Once you’ve identified the stocks, the question becomes how to make these market neutral opposite trades simultaneously in NeuroShell Trader when both stocks are in the same chart. Agilent (A) and Analog Devices (ADI) are a good illustration of a tradeable pair. In most cases, the comparisons are based on daily data. You begin by picking two stocks with prices that closely follow one another over time, and in fact cross one another regularly. Stocks will be used in this example, but other instruments may be pair traded.
The pair indicators will allow you to build a Trading Strategy (with a protective stop) that goes long on one stock at the same time it goes short on another stock in the same chart. How to build Trading Strategies with the Pair Indicators The purpose of this documentation is not to explain the various theories and their validity, but to demonstrate the use of the pair indicators in NeuroShell Trader. There are many ways that pairs of instruments (usually equities) can be “pair traded” in a market neutral fashion. In addition, using modern "Bootstrap" techniques, the WFINP calculates the probability of whether or not each filter's out-of-sample results were due to chance.Requires the Advanced Indicator Set 3 Add-on.
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The WFINP is a stand alone 64bit exe program that is super fast and automatically displays it's extensive total out-of-sample net profits plus performance results, equity plots and strategy inputs from each filter in Excel. A Strategy Input/filter summary is generated and sorted by total out-of-sample net profits after costs for all Strategy Input/metric filters combinations and written to a comma delimited Excel file by the WFINP. The Walk Forward Strategy Inputs with Metric Filtering (WFINP64) reads all files generated by the PWFO and searches each PWFO file for the best combination of Strategy Inputs and performance metrics Filters that generate the statistically best average out-of-sample performance.
Video How to Use The Walk Forward Metric Explorer Video How To Find a Good Metric Filter In The WFME Ave File Output Video How To Find Strategy Inputs to Use For Trading In The Future The Walk Forward Strategy Input with Metric Filters Explorer 圆4 v8x In addition, using modern "Bootstrap" techniques, the WFME calculates the probability of whether or not each filter's out-of-sample results were due to chance. The WFME is a stand alone 64bit exe program that is super fast and automatically displays it's extensive total out-of-sample net profits plus performance results, equity plots and strategy inputs from each filter in Excel. The Top N criteria ranges are user selectable generating many filter searches in one run. This allows two performance metrics in the in-sample section to be used to find the strategy inputs that give the best out-of-sample returns. From the N rows chosen, the WFME chooses the maximum of another PWFO performance metric. The Top N Metric filter chooses the PWFO file rows that contain then Top N (N=10 or 50 or etc) values of a PWFO Performance Metric. The Walk Forward Metric Explorer (WFME) reads all files generated by the PWFO and searches each PWFO file for performance Metrics that generate statistically best average out-of-sample performance. Video How to setup and run the PWFO v5 Video The PWFO v5 output files The Walk Forward Metric Explorer 圆4 v8x
The Power Walk Forward Optimizer v6t is thread safe and can run on multi-core, multi-thread platformsĪvailable for TradeStation and MultiCharts 64bitĬlick here to for a User's Comparison Between the TS Walk Forward Optimizer and the PWFO Statistically speaking, walk forward out-of-sample (oos) analysis must be performed over many(>30) in-sample/oos sections to be statistically valid. The PWFO can generate up to 500 different in-sample and out-of-sample date files in one TS run. The in-sample and out-of-sample periods are user selectable. Included in the in-sample section output for each set of input parameters are 30 new robust and superior performance metrics. The Power Walk-Forward Optimizer (PWFO) is a cutting-edge automatic walk forward/out-of-sample analysis program that eliminates the ad hoc curve fitted performance and data mining results produced by combinatorial and genetic(grail) optimization of strategy input values on spurious price movements(noise).
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