Yesterday I gave an online talk "WL7 and the Indicator Profiler" to a bunch of Austrian traders (in german).
This talk sparked some remarks, ides and suggestions. I'll list these in no particular order:
It is all about the Indicator Profiler Extension:
The startup-value for "Analysis Range" should be "10 years ago until three years ago". The current startup range (last N years) encourages over-optimization.
In "Indicator Profile Results":
I miss a (quick) possibility to deactivate all indicators. Likewise there should be a context menu with "Activate all selected indicators"
When I sort a column with a double-click empty cells sort as -Inf instead of 0.0. This makes it (unnecessary) hard to see "best" lines" and "worst" lines in a convenient way. For "worst" lines I have to scroll always over the empty cells.
Remark: "Worst values" are as valuable to me as "best values" because the bad values result in excellent filters which avoid bad trades (well, on average).
If I double-click a Cell it should switch to "Indicator Evaluater" with the clicked indicator selected (which it does). At the same time it should auto-select:
* Left Axis according to the clicked column, e.g. "Alpha" if I clicked an "Alpha"-Column.
* Bottom Axis according to the clicked column, e.g. "Conseq Bars Down/Up" if I clicked one of the "Consec..." columns.
Indicator Evaluator
The table in "Indicator Evaluator" shows an histogram with equidistant bins. (All bins have the same widths on the Value-Axis). This is not very useful if the number of observations falls below a certain threshold (say 100 observations). All information concerning a small sample are not reliable enough to be useful. Please make the bin-size dynamic. No bin should ever contain less then (say) 100 Observations.
The main graph shows profit versus some indicator statistic. Here it is also important to see the number of observations "contained" in each data-point. I'd add a second sub-chart which shows (as a histogram) the number of observations in each data-point plotted. Again: a promising "peak" renders useless if it is calculated form just a few observations.
A cursor-value-readout would help also. This is a small table below the chart which shows the current values "under the mouse".
If a certain indicator/condition combination shows promising I am going to implement it as a filter in my strategy. To make this less painful I'd suggest a right-mouse menu entry which says: "Copy indicator/condition" to clipboard" probably "As Building Block" or "As C#code". Then I'd go to the Building Block Strategy Design Surface and paste the condition (or paste the C# code in the C# Coded Strategy C# Code Editor).
Please don't get me wrong: Indicator Profiler is very good. With the improvements mentioned above it would be even better.
This talk sparked some remarks, ides and suggestions. I'll list these in no particular order:
It is all about the Indicator Profiler Extension:
The startup-value for "Analysis Range" should be "10 years ago until three years ago". The current startup range (last N years) encourages over-optimization.
In "Indicator Profile Results":
I miss a (quick) possibility to deactivate all indicators. Likewise there should be a context menu with "Activate all selected indicators"
When I sort a column with a double-click empty cells sort as -Inf instead of 0.0. This makes it (unnecessary) hard to see "best" lines" and "worst" lines in a convenient way. For "worst" lines I have to scroll always over the empty cells.
Remark: "Worst values" are as valuable to me as "best values" because the bad values result in excellent filters which avoid bad trades (well, on average).
If I double-click a Cell it should switch to "Indicator Evaluater" with the clicked indicator selected (which it does). At the same time it should auto-select:
* Left Axis according to the clicked column, e.g. "Alpha" if I clicked an "Alpha"-Column.
* Bottom Axis according to the clicked column, e.g. "Conseq Bars Down/Up" if I clicked one of the "Consec..." columns.
Indicator Evaluator
The table in "Indicator Evaluator" shows an histogram with equidistant bins. (All bins have the same widths on the Value-Axis). This is not very useful if the number of observations falls below a certain threshold (say 100 observations). All information concerning a small sample are not reliable enough to be useful. Please make the bin-size dynamic. No bin should ever contain less then (say) 100 Observations.
The main graph shows profit versus some indicator statistic. Here it is also important to see the number of observations "contained" in each data-point. I'd add a second sub-chart which shows (as a histogram) the number of observations in each data-point plotted. Again: a promising "peak" renders useless if it is calculated form just a few observations.
A cursor-value-readout would help also. This is a small table below the chart which shows the current values "under the mouse".
If a certain indicator/condition combination shows promising I am going to implement it as a filter in my strategy. To make this less painful I'd suggest a right-mouse menu entry which says: "Copy indicator/condition" to clipboard" probably "As Building Block" or "As C#code". Then I'd go to the Building Block Strategy Design Surface and paste the condition (or paste the C# code in the C# Coded Strategy C# Code Editor).
Please don't get me wrong: Indicator Profiler is very good. With the improvements mentioned above it would be even better.
Rename
After some more work with Indicator Profiler I feel the urge to (re-)state an important fact:
It is not useful to display any result which is based on a small number of observations.
I mentioned this above with respect to the histogram in table view. But it applies also to the main graph in Indicator Evaluator and the main table in Indicator Profile Results.
If the nice large numbers for Return or Alpha are based on less than (say) 100 observations they should not display in bold green/red but greyed out.
It is not useful to display any result which is based on a small number of observations.
I mentioned this above with respect to the histogram in table view. But it applies also to the main graph in Indicator Evaluator and the main table in Indicator Profile Results.
If the nice large numbers for Return or Alpha are based on less than (say) 100 observations they should not display in bold green/red but greyed out.
Is documentation available for this Extension?
Yes. When installed, extensions developed by us typically integrate their own documentation pages in the WL7 Help.
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