Referential Progressive Sentimentscape (Standalone)
The Referential Progressive 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 series of referentially signaled sentimentscapes that are sequential in time for a single entity in a chart.
Referential progressive sentimentscapes are analogous to the progressive sentimentscapes, the time sequence tradescapes, except that the signals come from a reference or surrogate entity instead of directly from the traded entity. A two stage sentiment augmented signaler is specified.
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, TSRefProgSentimentscape.
The (TradedEntity) input specifies a specific data stream to be analyzed.
The Surrogate (SignalEntity) is the data stream to be used as the surrogate, as the reference upon which the primary trading signal will be generated.
Two Stage Sentiment
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 a time sequence of referential sentimentscapes, 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.
For the EM Length (SentimentLen) item, you must enter the EM Length of sentiment signal. Typical values range from 20-80. 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 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.
If Specify Segment Count (ProgCount) is checked, the count of time-progressive tradescapes to be generated is input. This value must be between 2-25.
If Specify Segment Length (ProgCount) is checked, the amount of data used in each tradescape is input. This must be at least 250 bars per tradescape, or 125 if the time segments are overlapped.
Typically, a time sequence contains no overlap. Each tradescape reflects a discrete time segment. In order to overlap the time periods by 50%, check the Overlap Segments (Overlap=1) box.
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 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.