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StockFusion Expert

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Market Forecasting and
Optimization of Trading Models
StockFusion Studio
www.stockfusion.net

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StockFusion Studio - Intelligent Trading Expert Adviser 2
• Trading Strategies
• Backtesting Engine
• Expert Optimization
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Algorithmic trading
strategies
StockFusion Studio - Intelligent Trading Expert Adviser 3

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StockFusion Expert

  1. 1. Market Forecasting and Optimization of Trading Models StockFusion Studio www.stockfusion.net
  2. 2. StockFusion Studio - Intelligent Trading Expert Adviser 2 • Trading Strategies • Backtesting Engine • Expert Optimization • Portfolio Analysis • Trading Script
  3. 3. Algorithmic trading strategies StockFusion Studio - Intelligent Trading Expert Adviser 3
  4. 4. Premium selection of algorithms StockFusion Studio - Intelligent Trading Expert Adviser 4 • Self-optimizing ARIMA expert • Finite Impulse Response Neural Network • Finite State Markov Automation • Stepwise Best Regression • Square Root Regression • Square Regression • Logistic Regression
  5. 5. Attaching predictor to chart StockFusion Studio - Intelligent Trading Expert Adviser 5  Open new chart Chart analysis Expert Adviser Algorithm list • Forecast line appears on the chart • Only one forecast allowed at any moment • Select “None” to remove forecast
  6. 6. Example of forecast on chart StockFusion Studio - Intelligent Trading Expert Adviser 6
  7. 7. Exclusive trading strategies StockFusion Studio - Intelligent Trading Expert Adviser 7 • Signals derived from market forecasts • Selectable forecasting algorithm • Tailored for automatic optimization • Universal for all markets and time frames • Simple technical rules • Easy statistical interpretation
  8. 8. Selecting trading strategy StockFusion Studio - Intelligent Trading Expert Adviser 8  Open new chart Chart analysis Expert Adviser Strategy list • Trading advises appear on the chart • Only one strategy allowed at any moment • Select “None” to cleanup advises
  9. 9. Example of strategy on chart StockFusion Studio - Intelligent Trading Expert Adviser 9
  10. 10. Symbols for trading signals StockFusion Studio - Intelligent Trading Expert Adviser 10 • Trading signals depicted as triangles • Color indicates signal type Buy (Green) Sell short (Red) Exit short (Blue) Exit long (Gray) • Only one signal is allowed per bar
  11. 11. Forecast driven strategies StockFusion Studio - Intelligent Trading Expert Adviser 11 • Direct forecast – directly trade on forecasted price expectation • Exact forecast change – filter our direct forecast trades with trading commissions • Exact forecast threshold – filter our direct forecast trades with entry and exit thresholds (equal to point size in case of futures)
  12. 12. Forecast and trend hybrid strategies StockFusion Studio - Intelligent Trading Expert Adviser 12 • Exact price change – combined forecast and price correlation trading with commissions and thresholds • Safe balance – enter on forecasted price against current price and exit on the actual price trend observed • Safe exit – combined forecast and price correlation trend over several bars with commissions and thresholds
  13. 13. Intrinsic and custom strategies StockFusion Studio - Intelligent Trading Expert Adviser 13 • Two types of trading strategies Forecast driven built-in strategies Trading script custom strategies • Standard strategies on top of the list  Forecast required • Custom strategies on bottom of the list
  14. 14. Strategy Backtesting Engine StockFusion Studio - Intelligent Trading Expert Adviser 14
  15. 15. Backtesting engine StockFusion Studio - Intelligent Trading Expert Adviser 15 • All standard trading statistics • Separate analysis of long and short trades • Full list of trade executions • Profit / loss evaluation per trade • Profitability chart of capital evolution • Account for entry / exit commissions • Fixed capital and capitalization tests
  16. 16. Creating backtest report StockFusion Studio - Intelligent Trading Expert Adviser 16 • Create or open a chart • Select forecasting algorithm • Select trading strategy or script • User charting ribbon:  Chart analysis (ribbon tab) View (ribbon group) Performance (button)
  17. 17. Backtesting results StockFusion Studio - Intelligent Trading Expert Adviser 17
  18. 18. Backtesting parameters StockFusion Studio - Intelligent Trading Expert Adviser 18 • Account: Number of shares to trade • Commission / trade : Trading commissions on entry and exit from the trade • Minimum change: Minimum price change to trigger trading signal. This should be equal to point value, if any
  19. 19. Expert System for Strategy Optimization StockFusion Studio - Intelligent Trading Expert Adviser 19
  20. 20. Expert strategy scanner StockFusion Studio - Intelligent Trading Expert Adviser 20 • Universal strategy expert scanner • Scans for optimal combination of:  Trading strategy  Forecasting algorithm • Winner selection based on a number of advanced trading statistics • Intelligent randomized scan
  21. 21. Expert strategy scanner StockFusion Studio - Intelligent Trading Expert Adviser 21 Watch progress bar while expert system scans strategies to find an optimal one  Open new chart Chart analysis Expert Adviser Expert Adviser
