In order to use DLPAL LS you need to specify the following on a search workspace.
1. The directory of the historical data files to use or a single data file The files must have appropriate format and length.
2. The performance parameters and risk/reward objectives to apply.
The software setup includes sample historical data files in compatible format. These files are located in the DATA subdirectory of the program. A sample workspace and results are also included, in MyWork and Results directories, respectively.
The following two steps are required to set-up a workspace.
1. Create a T/S file
This file contains the profit target and stop-loss values to be applied to the calculations. Each line in a T/S file corresponds to a pair of profit target and stop-loss values used in the back-testing of strategies based on the features and for determining historical performance. The values in a T/S file may stand for percentages of the entry price or points added to the entry price and the choice between the two options is made on the workspace. In the case of exits on the close of the next bar, the values of the T/S file are not taken into account and can be set to anything. Sample files can be found in the TRS subdirectory.
Usually the values in the T/S file are set as low as possible to avoid over-fitting. Typical values for equities are in the 1% to 3% for daily data and 5% to 7% for weekly data.
The profit target and stop-loss are used to calculate the feature profitability only. These are not used in the strategies that are based on the features although one can uses different profit targets and stop-loss levels if desired in general.
When multiple profit-targets and stop-loss pairs are used in a single T/S file, the program calculates the performance for each pair and then uses the trade-weighted average profitability of the corresponding features and their significance. The feature values are calculated based on that final result.
The open and close for the trade inputs and %, pts and NC for the trade exists are for calculating the features only. Strategy may use different levels. DLPAL LS
does not develop strategies but only generates the features that can be used to develop strategies.
2. Create a workspace
In the workspace you specify the T/S file to use, the historical data file and the trade parameters.
If next close (NC) is selected as the exit parameter, a dummy T/S file must be specified with just one pair of target/stop values but these will not be used by the program.
When creating a workspace you may introduce multiple parameter lines each with different data file(s), T/S file and parameters.
The best way to become familiar with a program is by actually working with it. There are many ways to use DLPAL LS depending on user’s experience