Cross vs. Less than/Greater than

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Cross vs. Less than/Greater than

Postby gmg733 » Tue Jul 02, 2013 8:34 pm

Doing some work on a scan and I get very different results whether I write the code as crossabove or crossbelow vs. using the normal > or <. SS uses end of day data right? I can see where the initial results might be different, but the subsequent ones should be the same?

I'm trying to figure out why something like crossabove(rsi(2), 20) has a significant difference than rsi(2) > 20 per se. I get the fact the one is looking for a cross of the variable and the other is looking at something different.

Does the cross function work on close data, or does it get marked intraday somehow when a cross happens?

Thanks.
gmg733
 
Posts: 44
Joined: Sat Jun 01, 2013 3:35 pm

Re: Cross vs. Less than/Greater than

Postby Overload » Wed Jul 03, 2013 8:41 am

Both methods look at the same data, so that wouldn't be the issue. But as you said, there are slight differences, and those slight differences could significantly change the portfolio selection from the beginning. Since an RSI(2) > 20 produces lots of signals, a revised portfolio selection could create a significant impact on the results.

First, the CrossAbove isn't anything more than it appears to be. As an example, consider your formula:

crossabove(rsi(2), 20)

The above can be duplicated, exactly, by using the following instead:

rsi(2) > 20 and ref(rsi(2), -1) <= 20

So you could experiment with the above, and see how the results change by adding/removing the second half of the expression.

If you wanted to investigate even further, it is possible to produce listings of "All Trades" from both of your scans. This is different than looking at the various portfolio sizes, which show only the trades that were selected into the portfolio. By comparing All Trades, you could verify that it is only the initial trades that are different, while the trades later on are the same.

To view a report with All Trades, open the Setups > Trade Settings menu, Detailed Analysis Trades tab, and check the box for "All Trades (Trade Report Only". You'll then need to rerun your Detailed Analysis for both combinations (and I recommend a relatively short Evaluation Period since there are so many trades produced). When viewing the Detailed Analysis, you can then switch to the Trades Report, and view the Trades tab, and change the Portfolio Size to "[All]".

Hopefully this helps.

Pete
Overload
 
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Joined: Wed Nov 30, 2005 12:14 pm

Re: Cross vs. Less than/Greater than

Postby gmg733 » Wed Jul 03, 2013 9:06 am

Thanks.

One other thing I am trying to figure out is which result gives me the best equity curve and flattest curve with no losing years. Is there a way to do this? I have looked at the standard deviation values and then try and correlate them back to the winners I have found. But when you have 200 results it would be nice to be able to somehow automate this. Is this possible? Basically, I'm looking for the best consistent return over a 5 year period.

Regards!
gmg733
 
Posts: 44
Joined: Sat Jun 01, 2013 3:35 pm

Re: Cross vs. Less than/Greater than

Postby Overload » Wed Jul 03, 2013 1:22 pm

There's a limited amount you can do with this in the Combination Results Listing, apart from the Standard Deviations. Your better option would be to run your Strategy or rules through a OneClick Search, where you'll have access to all kinds of additional filters. For example, you can create a filter for AvgAnnReturn/MaxDrawdown. Or you can add a filter for WorstYear.

A OneClick needs to use an AutoSearch Setup for its strategies and rules, so you'll need to create a new AutoSearch Setup for that. If the AutoSearch and OneClick are new to you, the best way to learn about them is by following Tutorial #2 in the StrataSearch Help, and paying close attention to sections 5-7. After that, you'll need to experiment a bit to get comfortable with all the different options.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm


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