Tuesday, February 20, 2018

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BTAnalytics Guided Tour

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Raw Simulation Derivations

The Raw Simulation Derivations can be accessed using the Ribbon Button while there is a Raw Simulation Study selected in the Studies Explorer.

In BTAnalytics it is possible to build derivations based on a Raw Simulation Study. These derivations are nothing more than a regular Raw Simulation Studies made by altering the base Raw Simulation Study Raw Trades one way or another.

The Derivations (or derived Raw Simulation Studies) contains the same information than a regular Raw Simulation Study plus some information defining the parameters used to make the derivation.

In the following window the user can select the type of derivation that want to be made.


Derivations Builder: Selecting the derivation type

The Derivation Builders included in BTAnalytics are:

  • General Trades Filter Derivation Builder: This Derivation Builder allows to make derivations by removing some trades following an arbitrary condition. The condition can be stated in a filter component. This Derivation Builder allows for example to delete erroneous trades or some symbols, or the trades where the entry price is less than 1, etc.


Derivation Builder: General Trades Filter

  • Slippage Modifier Derivation Builder: This Derivation Builder allows to make derivations by adding some slippage to the base Raw Simulation Study Raw Trades, and to visually see the effects of the slippage upon the simulation results.


Derivation Builder: modifying Slippage to create a derivation

  • Analysis Variables Derivation Builder: This Derivation Builder allows to make derivations by applying filters over the Analysis Variables included along the Trades. For example, with this Derivation Builder, the user can generate a Derivation that is equivalent to the base Raw Simulation Study plus applying an additional filter to the Trades Entry Conditions such as RSI(15) < 20. Then the derived Study will have only the Raw Trades of the base Raw Simulation Study that meet the stated condition.

In order to be able to apply the filters, it is necessary to include the Analysis Variables values along with all the other data for the trades. This enables a new method to visually optimize Trading Systems with little effort and less prone to over optimization.


Derivation Builder: Adding an Analysis Variable filter to create a derivation


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Futures and other instruments trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

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