tradesignal how to 06. i what`s new in version 7.7. (english)

intalus.com/tradesignal-howto

06Issue

A publication ofPowered by

Extended performance metrics, new indicators and fresh look.

WHAT’S NEW IN TRADESIGNAL 7.7.

http://www.intalus.com/tradesignal-howto

FIND INTERESTING TRADESIGNAL HOW TO VIDEOS AT:

www.intalus.com/tradesignal-howto

IN ADDITION CHECK OUR TRADING TIPS VIDEOS AT:www.intalus.com/trading-tips

2

WHAT’S NEW IN TRADESIGNAL 7.7. TRADESIGNAL HOW TO. 06

WHAT’S NEW IN TRADESIGNAL 7.7.Extended performance metrics, new indicators and fresh look.

With the latest update Tradesignal provides traders, portfolio managers and analysts with several new features. These include advanced features for performance analy-sis, new indicators and innovations in language Equilla. Even the look of the software has undergone a makeover. Learn here how the new version 7.7 supports you in your daily work.

b Improved performance report 4 Currency adjusted display of trade results 4 Deviation of trade results 6 Tools for performance measurement 7 Drawdowns und runups 10 Advanced MAE/MFE analysis 13 Return Retracement Ratio 16 Reward/Risk Ratio 16

b New and updated indicators 18 Forward curves with currency conversion 25

b Improved interface 28 Flexible sorting of watch lists, portfolio and scanner rows 29

b More statistics in Equilla 30

3



IMPROVED PERFORMANCE REPORT PROVIDES ALL THE INFORMATION ON THE TRADING STRATEGY.

The performance report shows all relevant figures and information of an underlying trading strategy and is thus a central part of the development and optimization of an algorithmic trading approach. To enable Tradesignal users an even more accurate and more extensive analysis, this field has been significantly extended again. Below we present all the new features.

CURRENCY ADJUSTED DISPLAY OF TRADE RESULTS.

With the new function “Display Currency Trades”, which can be set in the properties section of the performance reporting, all transacted trades are displayed either in the currency of the underlying or in the individually selectable account currency. For example, if you want all the trades in the S&P 500 contract to be presented in Euro, “Money Management” needs to be selected in the case of currency “EUR (Euro)”. After opening the performance report just choose “Account Currency” as trades dis-play currency (see Figure 1, next page).

4


SHARE THIS TRADESIGNAL HOW TO!

https://twitter.com/intent/tweet?url=http%3A%2F%2Fwww.intalus.com%2Fr%2Fhow-to%2Ftradesignal%2F06%2F

http://www.facebook.com/sharer/sharer.php?u=http%3A%2F%2Fwww.intalus.com%2Fr%2Fhow-to%2Ftradesignal%2F06%2F

http://www.linkedin.com/shareArticle?mini=true&url=http%3A%2F%2Fwww.intalus.com%2Fr%2Fhow-to%2Ftradesignal%2F06%2F

https://plus.google.com/share?url=http%3A%2F%2Fwww.intalus.com%2Fr%2Fhow-to%2Ftradesignal%2F06%2F

mailto:?subject=INTALUS.%20Tradesignal%20How%20To.%2006&body=http%3A%2F%2Fwww.intalus.com%2Fr%2Fhow-to%2Ftradesignal%2F06%2F

Figure 1: Currency adjusted display of trade resultsWith the new option you can display all trades in any currency.

5



DEVIATION OF TRADE RESULTS PROVIDES NEW INSIGHTS INTO THE TRADING STRATEGY.

A valuable piece of information of the characteristics and quality of a trading strategy is the deviation of trading profits. With the new Version 7.7 Tradesignal provides infor-mation to the standard deviation of profit and loss trades on the average trades.

The use of data obtained using the standard deviation is used to identify outliers that may distort the value of a backtest significantly. For example, if a trading strategy generated a significant share of overall performance with just one or a few transac-tions, it may be assumed that this is an extraordinary, non-repeatable event. For this reason Tradesignal provides adjusted key figures for the profit, loss and the profit factor which just omits these outliers when calculating. Trades are classified as outliers, if their gain or loss exceeds the three times the standard deviation of the average value.

6








ADVANCED TOOLS FOR PERFORMANCE MEASUREMENT.

For all traders and portfolio managers who want to analyze and compare the profitabi-lity of their trading strategy not only in absolute terms, but also on a percentage basis two key figures are now available in the performance report:

b Return on initial capital: The percentage yield is thereby calculated based on the level of capital in the field of money management.

b Annual rate of return: This figure shows the annualized return of the underlying trading strategy.

b Return on account: Total net provit divided by account size required

In the example (see Figure 2) on next page, the performance report of a strategy is shown, which was traded with a starting capital of 1 million EUR. As you can see, the net profit for the period was 386 078 Euro.

