TSCI.pngReferential Asymmetric Tradescape (Standalone)


7907.png The Referential Asymmetric 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 procedure is used for surrogate signaling when signal asymmetry is useful.

This option generates one or more referential asymmetric tradescapes. These are similar to the asymmetric tradescapes, except that the signals are derived from a surrogate entity or reference instead of the actual entity to be traded. For this procedure, asymmetric signaling is used, meaning differing information content is used to generate the upside and downside transitions.

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:

dialog07.png

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

Data Streams

There are three different ways to do a referential asymmetric tradescape analysis when multiple data streams are present:

The One Traded Entity, Every Entity as Reference (SignalEntity=0) option allows one specific entity to be specified for trading. All of the entities that are present in the data will each be used as references in a sequence of tradescapes. This is the option to use when searching for a viable surrogate for an entity that is difficult-to-signal directly.

The One Reference, Every Entity Traded (TradedEntity=0) option allows the specification of one reference or surrogate that will be the entity used to generate the trading signal. A sequence of tradescapes is generated where all of the entities present in the data are traded using the signals from this one surrogate. This is the option to use when searching for entities particularly well suited for basket trading using a given signaling source, such as an overall market index.

The One Traded Entity, One Reference option requires the specification of both the surrogate and the traded entity. One referential tradescape is generated.

The (TradedEntity) input specifies a specific data stream to be traded.

The Surrogate (SignalEntity) input specifies a specific data stream to be used for generating the trading signal.

Since the surrogate can be drawn from any market, the non-market days for the traded and signal entities may not match. In such instances, the trade occurs on the first bar where both data are present.

Asymmetry

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 a single traded entity is specified, you can elect to generate a series of different asymmetries for that one entity. To see a full series of 25 different predefined asymmetries, check Predefined Set of 25 Asymmetries (Asymmetry=-1). To see a smaller series of 9 different predefined asymmetries, check Predefined Set of 9 Asymmetries (Asymmetry=-2).

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. If a predefined series of symmetries are generated, the symmetric case with be the center plot in the graph display matrix.

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.