Sneak Peak

Synergy data mining application developed by AdaptiveTradingSystems.com
CarlosR
Posts: 51
Joined: Sun Jan 08, 2017 10:52 pm

Re: Sneak Peak

Post by CarlosR » Mon Jun 19, 2017 1:01 am

James, I understand completely. I look forward to trying the new application when it's ready, and also to using the new batch capability in the current version. Thanks very much.

Schutten
Posts: 7
Joined: Thu Jan 12, 2017 11:02 am

Re: Sneak Peak

Post by Schutten » Thu Jun 29, 2017 8:25 pm

Hi Carlos,

What I did is write a little program which checks all exported csv files from Pinnacle to see if they are updated. Most of the time this is indeed the case.
I am using the batch option now from Synergy as well in combination with the BCS updater. Works like a charm!

Regards,
Dennis

CarlosR
Posts: 51
Joined: Sun Jan 08, 2017 10:52 pm

Re: Sneak Peak

Post by CarlosR » Thu Jul 06, 2017 4:19 pm

Dennis, that sounds good.

James, would it be possible to add one more line to the Statistics on the Models tab of Synergy? What I'd like to see is the a line labeled something like "Total Points Gained". It would be the product of the "Trade Count" and "Average Trade Points" lines, which are already present. I use this statistic a lot in comparing how models are doing on an OOS basis, but I have to keep computing it over and over. I bet by now I've done it several hundred times -- I'm getting tired! :)

jamess
Site Admin
Posts: 55
Joined: Wed Jan 04, 2017 9:52 pm

Re: Sneak Peak

Post by jamess » Fri Jul 07, 2017 12:02 am

Hi Carlos,

I will add the Net Points to Synergy 3.1.8.

Kind Regards,

James

CarlosR
Posts: 51
Joined: Sun Jan 08, 2017 10:52 pm

Re: Sneak Peak

Post by CarlosR » Fri Jul 07, 2017 1:10 am

That sounds great, thanks very much!

CarlosR
Posts: 51
Joined: Sun Jan 08, 2017 10:52 pm

Re: Sneak Peak

Post by CarlosR » Sun Jul 16, 2017 1:51 pm

James, thanks for adding the Net Points statistic. One thing confuses me about it, however. Some of the time, the net points equals the average trade points times the trade count, as I would expect. But with many models it doesn't, and is about 10% or so off. Is that because of the use of natural logs to compute these stats? If so, is there any easy way to fix that?

jamess
Site Admin
Posts: 55
Joined: Wed Jan 04, 2017 9:52 pm

Re: Sneak Peak

Post by jamess » Sun Jul 16, 2017 10:44 pm

Hi Carlos,

Synergy computes trade statistics and 'row' statistics separately. The trade statistics are not marked to market at the period end. If there is an open trade then it isn't included in the trade statistics, but is included in the row statistics. At one point I was marking to market for the trade statistics, but thought it was probably better not to because it can cause the trade statistics to be incorrect. For example, if the average trade period is around 250 trading days and a trade was opened just before the end of the period then it would pull the average trade period down a bit.

I have tested the statistics, but I'm happy to test again using one of your modeling runs. If you would like to send me a modeling run then I can load it in the debugger and check that is the cause. Rounding can also make a difference, I think it is more likely to be open trades at the end of the period though.

Kind Regards,

James

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