finantic.IndicatorSelection
Finds the Indicators best suited to improve your trading strategy when used as filter, setup or weight.
$299.95 / Annual
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finantic.IndicatorSelection

IndicatorSelection is a WL8 extension that finds the indicators best suited to improve your trading strategy when used as filter, setup or weight.

This extensions contains several parts:

  1. A Indicator calculation engine that caculates all available indicators each with several customizable variants and several derived indicators and puts them into a specialized indicator database.
  2. An embedded database which stores all relevant information about these indicators and the historical trades of your trading strategies. This high performance database is highly optimized for indicator series and target series.
  3. A ranking mechanism that ranks the benefit of calculated indicators versus the trades of your trading strategy using various metrics. Results are shown in a sortable table.
  4. Indicator properties. Shows detailed information about an individual indicator.

Used together these four parts are a powerful tool to find the indicators that are best suited to improve your trading strategy.

Indicator Selection is a WL8 Extension which tackles a very interesting albeit diffcult problem: Indicator Selection. The Indicator Selection extension answers the following questions:

  • which indicators should I use in my trading strategy as a filter for entry or exit signals or as a setup
  • which indicator is able to distinguish profitable signals from other signals
  • which indicators should be used as inputs for machine learning algorithms

Required Extensions

The finantic.IndicatorSelection extension requires WL's Data Extensions (Fundamentals expressed as indicators, FRED, Quandl)

This extension works when only the Data exension is installed, but the more of the following recommended extensions are installed, the better the results.

  • finantic.Indicators - a collection of useful indicators
  • finantic.Kalman - advanced smoothers
  • Advanced Smoothers - a collection of smoother indicators
  • IndexLab - Portfolio level indicators
  • PowerPack - more indicators
Click here for more information on the finantic.IndicatorSelection Extension.

Screenshots

Extensions Menu
The finantic.IndicatorSelection adds two tools to the Extensions menu.
Indicator Selection Database
The Database tool allows to calculate and store a large number of indicators.
Indicator Variants
There are several variants of each indicator.
Creating Variants
There is a helper action "Create Variants" which allows to create a large number of variants with a single mouse click.
Pre-calculated Indicators
The finatic.IndicatorSelection extension comes with a database filled with precalculated indicators for several years of the Nasdaq-100 portfolio.
Send Target Tool
The extension adds a special performance visualizer called "SendTarget".
Target Series Visualizer
After a backtest is run this visualizer appears in Backtest Results. It allows to send results (profit of all trades of your backtest) to the finatic.IndicatorSelection database.
Target Series
The sequence of trade results is called a target series. It appears also in the Database Window.
Ranking
As soon as the database contains indicators and at least one target series ranking can start.
Intervals: In-Sample and Out-of-Sample
In order to minimize the risk of over-optimization (or curve fitting) the Indicator Selection implements a rigorous concept of various data intervals.
Indicator Properties
There is a scatterplot showing each trade as a single dot on a graph with indicator values on the X-Axis and trade profits on the Y-Axis. Furthermore there is an "Average Line" to make identifying relationships simpler.
Average Line
In some cases it is helpful to see the "Average Line" alone.
Information Gain
The ranking tool calculates the information gain for all indicator values.
Indicator Contribution
Finally, there is "Indicator Contribution".
Indicators
The extension contains a set of helper Indicators which are used to transform indictors to a comparable range.
Database Read Speed
The extension applies a hybrid approach when storing indicator values. Indicators which are slow to calculate are stored int the database. Fast indicators are calculated on the fly during the ranking process.
Fundamentals: FRED Indicators
There is a special tool which allows to select some indicators from the huge FRED database.
Preferences
The Indicator Selection extension adds its own page to WL's preferences. This Preferences page contains several tab that allow configuartion of various aspects of this extension.
Indicator Transformations
The extension supports a large number of transformations of indicators to make them comparable among different symbols.
Additional Settings
There is a rich set of additional settings to finetune the behaviour of the finatic.IndicatorSelection extensions.

Change Log

Wealth-Lab 8 Build 2 - 2/14/2024
  • Adapted to Changes in WL Build 77 (.Net 8, new TeeChart version).
  • Support for MOC entry trading systems.
Wealth-Lab 8 Build 1 - 1/10/2024
  • Initial release.

Discussions