Use the trading strategy rules page to enter the rules that determine how the Trading Strategy trades and control how those rules are optimized.
- To Select the optimization method used to determine the best rules and rule parameters for the trading strategy:
Select the desired optimization method from the drop down box
No Rule Optimization – Trades using the user specified rules. Performs no modifications to any rules or rule parameters.
Rule Parameter Optimization – All of the conditions (rules) are used, but the GA evolves optimum parameters during optimization. These parameters do not produce rules that are individually optimum, but optimal as a complete set.
Rule Selection Optimization – Chooses among all the rules specified, leaving only the ones that work best together during optimization. Does not modify any of the rule parameters.
Full Rule Optimization – Performs both Parameter Optimization and Rule Selection at the same time.
Custom Rule Optimization – Allows individual selection of which rules are optimized, which rules are always used, which parameters are optimized and which parameters are locked to their original value.
The Short Exit tab allows you to specify exit conditions for a short position. Note exit conditions liquidate a position with an exit order placed and executed after the bar on which the exit condition(s) became true. In contrast, a trailing stop liquidates a position with a stop order placed prior to and executed during the bar in which the stop price was penetrated.
If you don’t want to use short exit conditions in this trading strategy, then deselect “Generate a cover short order ‘”. This will allow you to continue without entering any exit conditions for a short position. Note that if you deselect both short trailing stop and short exit conditions, then a short position will end (with a market order to exit short) whenever a long entry signal occurs.
For more information about the different types of trading strategies see Trading Strategy Types.
If an indicator has a + sign to the left of the indicator you may click on the + sign to show the indicator’s parameters or the indicator’s parameter ranges. To modify the parameter or parameter range, press the Modify Parameter button or double click the parameter or parameter range.
If an indicator has a ‘ sign to the left of the indicator you may click on the ‘ sign to hide the indicator’s parameters or the indicator’s parameter ranges.
- To insert short exit conditions:
Press the Add Condition(s) button.
- To show or hide a short exit condition’s parameters or parameter ranges:
Click on the + sign to the left of the condition to show its parameters or parameter ranges. To modify the parameter or parameter range, press the Modify Parameter button or double click the parameter or parameter range.
Click on the – sign to the left of the condition to hide its parameters or parameter ranges.
- To modify a short exit condition, short exit condition’s parameter, or short exit condition’s parameter range:
Select the item in the list you wish to modify.
Press the Modify Condition button or Modify Parameter button (depending on what item you have selected).
By double-clicking on the item in the list you wish to modify.
- To remove a short exit condition:
Select the exit condition(s) in the list you wish to remove.
Press the Remove Condition(s) button or press the delete button on you keyboard.
- To individually control parameter optimization of a short exit condition parameter:
Click in the box to the left of the parameter name.
A black lock icon in the box to the left of a parameter, indicates that NeuroShell will only use the listed parameter value.
A red circular arrows icon in the box to the left of a parameter, indicates that NeuroShell Trader will determine a parameter value within the listed parameter range that gives the best results during optimization.
A gray circular arrows icon in the box to the left of a parameter, indicates that the listed parameter range specifies only a single value, so NeuroShell Trader will only use that single value.
- To individually control rule selection optimization for a short exit condition:
Click in the box to the left of the condition.
A black lock icon in the box to the left of the condition, indicates that NeuroShell will always use that condition.
A red circular arrows icon in the box to the left of the condition, indicates that NeuroShell Trader will determine during optimization whether or not that condition should be used to obtain optimal results.
When a condition’s parameters are not shown/expanded, a black lock icon with small red arrows in the lower right corner simply indicates that although the condition itself is always used, one or more of it’s undisplayed parameters will be optimized. In other words, parameter optimization is enabled for this particular condition.
When a condition’s parameters are not shown/expanded, a red circular arrows icon with small black lock in the lower right corner simply indicates that although NeuroShell will determine during optimization whether or not the condition is used, none of it’s undisplayed parameters are being optimized. In other words, rule selection is enabled for this particular condition.
Select the <Order Type> that you want to use when exiting a short position:
Market Order – Exits at the opening of the next bar. The exit price is the opening price plus slippage.
Stop Order – Exits if the next bar trades at or above the stop price. The exit price is the stop price (or open price if the bar opens above the stop price) plus slippage.
Limit Order – Exits if the next bar trades at or below the limit price. The exit price is the limit price (or open price if the bar opens below the stop price).
Stop Limit Order – Exits the market if the next bar trades above the stop price and then subsequently trades at or below the limit price. The final exit price is the limit price.
Market Close (next bar) Order – Exits at the closing of the next bar. The exit price is the closing price plus slippage.
Market Close (current bar) Order – Exits at the closing price of the last completed bar. The exit price is the closing price plus slippage.
If you select a stop order, limit order or stop limit order be sure to enter the corresponding stop price and/or limit price. Note that the stop, limit, and stop limit orders are day orders and are therefore canceled if not filled by the end of the next bar. If you want to trade from the open to the close of a single bar, use a market order to enter at the open of the next bar and a market close order with the same conditions to exit at the close.
Select the <Number of Conditions> that you want to be true for a short exit signal to be generated. As an example, if you have three conditions listed and you have selected the <Number of Conditions> to be 2, then when any 2 of the three exit conditions are true a short exit signal will be generated.
When displayed on a chart, a Short Exit is annotated with a red outlined upward triangle below the bar on which the short exit signal was generated. The exit price is annotated on the next bar with a red X. When using stop, limit and stop limit orders, no exit price annotation will appear on the next bar if the order is not filled and you will likely see a series of exit signal annotations for subsequent bars until an order is filled.
If you are using a stop price, then the stop price is displayed on the chart as a horizontal red line placed at the stop price level and extending from just after the bar on which it was calculated to the next bar for which it is active. If you are using a limit price, then the limit price is displayed on the chart as a horizontal dashed red line placed at the limit price level and extending from just after the bar on which it was calculated to the next bar for which it is active.
After setting your short exit conditions, <Order Type>, and <Number of Conditions> you can select the Long Entry tab, Long Trailing Stop tab, Long Exit tab, Short Entry tab, Short Trailing Stop tab, or the Next button.
- If you are using both trailing stops and exit conditions, the trailing stop will not be placed on days where the exit condition is true and the exit order type is a Market Order.
- It should be understood that trading can result in losses, and that past performance of a trading system is no guarantee of future performance.
- When using Full Optimization or Rule Selection, the trading strategy allows reduction in the number of conditions below the number specified that must be true when a better solution if found with fewer rules. When the number of conditions selected by the optimizer is less than the specified number that must be true, all the optimally selected rules must be true for the exit to occur.
- Switching back and forth between custom optimization and one of the first four optimization modes will remember your last custom settings. However, when in one of the first four optimization modes, modifying the individual optimization settings of a rule or parameter will automatically switch to custom optimization and any previous custom settings will be lost.
Topics of Interest:
What are Trading Strategies?
Trading Strategy Types
What are Genetic Algorithms?
How Does a Genetic Algorithm Work?
Why is a Genetic Algorithm Better Than Other Optimizers?
What Types of Problems Do Genetic Algorithms Solve?
How are Genetic Algorithms Used in the NeuroShell Trader Professional?