TSCI.pngTrading Signal Analysis (Standalone)

7913.png The Trading Signal Analysis... 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 evaluates one’s own real-world trading signals against the backdrop of an entity’s tradescape.

This procedure is used exclusively for single stage direct signaling. The trading signals are taken directly from the traded entity. For a single-stage surrogate signaling, use the Referential Trading Signal Analysis option. If you are want to use a two-stage sentiment-augmented signaling, use the Advanced Trading Signal Analysis option.

The real-world trading signals will be plotted atop the tradescape at their respective time horizon and lag fractions. A brief summary of the signal analysis for a trading system is shown when moving the mouse over the special point representing that particular trading signal. The full signal analysis, including the equity curve, is shown when clicking on the point representing that particular trading signal.

This procedure can only be used in conjunction with signal-bearing data files written from the financial trading platform environment, such as TradeStation. Since no link is preserved between the ASCII data file and the program logic generating the trading signal, you must exercise caution when using this procedure in standalone mode. For TradeStation, this Trading Signal Analysis... procedure should only be used with data files written using the TSSigEval or a derived analysis technique.

An error message will be generated in an attempt is made to import a data file that does not contain encoded signal information. Up to 15 trading signals are encoded in the Flags field of the ASCII data file.

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, TSSigEval.

Data Streams

The (TradedEntity) input specifies the specific data stream to be analyzed.


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.

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.

Signal Encoding

If you wish to manually decode or encode the trading signals in a Trading Sciences ASCII data file, we have a description and Excel examples.