Compared with the initial capital, this corresponds to a profit of 38.61 percent. On an annualized basis, this results in an annual rate of return 29.87 percent (see Figure 3).

7



Figure 2: Profit figures of a trading strategy In this example the most important profit metrics are shown with and without outliers.

8








Figure 3: Performance figures in percentage The performance reports now provides percentage metrics for returns.

9



Figure 4: Analysis of runups and drawdowns The drawdown and runup metrics offer great insights into the underlying trading strategy.

DETAILED MEASUREMENT OF DRAWDOWNS AND RUNUPS.

The analysis of drawdowns and runups plays an important role within the develop-ment process. Tradesignal offers a wide range of different indicators that can be accessed in the performance report. Figure 4 shows an overview of all available metrics.

If you want to evaluate individual trades, the trade list provides important information. Here you will find two new columns that identify the runups and drawdowns as a percentage of capital for each individual trade (see Figure 5, next page).

10








Figure 5: Currency adjusted trade list All transactions in the trade list now can be shown in any currency.

11



Figure 6: Drawdown calculation mode The drawdown can be defined in two ways: entry to valley or peak to valley.

TWO OPTIONS FOR THE CALCULATION OF DRAWDOWNS.

How the runup and drawdown should be calculated, may now be defined with the “Drawdown Calculation Mode”.

The calculation method may be either “Entry to Valley” (Maximum drawdown is calculated from the entry price to the largest loss) or “Peak to Valley” (here the draw-down from the highest profit point to the highest loss is calculated).

12








STRESS TESTING –

HOW ROBUST IS

YOUR STRATEGY?


04Issue

A publication of

Powered by

Enhanced measures for risk and return, category tags and new indicators.

WHAT’S NEW IN

TRADESIGNAL 7.6.

ADVANCED MAE/MFE ANALYSIS.

A marginal, but very useful extension in this regard can also be found in the MAE/MFE analysis. The Maximum Favourable/Adverse Excursion charts now show a dividing line to help measure the appropriateness of displayed data and so help answering questions like:

b Have the most profitable trades recorded high drawdowns or were they very low? (describes the quality of entries)

b How many trades were closed with only a small profit or even a loss despite a high runup? (exit component should be improved)

b At what drawdown level the majority of trades produced no positive results anymore? (information laying down the Stop-size)

You can specify both an absolute and a percentage visualization of trades in the diagram.

BY THE WAY:Further information on MAE/MFE can be found in our How To issue no. 4:www.intalus.com/products/tradesignal/how-to/04

13



The following diagram (see Figure 7, next page) shows an example of the MFE chart of a trading strategy (only winners are shown) on a percentage basis. With this dia-gram it can be determined quickly that despite an interim high book profit (runups), many trades only locked in only a small part of it as actual profit – a welcome oppor-tunity to improve the exit strategy.

BY THE WAY:

The MFE/MAE charts provided in the new version now show actual closed instead of filled exit orders. This also applies to the trade list in the performance report. This change only makes a difference when a filled exit order exits for more than one entry, in such cases the exit must be treated as a multiple trade, in order to correctly calculate the runup and drawdown.

14








Figure 7: MAE/MFE analysis The analysis of the relationship between the highest runup or drawdown and the final P&L of single trades enables traders to improve their trading system.

15 www.intalus.com/tradesignal-howto

RETURN RETRACEMENT RATIO BY JACK SCHWAGER.

Also new to the Tradesignal functions is the Return Retracement Ratio published by Jack Schwager in his book “Managed Trading”. This measure compares the average annualized return of a trading strategy with its average maximum retracement. To cal-culate the latter at the end of each month the capital is compared to the highest and lowest monthly value in the mean time; the higher of both values is taken into account as a retracement in the overall formula. Therefore, the higher the ratio, the better the trading strategy.

REWARD/RISK RATIO.

The Reward/Risk Ratio combines several key figures from the performance report and merges them into a single risk/return ratio that best lends itself to compare different strategies. In contrast to the conventional approach to set against the profit to the corresponding maximum drawdown, in this metric profits are adjusted for outliers and the average drawdown is used for calculation. Moreover, the additional time invested in market serves as additional risk component.

16








Select Total Net Profitaverage drawdown x percent time in the market

Reward/Risk Ratio =

Subsequently, the formula:

THEREFORE:

The higher the ratio, the better.

EXAMPLE:

Reward/Risk Ratio = (50.000)/(1.000*50%)=100.

According to common interpretations the Reward/Risk Ratio should be higher than 30.

17



NEW AND UPDATED INDICATORS.

Now we come to the new additions and updates to existing indicators.

