Adding indicator values to detailed trades from backtest

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Adding indicator values to detailed trades from backtest

Postby Kevin_in_GA » Mon Dec 17, 2012 10:21 pm

I want to add a bunch of indicator values from the day a trade was signaled and be able to see them for all of the trades listed in the detailed trades section of the Detailed analysis. That way I can see if there are potential additional things I could have built into my filter.

Since the trades are recorded on the day after the signal was generated, I'm thinking if you could add columns to the detailed trades list with things like "ref(proc(close,5),-1)" or similar one could extract a host of indicator values for the specific stocks on the day the signal was triggered.

Is something like this possible?
Kevin_in_GA
 
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Re: Adding indicator values to detailed trades from backtest

Postby Overload » Wed Dec 19, 2012 9:36 am

That's an interesting idea. But no, that isn't possible within the Detailed Analysis itself. However, you might have some luck doing something similar in the Screener.

Suppose that your Entry String is this:

rsi(14) < 30

And suppose that the indicator value that you're evaluating is the one you mentioned:

ref(proc(close, 5), -1)

In the Screener, you could then clear the "Selection" field, and enter the following in the "Rank" field:

ValueWhen(rsi(14) < 30, ref(proc(close, 5), -1))

While this won't produce a value for every trade in the back test, it will at least produce the most recent value for each stock in your sector. That could be enough to help identify indicators that will benefit your basic Entry String. On the other hand, I'm not sure that doing this manually would be more efficient than using something like the AutoSearch.

Pete
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Re: Adding indicator values to detailed trades from backtest

Postby Kevin_in_GA » Wed Dec 19, 2012 9:49 am

I was hopeful. Obviously if one could add columns for specific data like this into the Detailed trades tab, then SS would do all the crunching for me on every trade.

I have a system that looks very promising, with a win rate of about 70%. It generated over 7000 potential trades in the last 5 years, and I wanted to look at 15-20 indicator values associated with the specific trigger date for each trade, then use principal components analysis to cluster winning trades versus losing ones. The resulting analysis would rapidly highlight the key differences in those trades in a way that would allow you to adapt the screen such that trades with the potential to be "big losers" were flagged and excluded.

Using the screener will allow for this, but will be time-consuming. I was hoping that there was a way to have SS do this - consider this as a possible upgrade to the Detailed Trades section down the road.
Kevin_in_GA
 
Posts: 171
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Re: Adding indicator values to detailed trades from backtest

Postby Overload » Wed Dec 19, 2012 10:09 am

The standard method of doing this in StrataSearch would be to take your 15-20 indicators and implement them as Supporting Entry trading rules, complete with parameters entered as ranges of variables, etc. You would then run an AutoSearch that tests the indicators alongside your base system, and the back test results would give you a fast indication of the effectiveness of those supporting indicators.

However, I can see how your suggestion for the Detailed Analysis would be helpful for those that really want to evaluate the internal numbers. So I'll put this on the list as a possible future upgrade.

Pete
Overload
 
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