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Voteline & Reversing signals
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GregHenry
Posted 8/14/2011 6:38 PM (#2800)
Subject: Voteline & Reversing signals



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I am curious if I have a Orders Block with MOC Reversing Signals Exit - should not the signal reverse anytime a new "other direction signal" (see snagit) is generated regardless of what system is generating it? If not, what then makes the signal that endures a reversal from another system endure, in other words why this signal and not that signal from within the same strategy.

Second (and perhaps related), when you activate the pop-up for an individual system within a strategy below the vote line on of the pieces of info - is the APR generated for that particular system on X number of trades over Y number of days? Are those trades the most recent ones, and just how much value do these numbers have in relationship to the overall strategy and its particular value? I apologize for such a novice question but I find this very confusing for various reasons.

(Strategy Signal Question.png)



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GijsberthDeRuiter
Posted 8/15/2011 1:14 AM (#2803 - in reply to #2800)
Subject: Voteline & Rerversing signals


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I do not know the system in detail, but apparently there is a condition in the vote block that 'stopped' some of the trades. This typically could be something like advisor rating cut, or number of signals in the same direction, or any conflict of signals. Further, there can be a lookback period...

It is best you open the strategy and look into the voteblock to understand.
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GregHenry
Posted 8/15/2011 7:57 AM (#2804 - in reply to #2803)
Subject: Voteline & Rerversing signals



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Thank you, You were correct.
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JimDean
Posted 8/15/2011 8:20 AM (#2805 - in reply to #2800)
Subject: Voteline & Reversing signals



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I am curious if I have a Orders Block with MOC Reversing Signals Exit - should not the signal reverse anytime a new "other direction signal" (see snagit) is generated regardless of what system is generating it? If not, what then makes the signal that endures a reversal from another system endure, in other words why this signal and not that signal from within the same strategy.

Second (and perhaps related), when you activate the pop-up for an individual system within a strategy below the vote line on of the pieces of info - is the APR generated for that particular system on X number of trades over Y number of days? Are those trades the most recent ones, and just how much value do these numbers have in relationship to the overall strategy and its particular value? I apologize for such a novice question but I find this very confusing for various reasons.
===========================================================

Re your first question ... you might specifically consider the first input in the Vote Block regarding Lookback bars ... and also consider the Filters at the bottom of the Performance block (if you have one). The Lookback is what makes a signal "endure".

Re your second question - the APR reported by the popup Advisor is based on the most recent Backtest of that System. The backtest is done even if no Optimization is turned on, since you might be using those stat's in a FL column or Analysis or PortSim report. If there are NO trades within the backtest period (defined by System > Test Settings) then the APR will be ZERO. If one trade, the APR is based on just that, expanded to a year. If many, they are all part of the annualization calc.

If you have Dynamic Optimization turned on, AND if something is being optimized in your strategy (DO checkbox is ignored otherwise) then the Backtest period will CHANGE as time moves forward, every time your specified Boundary is crossed.

If you want to have those popup Advisor stats be more TIMELY (one aspect of "relevance"), then in Systems Settings, set your ForwardTest period = 0 so the BT period's analysis is based on bars that are close to the HRE.

And, of course, you should set your BT period to a value large enough to encompass a statistically-meaningful number of trades. I deal with this at length in the second video of the Optimizing OmniTrader training mini-series.
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