Trade Direction Portfolio Manager

The Trade Long/Short parameter controls which types of trades the system will take. The possible values are: Long and Short, Long Only, Short Only, and Step All Values. Choosing Step All Values will result in a three parameter run test with each of the other three values.  Most of our built-in systems use this Portfolio Manager.

 

TradeLongShort

 

Strength Filter

The Strength Filter filters a pool of candidates which the systems can trade from the current portfolio. While this parameter is normally used for stocks, it can be applied to futures or forex.

 

The Strength used in the Strength Filter is simply a volatility-adjusted measure of the price increase (or decrease) of an instrument over a finite time period. The parameter Strength Days defines this measurement period (in days).

 

Filter Threshold tells Trading Blox how many instruments to filter out of the system's portfolio and lay aside as candidates for possible entries by the system. Instruments are ranked based on the formula:

 

StrengthFormula

 

Strength Filter has two sections: Long which selects for strength, and Short which selects for weakness.

 

The Long section filters instruments (individual futures, stocks, or forex) based on price strength. It culls the highest strength instruments over the time period specified by Strength Days, and sets aside the number of candidates specified by the Filter Threshold value.

 

The Short section filters for low price strength. It culls the lowest strength instruments over the time period specified by Strength Days, and sets aside the number of candidates specified by the Filter Threshold value.

 

The Strength Filter simply provides a pool of candidates which the systems can trade. The particular instruments ultimately traded out of the pool provided by the strength filter are a function of the entry rules for that system.

 

If Use Strength Filter is set to True or Step True to False then four additional parameters will be shown:

 

StrengthFilter

 

Filter Threshold - Long

Applicable only if Use Strength Filter is True, this parameter defines the number of instruments to be filtered out as candidates for long trades.

 

Filter Threshold - Short

Applicable only if Use Strength Filter is True, this parameter defines the number of instruments to be filtered out as candidates for short trades.

 

Strength Days - Long

Applicable only if Use Strength Filter is True, this parameter defines the length of time in days over which performance is examined to determine strength for long trades.

 

Strength Days - Short

Applicable only if Use Strength Filter is True, this parameter defines the length of time in days over which instrument performance is examined to determine weakness for short trades.

 


Edit Time: 9/20/2017 07:56:26 AM


Topic ID#: 186

 

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