In this issue:
I. Market on close
II. Multiple trading strategy testing
III. Commentary by Steve Ward, CEO
IV. Some release 6.0 videos now online
V. Signing up for the Seminar
VI. One way to stop this newsletter
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I. Market on close
For quite some time now users have been requesting an easy way to backtest their models under the assumption that they are able to fill on the close of the day instead of the next day’s open. We are pleased to announce that this feature is available in release 6.0, a fact that we failed to reveal in last month’s 6.0 announcement newsletter. It is a new order type along with market, limit, stop, and stop limit order types.
Release 5 had a market on close order type as well, but in release 5 it filled on the NEXT day’s close because it was built for trading mutual funds. That order type still exists in release 6.0, so to avoid confusion the order types in 6.0 are named:
marketclose (current bar)
marketclose (next bar)
Note, however, that marketclose (current bar) is only for backtesting, and should not be used with integrated trading. That is because the marketclose (current bar) is executing at the close of the daily bar and thus filling at a price that has already occurred when the order is generated, so you should not expect to get the same fill price when using integrated trading.
Marketclose (current bar) can also be backtested with intraday bars as well as daily bars, and it is available on the Professional as well as the Power User versions of release 6.0.
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II. Multiple trading strategy testing
The “multiple template optimization and backtesting” facility may be one of the least used of the new Power User facilities, because there is no dialog box or other visible clue where you select it. If you didn’t watch the videos or read the documentation, you might not have found out it is possible. Basically, the feature is a way to batch up a lot of trading strategy optimizations and start them all off at once. They can have completely different indicators and rules, but the facility will let you select the dates, costs, position sizing, position scaling, and overall optimization parameters like the goal function.
First you have to store your favorite trading strategies as templates. Now when you select “New Trading Strategy” you actually can select multiple templates of those you have saved. So here is what happens. NeuroShell optimizes all ticker symbols using each of the templates in turn. At the end of all the optimizations (which can take a while, but remember release 6 distributes optimizations across multiple cores on your computer), you can chose which completed optimizations you want to keep and display on the chart.
You can use multiple template optimization and backtesting with charts that include several chart pages for different instruments.
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III. Commentary by Steve Ward, CEO
1. Seminar. There are quite a few attendees of previous seminars who are returning again this year, which speaks volumes to me about how they feel about our seminars. Frankly, though, I am pretty sure the allure is more about the friendships people make at our seminars than about anything that Ward Systems is doing.
However, we have heard the following from several people “I think I’ll come next year instead.” Just so there is no misunderstanding, I want to make it clear that future seminars are not something we promise. Each year we look at demand, the type of discounts hotels are willing to offer, and the tradeoff between the work involved in putting a seminar together, and the work on our research and software that will not get done because of the seminar. (We add and delete material every year to keep up with new features and new insights into how to use our software). This March will see the sixth seminar in a row after a four year hiatus from them.
Now I want to be frank with you. In my own mind I am thinking of another hiatus, after which we may train some newer employees to run any future seminars. So if you have been thinking of coming to a seminar, this year is the year you should come. See you there.
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IV. Some release 6.0 videos now online
We have a new page on NeuroShell.com which not only describes the features of release 6.0 and Power User versions, but has links online to many of the training videos in that software:
http://www.markettilt.net/videos/charts.html
In fact, the video for the multiple template optimization and backtesting facility described in article II above is at the end of this page.
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V. Signing up for the Seminar
First, here are the details for the Seminar Steve mentioned in his commentary:
http://www.neuroshell.com/seminar.asp
Next, you can sign up by calling us at 301-662-7950 or on our regular online ordering page:
https://secure40.softcomca.com/wardsystems_biz/cgi-bin/ord1.asp?site=ns
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VI. One way to stop this newsletter
It is really easy. Just change your email address and don’t tell us.
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