The TSRefAsymTradescape analysis technique is used for surrogate asymmetric signaling. Referential asymmetric tradescapes 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. As an example, this is the analysis technique to use if you are trading a basket of entities using an overall index and you have determined that the index is best signaled using an symmetric signaler. In the symmetric instance, the same time horizon is used to generate both the upside and downside transitions. In an asymmetric signal, separate component signals are used for generating the upside and downside transitions.
int SignalEntity (1)
This is the one data stream to be used as the surrogate, as the reference upon which the signal will be generated. The value 1 uses data1, 2 uses data 2, and so on. This value can be zero if a specific TradedEntity is specified. In this instance, multiple referential tradescapes are automatically generated where each of the entities in the chart is successively used as the surrogate to trade the one specified TradedEntity.
int TradedEntity (0)
This input specifies the specific data stream to be traded. Again, the value 1 uses data1, 2 uses data 2, etc. This value can be zero if a specific SignalEntity is specified. For this case, multiple tradescapes are automatically created where the single surrogate specified in SignalEntity is used to signal each of the entities present in the chart.
The SignalEntity and TradedEntity cannot both be zero.
The defaults are set for an index in data 1, and all of the securities in a basket in the additional positions. The resulting tradescapes show how well the signals from the overall index perform with each of the entities in the basket. The case where the traded entity and surrogate are the same entity is also plotted, and this will be a standard tradescape (that which directly signals on the price of the traded entity).
double Asymmetry (1.0)
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.
Asymmetry must be between 0.1 and 10.
In the tradescape plot, only a single EM length is shown for the X axis. 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 tradescape result is shown 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 is not the average of the two lengths.
Note also that an asymmetry of 1.0 generates the standard (symmetric) referential tradescapes.
String FileName ("")
The data within the TradeStation chart is written to a disk file that is used in a separate procedure to generate the plots and analyses. If FileName is empty, “”, a temporary binary data file is used to store the data and this file is automatically deleted when the window is closed. If a full path filename is specified, a persistent ASCII CSV file is written. A full valid Windows path and filename must be specified. The directory path will be created if it does not currently exist. Since a comma separated value (CSV) file is written, a CSV file extension is recommended. For example, a FileName such as "c:\data\a1.csv" is valid, even if the folder c:\data doesn't yet exist.
int WalkFwd (2520)
This 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 in the chart, all of the data that is present is used.
int Reserved (0)
This 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.
int DoShort (0)
A tradescape is normally a long-side only analysis. This value can be set to 1 to perform short side tradescapes and signal analysis.
int Degap (0)
This option removes all overnight/weekend gaps in data for instances where positions are always closed prior to a trading session's closing bar.
If Degap is 1, 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.
int InactiveAtLastBar (1)
When this variable is non-zero, the last bar in the chart will automatically trigger the computation and deactivate the analysis. A progress bar is normally drawn, but if this proves a distraction, it will be omitted if this value is set to 2. If set to 0, the analysis will not take place until the Status is toggled Off in the Format Analysis Techniques option.