Referential Tradescape (Standalone)
The Referential 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.
This option generates one or more referential tradescapes. These are similar to the basic tradescapes, except that the signals are derived from a surrogate entity or reference instead of the actual entity to be traded. As an example, this is the analysis technique to use if you are trading a basket of Nasdaq entities using its overall index. A referential tradescape would illustrate how well any given entity in that basket is traded by signals derived from the surrogate index. For this procedure, symmetric signaling is used, meaning the same information content is used to signal both 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:
The items in the parentheses are the input names assigned to the equivalent TradeStation analysis technique, TSRefTradescape.
There are three different ways to do a referential 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.
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.