- ago
Hello I have encountered a problem with the finantic SROC indicator

Simple strategy with limit entry:



No entry signals are displayed.


But there were entry signals in the past


According to open positions there should be entry signals on 30.12.


But still no entry signals. Even with repeated backtest, entry signals never come.


If you change the indicator to ROC, entry signals come immediately.



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- ago
#1
Hello,

Just one expected screenshot may help to shed the light on this mystery: a chart with the SROC plotted.
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- ago
#2
QUOTE:
SROC indicator never generates entry signals


To be clear: An indicator never generates any signals.

It is the trading logic (which may use/include some indicators) which finally issues an order.

So please, (as Eugene mentioned above) create a plot of the indicator in question and see if the indicator values look like expected. Then try to follow the trading logic in the chart to see what goes wrong.
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#3
Examing your screenshots closer I see:
You have 11 open positions and no more money left to enter any new position.

I think everything works exactly expected.

Please don't blame finantic.SROC in such a case. This one is not the bad guy!
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Cone8
 ( 29.06% )
- ago
#4
QUOTE:
You have 11 open positions and no more money left to enter any new position.
This isn't the reason. Retain NSF is unchecked. Signals will be generated for new positions if the conditions warrant that.

The issue is simply that you won't get a limit entry signal unless SROC is LESS THAN 4. That's the required condition to get a limit signal. Simple as that. (If you change the indicator to ROC, then it's a different strategy. ROC is obviously a different indicator than SROC - that's the whole point of it.)
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#5
First of all, I would like to apologize. I did not mean to blame finantic or the SROC. finantic is doing a great job.
I realize that not a single indicator generates signals.
I would have written better: A strategy that uses the SROC may not generate entry signals. So sorry again.

I'll try again, but this time I'll use a market strategy with transaction weight, so the results will always be the same. I am trying a very simple strategy to make it easy to see if the conditions for a signal are true.



I pick the stock CVS and look there at the entry on 13.03.2019. There should have been a signal on 12.03.2019.



But no signals are shown when I enter the date for the end of the backtest 03/12/2019.



There are 11 positions open again, but 4 are also closed again, so that there would be room for a new position.
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#6
Here is the interesting graph: CVS Mar-2019 with two indicators side-by-side:

At the relevant time (3/14/2019) you see a bigger difference between
ROC (red) and SROC (green)

The reason:
ROC shows big changes in the most recent prices and big changes in prices 5 bars ago. (the latter not being relevant for a strategy)

SROC shows big changes in recent prices only. (This is better!)

So it is not a big surprise that a strategy behaves differently if ROC is replaced by SROC. With SROC it should work better!
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#7
The difference is even more visible in the same chart at 4/9/2019:
Here ROC is 3 while SROC is 0.3. (right blue rectangle)

Reason: ROC is high because a big change five bars ago (4/2/2019) (left blue rectangle)



This means: ROC will produce many false signals for this very reason.
(which SROC will not)

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- ago
#8
Conclusion:
There was a major dip five days ago.
A strategy based on ROC will produce trading signals caused by that dip.
But such an old dip is not a valid/meaningful/profitable "signal".

A strategy based on SROC will not produce trading signals, because the old dip does not confuse the SROC indicator.
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#10
So your initial line:
> I have encountered a problem with the finantic SROC indicator

should read:

ROC indicator produces many false signals while SROC does not and thus prevented some major losses.
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- ago
#11
The strategy with SROC had an entry in the backtest on 13.03.2019. Should not then appear on 12.03.2019 in the signal tab an entry signal (if the backtest is set to 12.03.2019)?
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Cone8
 ( 29.06% )
- ago
#12
Actually, there is indeed a problem with SROC.
It's returning NaN on the last bar of the chart.
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- ago
#13
QUOTE:
there is indeed a problem with SROC.


Damn. Confirmed.
Will be fixed in the next build of finantic.Indicators.
Sorry.
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- ago
#14
Thanks Cone for clarify. And sorry for the confusion in my explanations.
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- ago
#15
This isssue is fixed with Build 4 of finantic.Indicators, available since yesterday.
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