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The search for fuzzy
trading systems takes place in a workspace.To create a new
workspace: Menu
File/New
workspace
or
icon
A splitted window associated
to this workspace is displayed.
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In this example we suppose that indicators are not part of the
data files. Built-in indicators are used.
To add built-in indicators : Move the mouse to the Configuration
frame, right click and select the popup menu
Built-in indicators, then the
Add
command.
The proprietary version (suffix x) may be
used with noisy data.
A dialog box allows you to select one indicator and to enter
its length. Click if you want to add an associated time
derivative (delta).
Remember that the best results are given
with 4 to 6 indicators (delta ones included). Lengths must
not be identical to avoid redundancy.
A combination of stochastic and Adx, such the one we are
using here (SlowK(10), SlowK(20), SlowK(50), Adx(50) and
delta(SlowK(10)) ) is often the best choice.
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Tutorial 3 - Add a data file to the
Explore portfolio
We are using
data files created by the Save command of TS6 Data Window. The
extension of these files is .txt. For each bar, they contain the
following information:
§
Date
§
Time§
Open
§
High
§
Low
§
Close.
The other fields are ignored by SAFIR-X. |
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The data set
contained in the es.d file will be used by SAFIR-X to create
fuzzy inference systems (FIS), each of them will be the engine
of the fuzzy trading systems. SAFIR-X will use the first part of
the file to build its knowledge base (train) and the last part
to validate the FIS (test).
The default train/test ratio is displayed in the upper info bar
with the number of bars for training and for testing purposes.
It is around 50%. It is also materialized by a vertical dashed
line in the Prices and criteria chart view.Typically 2000 - 3000
bars are enough for the training part. |
Tutorial 5
- Control the zigzag
retracement factor
This figure is
really important because it determines the amplitude of the
zigzags, which are the theoretical positions that SAFIR-Xp will
attempt to learn. The default value is 1%.This information is
displayed in the upper info bar (PercentZ): To look at the
zigzags, keep the data file selected and click the right mouse
button above it in the portfolio frame. Run the
Show Target command.
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Before
starting a search for trading systems, you must check the price
settings
(point value, transaction cost, deposit or fixed amount..).
These informations are also displayed in the upper info bar.
In this example the parameters are correct because they
are associated with the prefix of the data file (in this case
Nasdaq 100i, prefix @nd.). This can be defined in the options
Prices tab, before the creation of the workspace.
It is possible to modify locally these values. Click on the
toolbar button. The Set price options displays a dialog box
The transaction cost includes slippage, it is applied to a
reverse operation, so it should be set twice the value used in
TradeStation8.
Grayed fields are SAFIR-Xp specific.
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Now that all
settings have been checked we are ready to start the search.
There are many ways to initiate the search.
The fastest is to click the Explore button on the toolbar.
You can see SAFIR-X
working. It starts from a root solution and tries to improve the
performances. When it finds potentially good systems, it stores
them in the solution tree and displays the performances (Return
on account, Total net profit and Max drawn down) in the summary
view.
During the search, you can briefly see the equity curve and the
performance summary of each solution.
SAFIR-X learns the behaviour of the prices when the equity curve
is drawn in yellow color. It tests its knowledge base (the fuzzy
rule base) when the chart is drawn in white. To summarize: in
yellow color SAFIR-X knows the response it has to give (buy or
sell positions), in white color, it ignores the response.
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Tutorial 8 - Add unseen data to the
check portfolio
It is very important
to validate the fuzzy systems found during the previous step on
unseen data before using them in real conditions.
In this example we are going to validate the systems built with
a future with some of the Nasdaq stocks.
We apply the same steps to add data to the check portfolio:
Click the toolbar button. Keep the CTRL key down to make a
multiple selection,
Again we recall that the Round-turn field includes transaction
cost and slippage.
No other information is needed.
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Tutorial
9:- Validate the systems with the content
of the Check portfolio.
Just click the
toolbar button.
The performances of each solution are computed for the whole
portfolio and those of the selected solution are displayed.
When the command is finished, you can browse through the
solutions with the navigation icons , You can also sort them by
clicking in a column header of the solution summary view.
You can also look at the performances on a single file. Just
select it in the portfolio frame. The performance summary and
the price and criteria chart views are immediately refreshed.
You can save this workspace if you want to recall it later (Main
menu File/save).
Note : The Save command is not functional in the evaluation
version.
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This is the end of this short introduction to SAFIR-Xs.
You are strongly invited to read the on line user guide before
going further.
Try to reproduce this workspace before using your own settings
and data files.
Do not expect to find good results at first time.
You will have to do many trials before finding a good
combination : train/test period - zigzag - indicators.
We hope you will enjoy this software and find valuable trading
systems with it.
-Safir-Xs free trial offer
:
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2- TradeStation 8 low cost trial offer
TradeStation is recommended to properly test our products, althought you could use ASCII data files.
You may test TradeStation 8 for
25$
during 30 days.
No limitation, works realtime and give a
full access to the huge TradeStation intraday and daily
database.
More information on this special offer
HERE |
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