TSCI.pngBook-Time Tradescape (Standalone)


7921.png The Book-Time Tradescape... option in the Tradescape menu is available when using the Trading Sciences platform in standalone mode.

This option generates a specialty set of tradescapes where the exit is fixed at a specified count of bars. The EM algorithm is not used to generate exits. If an exit occurs early in a trend, and a cooling period is set, the procedure re-enters if the EM signal supports such.

In this option the cooling period used for the stops in the backtest engine will be used to determine when a re-entry is allowed to occur. By default, the backtest engine uses a 4-bar cooling period. If cooling is non-zero, and this period has passed, a re-entry occurs if the signal supports a position. If cooling is set to 0, there will be no re-entry until a new entry transition occurs in the EM signal. In general, you will want to set cooling to at least 1 bar.

8617.png The cooling period is set in the Backtest Engine configuration.

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 by time exit. The following panels will do so at these bar counts:
3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 15, 20, 25, 30, 35, 40, 45, 50, 55, 60, 65, 70, 75, 80

The purpose of this analysis technique is to assess whether or not the native behavior of the traded entity is responsive to this exit approach. For signals with a strong entry edge, this simple approach can often be effective.

In general, the use of this approach results in inferior reward-pain performance with respect to the EM exit signaling. It can, however, sometimes achieve the same overall return levels.

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:

dialog21.png

The items in the parentheses are the input names assigned to the equivalent TradeStation analysis technique, TSBookTimeTradescape.

Data Streams

The (TradedEntity) input specifies the specific data stream to be analyzed.

Data Range

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.

Tradescape Type

Use Long Trades (DoShort=0) for a long-side only tradescape analysis and Short Trades (DoShort=1) for a short side analysis.

Day Trading

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.