Intraday Sentimentscape (Standalone)
The Intraday Sentimentscape... 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 series of intraday sentiment-augmented tradescapes (sentimentscapes) with different bar spacings.. A reduction algorithm is used to generate the different data sets. This type of intraday series is useful for identifying the bar density that offers the most useful time horizons for trading. This procedure generates two-stage sentimentscapes where the traded entity is signaled directly for the primary entries and exits.
Sentimentscapes are tradescapes that have been filtered by a separate sentiment filter. In such a filter, a target sentiment entity is processed at a specific time horizon, the sentiment length, to produce windows in time where only long or only short trades are permitted.
In a sentimentscape, the traded entity is used for the primary signal and the sentiment entity is used to generate the long-short sentiment signal. Both the sentiment and primary signals are lagged at the same lag fraction for each point in the tradescape surface. The sentiment signal is symmetric with respect to the information content used to generate the upside and downside transitions.
The primary trading signal can optionally be asymmetric. This is useful for entities that have very different behaviors relative to entries and exits. In a symmetric tradescape, the same time horizon is used to generate both the upside and downside transitions. In an asymmetric tradescape, separate time horizon signals are used for generating the upside and downside transitions.
This procedure is designed for 1min, 5min, or 10min bar intraday input data. The reduction series are generic, however, and will be applied to any density of bars in the input data series.
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, TSIntraSentimentscape.
The (TradedEntity) input specifies the specific data stream to be analyzed.
The (SentimentEntity) input specifies a data stream that is processed to create the positive sentiment windows where only long positions are permitted, and the negative sentiment windows where only short positions are allowed. For this procedure, a specific SentimentEntity must be specified.
The SentimentEntity can be any entity that reflects the sentiment associated with the traded entity. In sentiment-augmented signaling, the entity to be traded can be different from the entity used for the sentiment signaling. When this is true, the SentimentEntity is usually an overall market index or a surrogate for such, or a sector index or ETF. When the SentimentEntity is the same as the TradedEntity, the sentiment signal draws its sentiment states from the wide-sense or more global behavior of the entity and the primary signal from a more local behavior of the entity.
The EM Length (SentimentLen) is the EM Length (time horizon or information content) of sentiment signal. Typical values range from 20-80 bars. The higher the value, the longer in time the long-only and short-only windows will be.
The SentimentLen sets the time horizon for the wide-sense sentiment signal. Note that no sentiment filtration occurs if the EM length in the tradescape is equal to or greater than the SentimentLen. If the sentiment filtration is particularly effective, there can be an abrupt or sharp transition in the sentimentscape surface near the SentimentLen.
The lag added to the sentiment signal for each point in the surface will be identical in lag fraction to the lag for that point in the tradescape surface. For example, if the point in the surface has an EM length of 20 and a lag fraction of 1, and the EM length for the sentiment filter, as specified in SentimentLen, is 80, the idealized primary signal is offset by a lag of 20 and the idealized sentiment signal is offset by a lag of 80.
Intraday Reduction Series
This specifies the predefined reduction series to use to generate the array of tradescapes.
The first three items have been designed for 1min bar input data.
For 1 min bar input data:
the first option generates a 16 tradescape array with 1, 2, 3, 4, 5, 6, 10, 13, 15, 26, 30, 39, 60, 65, 78, and 1440 min bars;
the second option generates a 9 tradescape array with 5, 6, 10, 13, 15, 30, 60, 65, and 1440 min bars;
the third option generates a 4 tradescape array with 5, 10, 30, and 1440 min bars.
For 5 min bar input data:
the fourth option's preset of 1, 2, 3, 6, 12, 288 produce a 6 tradescape array of 5, 10, 15, 30, 60, and 1440 min bars.
For 10 min bar input data:
the fourth option's preset of 1, 3, 6, 144 produce a 4 tradescape array of 10, 30, 60, and 1440 min bars.
Since the closing bar of a session is always included as a reduction point, the 1440 setting will generate EOD (end-of-day) data for all markets, including the 24 hour markets.
Please note that an intraday tradescape does not adjust for missing bars in the raw input data stream. There is no replicate bar generated to fill in the time sequence. When such a condition is present, the reduction will work with the count of bars specified and again, no replicate points will be generated to fill in missing bars. If 1 minute raw data is used and there are bar data present only at every other minute in time, then a reduction of 10 will result in processing 10 points that happened to occur across 20 minutes of time.
The asymmetry is the ratio of the information content used for the upside transitions (turns to the upside) relative to the downside transitions (turns to the downside). A quick to enter but slow to exit long signaling system has an asymmetry less than 1. A slow to enter but fast to exit signaling system has an asymmetry greater than 1. Typical signal asymmetries are between 0.25 and 4. The turtle HH=55 LL=20 breakout system is an example of an asymmetric signaler, one that for long trades is slow to enter and fast to exit, a signal asymmetry of 55/20=2.75.
If the Symmetric (Asymmetry=0) box is checked, a symmetric sentimentscape is generated.
If the Specify (Asymmetry) is checked, you must enter an asymmetry between 0.1 and 10.
In the tradescape plot, only a single EM length is used for the X axis position. The interpretation of an EM length of 20 would be as follows for an asymmetry of 0.5. The EM signal used to generate the upside transitions (the entries for a long system) will be 20*sqrt(0.5)=14.142. The EM signal used for the downside transitions (the exits for a long system) will be 20/sqrt(0.5)=28.284. The asymmetry is thus 14.142/28.284=0.5. While the point on the tradescape is plotted at an EM length of 20, the actual lengths used to generate the turns for the composite EM signal are 14.142 and 28.284. Note that the EM length assigned to an asymmetric signal is not the average of the two lengths.
Note also that an asymmetry of 1.0 generates the standard (symmetric) tradescape.
The Analysis Bars (WalkFwd) entry is is the count of raw 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, there must be at least 250 bars after the specific reduction. Since all of the preset reductions default to EOD data for the last reduction, there needs to be at least one year's worth of data present to fully accommodate all of the tradescapes in the matrix. If this value specifies less than a year's data, the impacted tradescapes will not be generated.
Please note that this analysis is fully done in memory and that very high values can consume a lot of RAM during the processing. For example, a 10yr analysis of a US security using 1min bar data and the first reduction option will have one tradescape that processes each of the 982,800 bars. That is nearly 1 million bars of data; in order to process, about 600Mb of RAM is needed. If you do not need this high bar density analysis, the second reduction option will give most of the same information, will be far faster, and the most memory-intensive of the tradescapes will require only about 1/5 the RAM.
For 1min bar data with a 6.5 hour trading day, 1 year is 98280 bars, the default value.
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.