01. AVERAGE VALUE AT TIME INDICATOR (AVAT).

As the name suggests, this indicator shows the average value of a data series, howe-ver, not on the basis of previous candles as a simple SMA does. It takes into account the time of day in the calculation of the average. A simple example: Consider a current 5-minute candle at 2pm. If the period is set to 10, the indicator shows the average value of the 2pm candles of the last 10 trading days. If applied on the volume of a market, this indicator can be used to identify normal patterns and abnormalities. The following diagram shows the DAX future as 1-minute chart. In the middle the volume is shown (gray histogram), the blue line visualizes the AVAT indicator based on the last 10 trading days. The lower subchart (orange) shows the volume difference between the two data series. This is made possible through the use of the pre-built indicator “Spread Diff”. The above-average volume near the lows of the day can be seen clearly in this example.

18








Figure 8: Application of the AVAT indicator on the volume of the DAX future

19



02. BACKCOLOR DAILY INDICATOR (BACKD) FOR DAY TRADERS.

This indicator colors the background of a subchart in two different colours, depending on what day is displayed. This is mostly used in intraday charts to visualize a day change.

20








Figure 9: Individual colouring to visualize day changes

21



03. UPDATED STRATEGY DRAWDOWN INDICATOR.

The Strategy Drawdown indicator shows loss phases in capital visually. It now includes three new features to make the analysis even more convenient and more accurate:

b ShowDrawdownAsPositiveValues Displays drawdowns as required to invert

b Calculation Displays drawdowns either absolute or proportional to

b Source Allows you to select the drawdown type:

a. ParentDrawdown (a drawdown of a strategy based on close prices)b. ParentIntradayDrawdown (drawdown of a strategy on intraday basis)c. GlobalDrawdown (cumulative drawdown of several strategies based on close prices)d. GlobalIntradayDrawdown (cumulative drawdown of several strategies on intraday basis)

22








04. UPDATED STRATEGY EQUITY COMBINED INDICATOR.

The Strategy Equity Combined Indicator enables the visualization of the capital curve of as a percentage value by setting the mode to either “Percent” or “PercentMoneyMgmt”. The first option uses the capital amount used in the indicator itself, while the latter is based on the chosen „initial capital“ in the „Money Management“ section of the properties.

Figure 11 (next page) shows the DAX with the equity curve below (on a percentage basis). The Strategy Drawdown indicator has been inserted twice into the chart – both on an absolute and percentage basis.

23



Figure 10: Equity Curve and drawdown analysisThe equity curve and the drawdowns can be shown in both absolute and percentage terms.

24








FORWARD CURVES NOW ALSO WITH CURRENCY CONVERSION.

Tradesignal provides a convenient way to visualize the forward curve of a contract as a projection in the current chart with the Forward Curve indicator. The indicator now offers the option to carry out an individual currency conversion for the underlying instrument.

For example, to represent the Light Crude contract and the corresponding forward curve in Euros, the currency of the chart must be set to “Euro” in the properties section. Then we add the Forward Curve indicator (FC). The “UseParentCurrency” option is set by default to Yes in this indicator and ensures in this case that the forward curve in Euro is displayed.

25



Figure 11: Forward Curve Indicator settings If the chart is displayed in a specific currency, the Forward Curve Indicator automatically visualizes the forward curve in the same currency, when the option “UseParentCurrency” is activated.

The following diagram (see Figure 12, next page) shows an example of the light crude contract and the associated forward curve in Euro.

26








Figure 12: Forward Curve of Light Crude Contract in Euro

27



Figure 13: Full Screen ModeThe new full screen mode provides the maximum space available on your monitor by showing the title bar and ribbon only when needed.

IMPROVED INTERFACE: NEW DESIGNS, FULL SCREEN MODE AND MORE.

For an even more efficient and more transparent way of working in addition to the already presented innovations the user interface has been updated.

You can easily select the new design templates by clicking on „File b Options b Personalize b Theme“.

Fans of workspaces with many charts will also appreciate the new full-screen mode. This provides the maximum space available on your monitor by showing the title bar and ribbon only when needed. This mode is activated by a new button at the top right (Auto-hiding) in the application.

28








Figure 14: Flexible sorting In this scan list all equities are sorted by their performance. If you would like to place Bayer on a specific position, you can do it easily by drag and drop the stock.

FLEXIBLE SORTING OF WATCH LISTS, PORTFOLIO AND

SCANNER ROWS.

Another practical innovation in the interface is the ability to sort watch list, portfolio or scanner rows manually. In the following example, a scanner with DAX stocks is shown. All values are sorted in descending order according to their weekly performance. If you want now to bring Bayer stock to the top, the desired column must be held with the left mouse button and pulled to the desired location.

An automatic sorting can be added in retrospect the way by clicking on the column name.

This sorting can also be removed by the File „File b Table b Columns b Clear all sorting“.

