The first step to implementing the Average Trade P/L analysis in NeuroShell Trader is to create a Trading Strategy to which the analysis should be applied. You can use any Trading Strategy or Prediction that you have previously created using the NeuroShell Trader or create a new. In all the indicators below, you should simply substitute the name of your Trading Strategy or Prediction in place of ‘TradingStrategy’.
Once you have a Trading Strategy, you can implement the Average Trade P/L Indicator in NeuroShell Trader by first creating the three intermediate indicators TradePL, NormalizedTradePL, and NewTradeFlag before creating the final AveTrade indicator. Select ‘New Indicator …’ from the ‘Insert’ menu to create each of the following indicators using the Indicator Wizard:
TradePL:
Momentum ( NetProfit ( TradingStrategy ), 1 )
NormalizedTradePL:
Divide ( TradePL, Avg( TrueRange ( High, Low, Close ), 30 )
NewTradeFlag:
A=B( Momentum ( NumTrades ( TradingStrategy ), 1), 1)
AveTrade:
SelectiveAvg ( NormalizedTradePL, NewTradeFlag, 30 )
To implement Average Trade P/L Significance Test in NeuroShell Trader, first create the three intermediate indicators StdDevTr, PopAve, and Tstat before creating the final TstatSignificant indicator:
StdDevTr:
SelectiveStndDev ( NormalizedTradePL, NewTradeFlag, 30 )
PopAve: (In case you want to calculate instead of using a constant value of 0.5)
Divide ( CumSum ( NormalizedTradePL, 0 ), NumTrades ( Trading Strategy ) )
Tstat:
Divide ( Sub ( AveTrade, PopAve ), Divide ( StdDevTr, SqrRt ( 30 ) ) )
TstatSignifcant:
A>=B ( Abs ( Tstat ), 2 )
To implement the Runs Test in NeuroShell Trader, first create the three intermediate indicators NumWins, NumRuns, and Xval before creating the final RunsZscore indicator:
NumWins:
SelectiveSum ( A>B( TradePL, 0 ), NewTraderFlag, 30 )
NumRuns:
Add2 ( SelectiveSum ( SelectiveRange ( A>B(TradePL,0), NewTradeFlag, 2), NewTradeFlag, 29), 1 )
Xval:
Divide ( Mult3 ( 2, NumWins, Sub ( 30, NumWins ) ), 30 )
RunsZscore:
Divide (Sub ( NumRuns, Add2 ( Xval, 1 ) ), SqrRt ( Divide ( Mult2 ( Xval, Sub ( Xval, 1 ) ), 29 ) )
In the indicators above, note that the trades look-back was assumed to be 30 and in some places a 29 was used for the trades look-back minus 1. To change the trades look-back to a different number, simply change all the occurrences of 30 and 29 to a new look-back N and N-1 respectively. Also note that the True Range indicator is included in the NeuroShell Trader Advanced Indicator Set Add-on and is also available for free download on the Ward Systems Group free technical support website.
Users of NeuroShell Trader can go to the STOCKS & COMMODITIES section of the Ward Systems Group free technical support website to download an Average Trade P/L chart, which also contains the AveTrade, TstatSignificant, NumWins, NumRuns, and RunsZscore indicators saved as custom indicators in the Traders Tips custom indicator category.
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