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11 Cards in this Set

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optimization hotkey
ctrl T
up to how many OptVars?
10
steps to optimize (7)
1. ctrl T
2. modify script (ex. Slow := #OptVar1;
SlowMA := WMASerires(#Close, SlowPer );
3. portfolio simulation and sizing method
4. check box for Portfolio $imulation Mode.
5. exhaustive or monte carlo
6. click watchlist
7. begin
position sizing control, 2 types, describe each
raw profit: all trades that are signaled are feflected in the system's performance results. concept of starting equity does not exist.
portfolio simulation: true trading system with money management rules. if portfolio does not have enough free cash to enter a new trades, then trade is rejected.
results explorer
results of the simulator.
2 displayed metrics:
$imulator's performance view
chartscript window's performance view
wealth lab score metric
WLscore=xRAR x (1+MaxDrawDownPct)
xRAR=APR/exposure
xRAR is annualized RAR
APR = annual % return (annualized risk adjusted rate of return)
exposure=%exposure
ex. apr 8, exposure 25%, mdd -15% =
(8/.25)*(1-0.15)=27.20
wealthscript
protect 70% of profits once we achieve 20% profit
var BAR: integer;
InstallTrailingStop(20, ( 100 - 70 ) );
for BAR := 20 to BarCount - 1 do
begin
ApplyAutoStops(Bar);
(...Entry and Exit Rules...)
end;
wealthscript
sell at a 20% stop loss level
1.var BAR: integer;
2.var xStop: float;
3.for BAR := 40 to BarCount - 1 do
4.begin
5.if not LastPositionActive then
6.begin
(...Entry Rules...)
7. end
8. else
9. begin
10.xStop:=PositionEntryPrice(LastPosition)* 0.8;
11.SellAtStop
(Bar+1,xStop,LastPostion,'Stop Loss');
12.end;
13.end;
wealthscript
% up over x number of days??
hMomentumPct:=MomentumPctSeries(#Close,#Close, 35);

???
PositionOpenMFEPct
Max Favorable Excursion as of a specified Bar, in percent.

largest gain that the position experienced during its lifetime on an intraday basis.
PositionOpenMFE
Max Favorable Excursion of an open position. or the MFE for a position as of a specified Bar. Largest gain that the Position experienced during its lifetime on an intraday basis. Result reported in dollars.