29



MORE STATISTICS IN EQUILLA.

Finally, we would like to present a brief overview of the new trade statistics. These are Equilla functions, whose value can be retrieved with each script at each bar.

b Drawdown b MaxDrawdown b IntradayDrawdown b MaxIntradayDrawdown b GlobalDrawdown b GlobalMaxDrawdown b GlobalIntradayDrawdown b GlobalMaxIntradayDrawdown b StdevAllTrades (equity) b StdevWinningTrades b StdevLosingTrades b MaxRunup

AN IMPORTANT DETAIL:

From now on, multiple entries and exits can be taken into account and be accessed by using the corresponding functions. For more details on this please refer to the “Help” section and enter “Closed Trade” in the search box (see Figure 15, next page).

30








Figure 15: New Equilla functions

31



Figure 16: Consideration of multiple entries and exits

The new Money Management property, for Commission/Slippage, “Split over each trade in an Exit Order” can be set to either “True” (the default) or “False”. If true, if an order exits multiple entries, commission and slippage will be distributed evenly across each trade. If set to false, com-mission and slippage will be applied in full for each trade exited by an order.

Another new option called “Single Entry per Trade for Statistics” controls what constitutes a trade in statistics values that require this. This property can be set to either “True” (the default), in which case trades will be based on an entry/exit pair. The property can also be set to “False”, in which case trades will be based solely on exits (for ex-ample and exit that exits two entries would be a single trade). In prior versions, the latter option was standard, and will remain set in any pre-existing workspaces.

32SHARE THIS TRADESIGNAL HOW TO!







© 2015 Intalus – www.intalus.com

Distribution allowed under a Creative Commons Attribution-Noncommercial license:

http://creativecommons.org/licenses/by-nc/3.0/

Tradesignal® is a registered trademark of Tradesignal GmbH. Unauthorized use or misuse is specifically prohibited.

All other protected brands and trademarks mentioned in this document conform, without restriction, to the provisions of applicable

trademark law and the copyrights of the respective registered owners.

TRADESIGNAL – THE EXCELLENT SOFTWARE FOR ALGORITHMIC TRADING.

With the latest version 7.7 Tradesignal offers even more valuable tools that serves traders, portfolio managers or analysts in all respects as a virtual assistant: Whether it comes to creating your own trading strategies and backtest them, if you want to scan the market for individual patterns or to trade entire portfolios – with Tradesignal you can implement almost everything.

DOWNLOAD TRADESIGNAL 7.7 NOW:Tradesignal clients: Please download the latest version today and profit from all the new tools. Send an email to [email protected] and you will receive the update.

For questions about the software, we are happy to help you.If you are not a Tradesignal customer yet, we are happy to provide you with a trial version. Send us an email to: [email protected]

33




03Issue


Proper optimization rather than curve fitting.

STRESS TESTING – HOW ROBUST IS YOUR STRATEGY?

The ultimate tools for making profitable investment decisions.

POINT & FIGURE CHARTS FOR BEGINNERS.

intalus.com

01Issue


New features for more analysis power with ease of use.



02Issue


STRESSTESTING – WIE ROBUST IST IHRE HANDELSSTRATEGIE?

Herausgegeben von

intalus.de/tradesignal-howto

In Zusammenarbeit mit

04Ausgabe

Erweiterte Auswertungsmöglichkeiten zur Risiko- und Ertragsmessung, Kategorie-Tags und neue Indikatoren.



05Issue


PART 1: Basics.

WITH EQUILLA TO TRADING SUCCESS.

EQUILLABASICS. 1


MORE HOW TO AND VIDEOS HERE

PROFIT FROM THESE TRADESIGNAL HOW TO & VIDEOS TOO.

TRADESIGNAL HOW TO 01

POINT & FIGURE CHARTS FOR BEGINNERS.

The ultimate tools for making profitable investment decisions.



New features for more analysis power with ease of use.


STRESS TESTING – HOW ROBUST IS YOUR STRATEGY?

Proper optimization rather than curve fitting.


WHAT’S NEW IN TRADESIGNAL 7.6.Enhanced measures for risk and return, category tags and new indicators.


EQUILLA BASICS PART 1

WITH EQUILLA TOTRADING SUCCESS.Part 1: Basics.

34








http://www.intalus.com/tradesignal-howto

MORE INFOS AT: www.intalus.com/workshops

YOU CAN’T REACH THEHIGHEST PEAK IN ONE DAY.

Get yourself prepared – with workshops by Intalus.

http://www.intalus.com/workshops

http://www.intalus.com/workshops

tradesignal how to 06. i what`s new in version 7.7. (english)

Economy & Finance

whats new

bb new

new indicators

new features

new version

new insights

new option

tradesignal users