The Simulation Panels
Algorithm Science
Trading Strategy Discovery
The simulation panels gives you a window into the backtests to understand what the thresholds, signals and actions were, as well as seeing how the value of the investment and its drawdown changed over time. The most recent days are at the top, so to understand the flow, start lower down. The columns are--
Style at Open
The Style Driver is shown in this column and is described here
Target Buy/Cov and Sell/Sht
The target prices are shown here. If these targets are hit a signal is generated. For example in the first line, both a buy and sell signal are generated. You can also set up the algorithm to generate a signal if a target is missed.
Buy/Cov and Sell/Sht Signals
Signals are generated when the Target prices are hit (or sometimes if they are missed). However price shown here will be the transaction price, which is often the same as the Target price if the transaction time selector is set to Signal, but not always. If the Open price meets the target criteria, the signal will reflect the Open price.
Combined Buy and Sell Signals
Signals imported from another algorithm are shown in bold type. These columns are the ones that are used by the algorithm to determine what transactions to make.
State At Open
Can be Long, Short or Out (blank), depending on the type of position you are holding just prior to the open.
Buy/Cov and Sell/Sht Actions
When signals lead to transactions, there will be an entry in this column. The entry indicate the type and the source of the transaction. Transaction types are--
Buy/Cov and Sell/Sht price
The price at which the transaction takes place.
Value Next Open
Value of the position or cash at the next open. All returns are compounded, that is all profits and losses are reinvested in the algorithm. To see simple return, spotlight the algorithm you are interested in and check the Analysis tab under Simple Return. No trading overhead costs are included in any of the returns calculations.
Drawdown
We define drawdown as the maximum percentage decline over the life of the algorithm. Measured from a peak to a trough, its effectively the most you could have lost if you had invested in the algorithm for one random period of time. We use it as a measure of risk in the reward/risk calculations.
Style at Open
The Style Driver is shown in this column and is described here
Target Buy/Cov and Sell/Sht
The target prices are shown here. If these targets are hit a signal is generated. For example in the first line, both a buy and sell signal are generated. You can also set up the algorithm to generate a signal if a target is missed.
Buy/Cov and Sell/Sht Signals
Signals are generated when the Target prices are hit (or sometimes if they are missed). However price shown here will be the transaction price, which is often the same as the Target price if the transaction time selector is set to Signal, but not always. If the Open price meets the target criteria, the signal will reflect the Open price.
Combined Buy and Sell Signals
Signals imported from another algorithm are shown in bold type. These columns are the ones that are used by the algorithm to determine what transactions to make.
State At Open
Can be Long, Short or Out (blank), depending on the type of position you are holding just prior to the open.
Buy/Cov and Sell/Sht Actions
When signals lead to transactions, there will be an entry in this column. The entry indicate the type and the source of the transaction. Transaction types are--
- Buy (open a long position),
- Cov, (close a short position),
- Sell, (close a long position)
- Sht, (open a short position)
- RvL, (reverse long--close a short and open a long position at the same time)
- RvS, (reverse short--close a long position and open a short position at the same time)
- C/B, (cover or buy, depending in what order signals arrive)
- S/Sh, (sell or short, depending on signal order)
- S results from an "at signal" target strike
- C results from a target strike with a transaction time of at Close
- O results from a target strike with a transaction time of at Open
- c results from a reset at the close
- o results from a reset at the open
- i a transaction resulting from an imported signal
- H a hypothetical transaction
Buy/Cov and Sell/Sht price
The price at which the transaction takes place.
Value Next Open
Value of the position or cash at the next open. All returns are compounded, that is all profits and losses are reinvested in the algorithm. To see simple return, spotlight the algorithm you are interested in and check the Analysis tab under Simple Return. No trading overhead costs are included in any of the returns calculations.
Drawdown
We define drawdown as the maximum percentage decline over the life of the algorithm. Measured from a peak to a trough, its effectively the most you could have lost if you had invested in the algorithm for one random period of time. We use it as a measure of risk in the reward/risk calculations.
