- ago
In WL6 this performance visualizer let you analyze how a particular Indicator or TimeSeries correlates to trade profitability. You could quickly see how filtering on the indicator would have impacted the performance of the trading system.

http://www2.wealth-lab.com/WL5WIKI/PVAnalysis.ashx
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Glitch8
 ( 13.75% )
- ago
#1
Just started working on the good old Analysis Series Performance Visualizer, brings back memories of first edition WL Desktop where I believe it had its origin. There will be some surprising and very beneficial tweaks this time around, to make it more flexible, and even more useful than previous incarnations.
2
- ago
#2
Is there a video that shows how this works?

WL runs a lot of calculations in the background on the trades e.g stores RSI and other things on signal date and then you can see how the strategy would have done if this signal was added?

https://www.youtube.com/watch?v=vcPtVrDjypo

My russian is a bit rusty.

Thank you.

0
- ago
#3
Yes, there is a video. Search for Analysis Series in the Help.
0
- ago
#4
So to double check.

If i were to add RSI(close, 20) <= 40 and RSI(close,20) >=30

My trades' profitpct should average ~ (8.5 + 10.7)/2




Thank you.

0
- ago
#5
I think you're taking the Analysis Series results too literally. All it's saying is:

1) RSI(bars.Close, 20) is a good choice of entry indicators for your strategy.
2) Use RSI(bars.Close, 20) < ?? as an optimization parameter for entry into a trade. This value is for the optimizer to set, not Analysis Series.

And honestly, I would let the parameter optimizer determine the "20 period" value as well, but Analysis Series is saying a period of 20 looks good. And I wouldn't bother setting some higher guard (RSI > ??) for entry; that's unnecessary. But you might want to confirm that RSI is positive going for entry into a trade. In fact, I would add an RSI velocity threshold condition to your entry to be sure the RSI is moving up in a strong way to avoid stagnating at the RSI bottom.

Moreover, if you examine an RSI example (either online or in your trading textbook), an RSI entry is usually combined with a divergence of RSI and price as well. But that's another forum topic; search the forum for "divergence".
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