Each line in the results corresponds to a calculation for a single data file, T/S file and corresponding trade parameters.
File Name is the data file name (without the extension) used in the calculation.
TS is the name of the T/S file used.
Trade on is either Open or Close.
C indicates the type of exit applied, % stands for percentages, pts for points and NC for next close exit. In case NC is indicated as the exit, any Target and Stop values specified in the T/S file are not used.
P-long is the long value feature PL.
P-short is the short value of the feature PS.
P-delta is the result of P-long minus P-short.
S is the significance of the values.
P-delta*S is the product of P-delta and S.
Signal is Long or Short.
Last Date is the most recent date (last) in the data file.
First Date is the first date (oldest) in the data file.
P-long and P-short range between 0 and 100%. Possible trigger levels for long and short positions are:
Long signal when: P-delta = P-long – P-short > L
Short signal when: P-delta = P-long – P-short < -S
Where L and S are positive numbers and should be greater than the level of winning bias desired. For example, if L = 10, then this is equivalent to having a winning bias of 10% (P-long of 60.) The higher these numbers are set the less frequent will be the values that trigger a position.
For ranking systems, a popular score function is: P-delta x S
The significance S is used in order to avoid cases where the trade sample is not large enough.
No significance: S = 0
Low significance: S < 4
Medium significance: 3 < S < 8
High Significance: 7 < S < 11
Very high significance: S > 11
Click on Stats for useful statistics about the results.
Calculated statistics include:
– The number of files in the results
– Count of results with positive P-delta
– Count of results with negative P-delta
– Ratio of results with positive P-delta to total results
– Average PL
– Average PS
– Average PL weighted by significance S
– Average PS weighted by significance S
Note: Calculations change on a daily basis and as a result any signals derived from them Therefore, the calculations are valid until the close of the next day when they must be repeated after updating all data files