Neuro-filter

What would we name such a tool, "Crystal Ball?"

On a serious note, we already have the Indicator Profiler which analyzes all indicators, and the Strategy Genetic Evolver which randomly creates and mutates Strategies.

Maybe once Quantum Computers are a thing we can deliver the Crystal Ball which runs through "all possible combinations". But, then, wouldn't that just be curve fitting?

Hmm yes you can view the different filters and their effects, maybe not all at once, but it kind of fits.

QUOTE:
discovered that such a filter already exists and is called "Analysis Series".

What's neat about some of the Performance Visualizers like Analysis Series is that you can design your own merit metric parameter using SetPositionMetric(string metric, double value).

CODE:
   public override void Execute(BarHistory bars, int idx)
   {
      Transaction buyOper=PlaceTrade(bars, TransactionType.Cover, OrderType.Stop,...);
      buyOper.SetPositionMetric("mySpecialMetric", x);
      . . .
   }

And now "mySpecialMetric" will show up in some Performance Visualizers such as Analysis Series. You can also SetMetric(....,x) on a Position after it's created. See Position in the QuickRef.

In addition, you can use ScottPlot to produce Y vs X charts of relationships. And ScottPlot will compute basic statistics like mean and standard deviation. Search the forum for "ScottPlot" for a discussion.

QUOTE:
that such a filter already exists and is called "Analysis Series".

I've done more research on it. Shouldn't there be a separate analysis of long and short trades?

Yes, it probably wouldn't make sense to mix their analysis in this context. Probably it wouldn't be too difficult to add a long/short filter.

But let's consider that 90% (just a guess) of Trading Systems are long only strategies, and only some percentage of the rest are both long and short. What I'm trying to say in a roundabout way is that while you're designing a system, it's easy enough for an author to do either long or short for this type of analysis.

The WL6 version of Analysis Series had a long/short filter but for now you can use Strategy Settings to selectively disable long/short trades in an individual strategy by setting the input field value to -1.

I have a new finantic extension in the pipeline, which does exactly what you are looking for:
Run all available Indicators and a set of transformations of these indicators through an analyse process to find the most effective filters and weights.