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Number of Buy Signals Over Time in a Simulation

by QuantShare, 3757 days ago
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The simulator tool analyzes hundred of stocks for buy signals and then picks few of them (A portfolio is limited by the maximum number of positions it can contains).

After a simulation is completed, you can display the trades that were generated by selecting the "Trades" tab of the Trading System Report. Inside this tab, you can display Realized Trades or Orders flow.
The number of generated trades is usually much lower than the number of buy signals. For example, in a given date, the simulator may find 120 buy signals but because it has only three available free positions, it can take only three trades.

By creating a time-series metric that displays the total number of buy signals for each period, you can easily visualize periods of high activity or period where the backtester had a lot of choices and period where the choices were limited.

This money management item creates this metric and saves it under the time-series "Buy Signals". You can display this time-series in the Trading System Report graph, by selecting it in the list (Next to - Select a time-series to drag and drop into the chart) and then dragging and dropping it onto the chart.

Based on the number of buy signals, you can create money management rules. Example: Reduce the exposure if the number of buy signals exceeds a particular threshold.

Here is a chart that displays a trading strategy return (Red) and the number of buy signals (Blue):



The above strategy sets exposure to 0% if the number of buy signal exceeds 8.


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Type: Advanced Money Management

Object ID: 920


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Market: Stock Market

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