Request for an Analysis Series-like visualizer for profit by number of signals
Author: abegy
Creation Date: 4/21/2020 6:37 AM
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abegy

#1
Hi Eugene,

When you have several signals with your strategy and not enough cash to entry in all, you need to make a selection and apply a signal priority. Moreover, it is not simple to define the right number of priority signals that you need to take at the end. Except if I'm wrong, I see no visualizer in WLD to help you in this processus.

For this reason, it could be intereted to have a new Analysis series to help in this type of study. This Analysis would be for Raw mode only.

My idea is to be able to access in the visualizer all series used in the script (same as the current Analysis series visualizer). The visualizer reports cumulative profit (or percentage of the strategy profit) by number of signals selected (1, 2, ...).

With this, you can offer filters :
- an Analysis bar selector (Entrybar-1 / EntryBar) to see if the previous value of your series can improve the performance
- a type of signal value selector (best / worst) to see if you inverse the value of your series can influence the result
- a position selector (long / short / total) to focus on a group of trades

What do you think ? Do you see the advantage of this type of visualizer ?

Take care of you.
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Eugene

#2
Alexandre, I feel that your post falls short to convey the message. Despite having read it a couple of times, the request doesn't seem to ring a bell to me. Could you retry and explain it in a more intuitive way? What is exactly being visualized on Axis X and Axis Y?
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abegy

#3
Ok Eugene. No problem. Sorry if my English is not clear.
I will try to explain it in a different way.

Take the following script for example. it is available in the Quickref to explain how works "Priority".

CODE:
Please log in to see this code.


As you see in the script, "Priority" uses the CCI indicator value. By this way, you can sort your signals and take only the 10 firsts (if you select for example 10% of your equity for sizing). If you run the script on the Wealthlab100 dataset in RAW mode, you can have sometimes more than 90 orders at a time (look open positions in the Equity curve visualizer).

So... The main problem with this approach is that you don't know if the CCI indicator value is the best to select your signal and if your need to restrict to 10 positions (or more) to maximize your profit.

My idea is to have a new analysis series visualizer to help you to improve your strategy result by given you the possibility to see rapidly the profit if you change the value in the priority by another series available in your script (similar logic of the current Analysis series visualizer but apply to the logic of the priority).

For this, you need the following filters :
- Series selector
- an Analysis bar selector (Entrybar-1 / EntryBar) to see if the previous value of your series can improve the performance
- a type of signal value selector (best / worst) to see if you inverse the value of your series can influence the result
- a position selector (long / short / total) to focus on a group of trades

Result must be displayed :
- in the x axis : number of signal taken
- in the y axis : profit
- in the x,y position : bar chart which give you the cumulative result

Do you see now the subject ?
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Eugene

#4
Thank you for the explanation Alexandre.

Now I see what confused me when reading the initial post. You're trying to make the Analysis Series visualizer do what it conceptually should not handle: influence the position sizing. In my opinion, the proper approach to backtesting consists in not mixing the trading decision itself with the impact of the position sizing on your trading system. To avoid curve fitting, these components should be analyzed separately.

The Analysis Series already does a nice job of mapping the trade profit to the indicator cutoff values. If you see the CCI is the best for signal selection then go for it! Conceptually, making the link to Position.Priority or Candidates.Count paves the way for comparing apples to oranges.
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abegy

#5
thank you for your reply. I will check again the way to use the current Analysis series visualizer. It's look like that I missed a way to understand how it works.
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