Correlation between Trade P&L Indicators - use Analysis series or some other tool?
Author: kbellare
Creation Date: 3/10/2015 3:12 PM
profile picture

kbellare

#1
Trying to determine which indicators in my system are the biggest drivers of Trade P&L.
Analysis series would have been a good tool for this, but it only compares against numbers using Greater/Less filters.

Is there a similar tool that would compare against the value in the previous bar? For example, I have several indicators and use the direction to determine the best entry signal.

- Stochastic rising .. Stoch[bar]>Stoch[bar-1]
- RSI rising ...
- MACD rising

How do i analyze sensitivity of system P&L to each of these indicators to determine which one is significant?
If there's some other tool/visualizer, please recommend ..

Kiran
profile picture

Eugene

#2
A side note. I vaguely recall a tool that existed more than decade ago in WLD2-4. Called the "Evaluator Tool", it allowed to get a profitability profile of technical indicators. Either it wasn't too popular or intuitive to use but it didn't make its way into WL .NET back in 2006. I don't remember how it worked, there's no documentation or a single screenshot left.
profile picture

Cone

#3
The Evaluator calculated the % return of the base symbol over the range of an indicator's values (in bins) after a specified number of days... but without regard to other dynamics, like rising, crossing, etc.

If the strategy enters trades based on "rising" indicators, then Analysis series will show you the correlation of the indicator(s) when they are in that state, inherently. Of course, you need not actually apply the indicator to the Strategy in order to "Analyze" it, so the result would be different for that case.

What do you really mean by "sensitivity". Are you really just trying to find "optimum" values for indicator parameters?