Book-Half Tradescape (Standalone)
The Book-Half Tradescape... option in the Tradescape menu is available when using the Trading Sciences platform in standalone mode.
In standalone mode, the ASCII data files written in the various platform procedures are imported independently.
This option generates a specialty set of tradescapes where the half of the equity under trade is booked when a certain percentage gain is reached. If the specified gain is reached more than once before the trade closes, the halving is repeated for each instance.
In this procedure standard tradescapes are used. The traded entity is signaled directly for the primary entries and exits and symmetric signaling is used, meaning the same information content is used to signal both the upside and downside transitions.
The panel values are preset. The first tradescape in the panel will not implement this book-half money
management. The following panels will do so at these percentage levels:
3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 25, 30, 35, 40, 45, 50
The purpose of this analysis technique is to assess whether or not the native behavior of the traded entity is responsive to this money management strategy. In general, the use of this approach results in less overall return, but there is often an improvement in reward-pain since drawdowns can be appreciably reduced.
If the File menu's Open Data... is first used, data will be available as soon as this option is selected. Otherwise, a file must be selected whose data will be used only for this specific procedure and automatically cleared when this procedure is closed.
Once the data are successfully imported, the following dialog is presented:
The items in the parentheses are the input names assigned to the equivalent TradeStation analysis technique, TSBookHalfTradescape.
The (TradedEntity) input specifies the specific data stream to be analyzed.
The Analysis Bars (WalkFwd) entry is is the count of bars, from last non-reserved bar backward in time, to use for the analysis. In order to accommodate all of the time horizons in a tradescape, do not set this value below 250. If a value is specified that is greater than the amount of data available, all of the data that is present is used.
The Reserved Bars (Reserved) entry is the count of most recent bars to reserve for any walk-forward you may wish to independently carry out. These data are disregarded in the analysis. A value of 0 processes all data through the most recent bar.
Use Long Trades (DoShort=0) for a long-side only tradescape analysis and Short Trades (DoShort=1) for a short side analysis.
The Mathematically Remove Overnight/Weekend Gaps (Degap=1) option removes all overnight/weekend gaps in data for instances where positions are always closed prior to a trading session's closing bar.
If this option is set, a check is made to see if the same day fraction of data is greater than 80%. If this criterion is met, as with hourly or finer bar densities, the gap across days is mathematically removed. The price activity from the prior day's closing bar through the end of the first bar of the next day will be zeroed. This means the two bars will share the same closing values. The adjustment is based on the differential in closing prices and is applied to the open, high, and low values as well.
The adjustment is made backward in time so that the most recent bar's close will be the current price. The removal of gaps moving backward in time can result in negative prices. In such an instance, the lowest low in the de-gapped data will be set to 0.01 and all prices will be shifted accordingly.