" to prices, it's important that the chart be setup so that prices are displayed in the top panel. For example, if the chart had volume in the top panel, the buy and sell indicators would have nothing to attach to and would therefore not display.

But if you're not seeing the indicators with only some systems, you might want to scroll through different symbols. It might be the case that there simply were no buy and sell signals for the first symbol displayed, but if you scroll through the symbols you'll see the indicators where applicable.

Pete
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Postby taowave » Tue Sep 02, 2008 5:16 pm

Hi Pete,
I may not have been clear.As an example,lets use the new indicator i created

rsi2(obv(), 17) with an entry rule crossabove(rsi2(obv(),17,30))

When I create a chart with calculations,there is no actual grpah of the indicator I created.There is a chart indicating if the entry rule is true or not,i.e 1 or 0.

When I look at another entry rule

(crossabove(mom(close, 9), mov(mom(close, 9), 13, exponential)))

and chart with calculations,I do get a chart in its own panel plotting the indicator mom(close,9) as well as a graph indicating if the entry/exit rule is true,i.e 1 or 0.

I dont understand why my indicator rsi2(obv(), 17) is not plotted,while others are.This is not an isolated case.Sometimes the actual indicator is plotted,and other times it is not.If you like I will give you other examples of the actual indicator not being charted as well.

Hope this helps,

Allan



quote]But if you're not seeing the indicators with only some systems, you might want to scroll through different symbols. It might be the case that there simply were no buy and sell signals for the first symbol displayed, but if you scroll through the symbols you'll see the indicators where applicable.[/quote]
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Postby Overload » Tue Sep 02, 2008 7:00 pm

I may have misunderstood because you've been talking about the indicators, when I think you really mean the calculations, correct?

I tried your example crossabove(rsi2(obv(),17), 30) in an entry string in a Strategy, and it properly plotted both calculations: rsi2(obv(),17) and 30. The individual calculations within CrossAbove and CrossBelow will be parsed so that they will display as individual calculations on the chart, and I wasn't able to find a problem with this in the tests I ran.

Could it be that you're thinking about the diverge() formula? If so, you are correct that the calculations in that formula will not be parsed, and you'll get a 1 or 0.

Pete
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Postby taowave » Tue Sep 02, 2008 7:39 pm

Hi Pete,
Yes,I call a calculation an indicator.Sorry for the confusion.
When I run a auto scan for the entry crossabove(rsi2(obv(),@days), @buyline)and then click on a particular result in combination listings>Create Chart with Calculation,I only get 2 fields to display.

In this particular selection,the days =21 for the entry and 34 for the "buyline".The exact formula in chart with calculation was

crossabove(rsi2(obv(),21),34)
0


The only other calculation was for the exit
crossbelow(rsi2(obv(),21),73)
0


There was nothing else plotted.Just the crossabove and crossbelow.I have numerous examples where the "calclation" is not plotted,just the parsed entry and exit..As a followup,I created a "parameter" entryrule/exitrule in AS and selected

// Positive Volume Index: 1 (Primary)
(crossabove(pvi(), mov(pvi(), 5, simple)))

and

// Positive Volume Index: 1 (Primary)
(crossbelow(pvi(), mov(pvi(), 5, simple))) or
// Trailing Long Stop Loss / Trailing Short Stop Gain (Supporting Exit)
(traildown(5))

In this instance,the only calculation that was charted was

pvi()
mov(pvi(),5,simple)


No parsed entry/exits,no traildown calculation,just the formula,which is the opposite scenario of my other rule charting.


Allan




Overload wrote:I may have misunderstood because you've been talking about the indicators, when I think you really mean the calculations, correct?

I tried your example crossabove(rsi2(obv(),17), 30) in an entry string in a Strategy, and it properly plotted both calculations: rsi2(obv(),17) and 30. The individual calculations within CrossAbove and CrossBelow will be parsed so that they will display as individual calculations on the chart, and I wasn't able to find a problem with this in the tests I ran.

Could it be that you're thinking about the diverge() formula? If so, you are correct that the calculations in that formula will not be parsed, and you'll get a 1 or 0.

Pete
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Postby Overload » Wed Sep 03, 2008 7:52 am

I still can't seem to recreate a problem. I created both a Strategy and an AutoSearch based on your example:

EntryString: crossabove(rsi2(obv(),21),34)

Exit String: crossbelow(rsi2(obv(),21),73)

In each case it parsed the calculations from the crossabove/crossbelow formulas and provided me with these calculations on the chart:

rsi2(obv(),21)
34

rsi2(obv(),21)
73

What might be best at this point is if you could send me an exported result. Select one of the results in the Combination Results Listing where it isn't parsing, right-click on that result, and select Export Selected Results. Provide a filename, click OK to save the file, and then e-mail that to me at support@stratasearch.com. Maybe if I can see the exact scenario I'll be able to identify the problem.

Also, the stop formulas (trailup, traildown, GTCLimit, etc) are no longer available in the Create Chart With Calculations feature. To be honest, they were never supposed to be in there since the stop formulas cannot be manually added as calculations. The stop formulas have thus been removed from this feature in version 4.0.910.

Pete
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