Styles and Style Drivers
Algorithm Science
Trading Strategy Discovery
In Version 2.0, the investment style can changed on a daily basis. The style is set at the start of each trading session to Long, Short or SAR. SAR (Stop and Reverse) denotes a style in which the signals switch you between long and short. In Long, the signals switch you between long and out, and in Short the signals switch you between short and out.
The spreadsheet column controlling the daily Style is called the Style Driver, and can be Long (L) Short (S) or SAR (blank). The Style is set at the open of each day, and signals can only cause trades in accordance with the Style rules.
The style trading rules shown below are as you would expect except that if a buy and sell signal are both acted on in the same day, our simulations set your state (L, S, out) at the close of session to be the same as at the open, regardless of the style. This was the simplest way conceptually to simulate these situations, not knowing the arrival order of the signals. We do flag hypothetical situations.
In the table, Rv indicates a reversal, long or short, Cov is a short cover (closing a short position), C/B is "cover or buy" (we don't know which because we don't know which signal arrived first). Similarly S/Sh is "sell or short".
The spreadsheet column controlling the daily Style is called the Style Driver, and can be Long (L) Short (S) or SAR (blank). The Style is set at the open of each day, and signals can only cause trades in accordance with the Style rules.
The style trading rules shown below are as you would expect except that if a buy and sell signal are both acted on in the same day, our simulations set your state (L, S, out) at the close of session to be the same as at the open, regardless of the style. This was the simplest way conceptually to simulate these situations, not knowing the arrival order of the signals. We do flag hypothetical situations.
In the table, Rv indicates a reversal, long or short, Cov is a short cover (closing a short position), C/B is "cover or buy" (we don't know which because we don't know which signal arrived first). Similarly S/Sh is "sell or short".
Long
The style is set to Long for the whole simulation, and you will switch between long positions and out. The buy action is to buy taking you long, the sell action is to sell, taking you out.
Short
The style is set to Short for the whole simulation; positions switch between short and out. . The sell action takes you short.The buy action is to cover the short, taking you out.
SAR
Signals switch the positions between long and short. The actions are Reverse long (short cover plus long buy) taking you long, and Reverse Short (long sell plus short sell) taking you short. This is for the whole period of the simulation.
EMA
The Style Driver is controlled by an exponential moving average and is Long when the price is above the EMA at the previous close and Short otherwise. The number of days included in the EMA can be changed on the Strategy tab, cell C295.
SMA
The Style Driver is controlled by a Simple Moving Average and is Long when the price is above the SMA at the previous close and Short otherwise. The number of days included in the SMA can be changed on the Strategy tab, cell C297.
Price
The Style Driver is controlled by the price N days ago. and is Long when the price is above the n day price at the previous close and Short otherwise. The number of days included in the Price style driver can be changed on the Strategy tab, cell B300.
Algorithmic
In the algorithmic style, the Style driver is derived from the state of Algorithm 1.
User Defined
The user can write their own Excel formula for style driver. The user defined style driver column can be found on the Strategy tab under "Style Drivers".
The style is set to Long for the whole simulation, and you will switch between long positions and out. The buy action is to buy taking you long, the sell action is to sell, taking you out.
Short
The style is set to Short for the whole simulation; positions switch between short and out. . The sell action takes you short.The buy action is to cover the short, taking you out.
SAR
Signals switch the positions between long and short. The actions are Reverse long (short cover plus long buy) taking you long, and Reverse Short (long sell plus short sell) taking you short. This is for the whole period of the simulation.
EMA
The Style Driver is controlled by an exponential moving average and is Long when the price is above the EMA at the previous close and Short otherwise. The number of days included in the EMA can be changed on the Strategy tab, cell C295.
SMA
The Style Driver is controlled by a Simple Moving Average and is Long when the price is above the SMA at the previous close and Short otherwise. The number of days included in the SMA can be changed on the Strategy tab, cell C297.
Price
The Style Driver is controlled by the price N days ago. and is Long when the price is above the n day price at the previous close and Short otherwise. The number of days included in the Price style driver can be changed on the Strategy tab, cell B300.
Algorithmic
In the algorithmic style, the Style driver is derived from the state of Algorithm 1.
User Defined
The user can write their own Excel formula for style driver. The user defined style driver column can be found on the Strategy tab under "Style Drivers".
