Click here to Login








Strategy Indicator - Percent winning trades for a trading rule

by bug man, 3348 days ago
Share |


Let us say you have a trading system that contains three trading rules, imagine if you have a indicator that acts like a backtester or simulator; it analyzes each trading rule before it is applied to a stock or a security and tells you whether this rule was profitable for that stock during a specific number of bars. If the rule is not profitable then the trading indicator disables it.

If you have never used the Buy Indicator, maybe it is time to start using it. The buy indicator can do exactly what I have described above.

The strategy indicator is an adaptive indicator that uses the same logic as the buy indicator but returns a different time series. Instead of returning the performance of a strategy that buys a stock when the provided rule is TRUE and sells it after a given number of bars, this indicator returns the percentage of winning trades that are above a given threshold. You can apply this indicator to any trading rule and in any market (Stock Market, futures, commodities, currencies).

Here is a simple example:
You would like to create a trading rule that buys a stock when its RSI or relative strength index crosses above 30 (cross(rsi(14), 30)).
The following indicator allows you to test the profitability of this rule by returning for each trading day the percentage of winning trades (Buy when RSI crosses above 30 and sell after 10 bars) that returned more than 1%. This function also instructs the application to return the result only when there are at least 8 trades during the 300 bars lookback period.
SIndicator_PP(cross(rsi(14), 30), 10, 1, 8, 300)

If for the bar number 1000 the function returned 100%, this means that for the previous 300 bars (700-1000), all trades that were generated by this strategy had a performance that is higher than 1%.

To apply this indicator to your trading rule, you can use the following formula:
cross(rsi(14), 30) AND SIndicator_PP(cross(rsi(14), 30), 10, 1, 8, 300) >= 60

This tells the trading software to disable the RSI crossover rule when less than 60% of the trades generated by its corresponding strategy had a higher return than 1%.
The result is that the RSI crossover will be applied to some stocks for certain bars and not to others.

This strategy indicator is a very powerful tool and it can be used to develop trading systems and strategies that outperform the market in bull and bear periods.

The adaptive strategy indicator (SIndicator_PP) parameters are:
Rule: The trading rule to analyze
Bars: The number of bars to hold the trade or position
Threshold: The return threshold
Trades: The minimum number of trades
Lookback: The lookback period used to backtest the strategy




You have to log in to bookmark this object
What is this?
Additional Information




Type: Trading Indicator

Object ID: 551


Country:
All

Market: All

Style:
All

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects
Show All
Trend Strength Index (by swalk10, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 67 Notes Report an item
Elliott Wave Oscillator (by Caleb, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 60 Notes Report an item
Fractal Adaptive Moving Average - FRAMA (by clonex, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 61 Notes Report an item
Chande's TrendScore (by The trader, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 104 Notes Report an item
Put/Call Ratio for Individual Stocks (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 98 Notes Report an item
Support & Resistance Breakout Indicator (by Tom Huggens, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 62 Notes Report an item
CloseHL Percent Rank Oscillator (by Brian Brown, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 67 Notes Report an item
Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

How to create your own technical analysis indicators

Create a stock index or a trading indicator using the composite tools

Create a trading strategy using the money management tool - Part 2

Create a trading strategy using the money management tool - Part 1

How to create a market timing system - Part 3

Correlation of market indicators

How to create a market timing system

Backtesting Process

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2019 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.