  22. 22. Expert strategy scanner results StockFusion Studio - Intelligent Trading Expert Adviser 22 • On scan completion appears message with optimal strategy and algorithm • Confirm to apply expert selection to chart
  23. 23. Expert strategy on chart StockFusion Studio - Intelligent Trading Expert Adviser 23
  24. 24. Expert strategy performance StockFusion Studio - Intelligent Trading Expert Adviser 24
  25. 25. Tools for Portfolio Analysis StockFusion Studio - Intelligent Trading Expert Adviser 25
  26. 26. Portfolio optimizer StockFusion Studio - Intelligent Trading Expert Adviser 26 • Summary view of all symbols in portfolio • Forecasted price and change per symbol • Expert advise on trade execution • Distinctive coloring of signals
  27. 27. Open portfolio optimizer StockFusion Studio - Intelligent Trading Expert Adviser 27  Home & Basics Analysis (group) Radar (button) Add symbols to portfolio: 1. Home & Basics > Symbol > Add to Favorites 2. Data manager > Add selected to portfolio
  28. 28. Batch expert scan StockFusion Studio - Intelligent Trading Expert Adviser 28 Batch expert scan on all symbols in portfolio for the best predictor and strategy combination  Open new chart Chart analysis Expert Adviser Expert Adviser
  29. 29. Portfolio affinity matrix StockFusion Studio - Intelligent Trading Expert Adviser 29 • Powerful tool for portfolio optimization • Exclude closely correlated symbols • Correlated symbols similarly behave on market changes • It decreases stability of portfolio • Keep portfolio of less correlated symbols • Increase probability of some symbols growing while others downtrend
  30. 30. Multiple affinity measures StockFusion Studio - Intelligent Trading Expert Adviser 30 • Correlation radius • Kendall rank correlation • Normal absolute difference • Kruskal-Wallis test • Friedman test • Hurst coefficient • H parameter • Correlation • Asymmetry • Excess
  31. 31. Portfolio affinity matrix example StockFusion Studio - Intelligent Trading Expert Adviser 31
  32. 32. Lag relation analysis StockFusion Studio - Intelligent Trading Expert Adviser 32 • Discovery of symbol dependencies • Calculates cross correlation of selected symbol with other symbols in portfolio over a range of time lags • If strong correlation exists, then correlated symbol can serve as a predictor in multiple regression model • Multiple classical and nonparametric proximity measures
  33. 33. Lag relation analysis example StockFusion Studio - Intelligent Trading Expert Adviser 33
  34. 34. Scripting of Trading Strategies StockFusion Studio - Intelligent Trading Expert Adviser 34
  35. 35. Trading script StockFusion Studio - Intelligent Trading Expert Adviser 35 • Easy scripting of your trading strategies • Scripting language for auto-trading • Non-procedural scientific language • Vector programming language • Designed specifically for developing of trading systems • Large collection of built-in vector operations and technical indicators
  36. 36. Trading script components StockFusion Studio - Intelligent Trading Expert Adviser 36 • Every strategy consists of four scripts: Buy script Sell script Exit long script Exit short script • All strategy scripts are optional • At least one entry and exit script should be filled for the strategy to execute
  37. 37. Trading script editor StockFusion Studio - Intelligent Trading Expert Adviser 37 • Centralized management of scripts • Persistent script storage • Trading strategy script library • Editing of buy/sell and entry/exit in four side-by-side windows • Side bar script function guide with immediate insertion capability • Script validation with error reporting
  38. 38. Trading script editor screen StockFusion Studio - Intelligent Trading Expert Adviser 38
  39. 39. New trading script creation StockFusion Studio - Intelligent Trading Expert Adviser 39 • Strategy library > Add • Give a name to new strategy • Fill script code for buy/sell and enter/exit • Validate and save the strategy • Strategy appears in strategy list
  40. 40. Selector of trading script StockFusion Studio - Intelligent Trading Expert Adviser 40 • Scripts appear on bottom of strategy list Scripts are below “Trading Script” item • Scripts do not need forecasting algorithm Algorithm field can be left empty • Scripts appear in the list when added to trading script library • Scripts disappear from the list when removed from trading script library
  41. 41. About StockFusion StockFusion Studio - Intelligent Trading Expert Adviser 41 Copyright © 2014 StockFusion Technologies. All rights reserved. No part of the materials including graphics or logos, available in this Web site may be copied, reproduced, translated or reduced to any electronic medium or machine-readable form, in whole or in part without written permission. The product names used in this document are for identification purposes only. All trademarks and registered trademarks are the property of their respective owners. Trading futures and options involves the risk of loss. You should consider carefully whether futures or options are appropriate to your financial situation. You must review the customer account agreement and risk disclosure prior to establishing an account. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. Past results are not necessarily indicative of futures results. The risk of loss in trading futures or options can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. Information contained, viewed, sent or attached is considered a solicitation for business.

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