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I have a number of suggestions for improving the system tester:
1. Setting the range of optimization variables (edit):
I would like to specify a set of values, e.g. 1,3,9,14,25 and 40, as an alternative to specifying max, min
and a step value.
2. Type of optimization variables:
It would be nice to be able to use the Moving Average method (simple, exponential, time series, etc) in
the same way as an optimization value, i.e. I would like to say opt1= S, E, TS.
3. Naming of the optimization variables:
When combining different sets of entering trading strategies (enter long, enter short) and and exit
strategies (close long, close short), it would be nice to have different sets of optimization variable
names to choose from. Otherwise you might have conflicts when moving an exit strategy to a different
system test, which happens to use one optimization variable you have used in the exit strategy, like
opt4, in the enter strategy.
This problem can be (partly) circumvented by using numbers 1,2,3,etc for entering and 9,8,7,etc for exits
(close).
4. Combination of indicators
If you require that a number of indicators should say ”buy” in order to react accordingly, you cannot
expect all indicators to do so at the exact same time (day or week or whatever). If your indicators are A,
B and C, you would rather like to specify something like
If ((A=buy and (alert(B,5) = buy or alert(C,5) = buy) ) or
(B=buy and (alert(A,5) = buy or alert(C,5) = buy ) ) or
(C=buy and (alert(A,5) = buy or alert(B,5) = buy) ) and
not (alert(A,3) = sell or alert(B,3) = sell or alert (C,3) = sell)
(You may want to place different values on the alerts, depending upon your views on the specific
indicator's importance.)
So it would be nice to express the above somewhat easier.
5. Support and resistance histograms
It would be a nice feature to have horisontal histograms showing ”number of periods” times ”volume”
that a stock (or whatever) has spent within given price ranges. Large values would indicate
support/resistance levels.
6. Pattern recognition
This may be a bit more difficult to implement, but it sure would be nice to catch patterns like, ”heads
and shoulders”, ”failure swings”, ”cup with handle”, shark” etc.
Maybe it would be easier in a P&F type diagram?
I have tried to catch ”failure swings” with the llv and hhv functions, but it did not work out…
7. New function (to help set up system tests)
Could be nice to have access to the first-order differential (and maybe second-order differential) for the
indicator. This would be useful to make sure that some indicator and its moving average are moving in
different directions (i.e. not both moving up or both moving down), when they cross each other. You
may even want to specify and angle for the crossing to make sure that it is a ”true” crossing and not
just a temporary deviation.
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