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Average Performance of a trading rule during that past N days

by bug man, 2268 days ago
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This function transforms any technical or trading indicator into a sort of adaptive indicator. In fact, it gives you the average one day performance when the rule you provided is true, for a specific number of past bars. To do so, the function calculates the one bar rate of change of the asset you are analyzing, it then detects, for each bar, all past bars where the trading rule provided is true. Finally, an average one-bar return is calculated for all these bars (The return of the next bar is calculated) and is assigned to the current bar.

Each trading bar will tell us exactly the average performance of a strategy that buys the asset when the rule is true and sell it when it becomes false. So, given any technical indicator, we can easily create a rule that tells us whether a technical indicator was profitable for a specific stock and a specific past period or not.

The following buy rule for example, instructs the application to enter a stock only if its Relative Strength Index value is higher than 70 and that at the same time this rule produced more than 0.1% average return during the past year.
buy = rsi(14) > 70 AND AvgPerfRule(rsi(14) > 70, 250) > 0.1;

As you might have noticed, the indicator name is "AvgPerfRule". The analyzed trading rule is provided in the first argument, while the second gets the lookback period or the number of trading bars to analyze.

Here are some interesting strategy indicators (Indicators that return values based on a strategy applied to a trading rule):
Buy Sell Simulation Indicator
Strategy Indicator - Percent winning trades for a trading rule
Buy Indicator


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Type: Trading Indicator

Object ID: 835


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