StockFusion Expert

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

StockFusion Studio - Intelligent Trading Expert Adviser 2
• Trading Strategies
• Backtesting Engine
• Expert Optimization
• Portfolio Analysis
• Trading Script

Algorithmic trading
strategies

Premium selection of algorithms
• Self-optimizing ARIMA expert
• Finite Impulse Response Neural Network
• Finite State Markov Automation
• Stepwise Best Regression
• Square Root Regression
• Square Regression
• Logistic Regression

Attaching predictor to chart
 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

Example of forecast on chart

Exclusive trading strategies
• 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

Selecting trading strategy
 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

Example of strategy on chart

Symbols for trading signals
• 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

Forecast driven strategies
• 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)

Forecast and trend hybrid strategies
• 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

Intrinsic and custom strategies
• 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

Strategy Backtesting
Engine

Backtesting engine
• 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

Creating backtest report
• 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)

Backtesting results

Backtesting parameters
• 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

Expert System for
Strategy Optimization

Expert strategy scanner
• 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

Expert strategy scanner
Watch progress
bar while expert
system scans
strategies to find
an optimal one
 Open new chart
Chart analysis
Expert Adviser
Expert Adviser

Expert strategy scanner results
• On scan completion appears message
with optimal strategy and algorithm
• Confirm to apply expert selection to chart

Expert strategy on chart

Expert strategy performance

Tools for
Portfolio Analysis

Portfolio optimizer
• Summary view of all symbols in portfolio
• Forecasted price and change per symbol
• Expert advise on trade execution
• Distinctive coloring of signals

Open portfolio optimizer
 Home & Basics
Analysis (group)
Radar (button)
Add symbols to portfolio:
1. Home & Basics > Symbol > Add to Favorites
2. Data manager > Add selected to portfolio

Batch expert scan
Batch expert scan on
all symbols in portfolio
for the best predictor
and strategy
combination
 Open new chart
Chart analysis
Expert Adviser
Expert Adviser

Portfolio affinity matrix
• 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

Multiple affinity measures
• Correlation radius
• Kendall rank correlation
• Normal absolute difference
• Kruskal-Wallis test
• Friedman test
• Hurst coefficient
• H parameter
• Correlation
• Asymmetry
• Excess

Portfolio affinity matrix example

Lag relation analysis
• 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

Lag relation analysis example

Scripting of
Trading Strategies

Trading script
• 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

Trading script components
• 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

Trading script editor
• 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

Trading script editor screen

New trading script creation
• 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

Selector of trading script
• 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

About StockFusion
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.

StockFusion Expert

StockFusion Expert

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