Evaluations (trading systems)

TradingSystemPerformance[Include_short_selling;Expenses;Losslimit;StartDate;PerformanceMode;Slippage;Interest]→TimeSeries

Include_short_selling (Boolean [Trading system setting]).

Expenses (percentage [trading system setting]).

Loss limit (Boolean [Trading system setting]).

Start date (date [left edge of chart]).

Performance mode (Accumulate | DoNotReinvest[Accumulate]): With the "Accumulate" setting, the profits are reinvested in full in the next trade. With the "DoNotReinvest" setting, a maximum of the starting capital is invested and interest is paid on the excess profits. If the trading system as a whole is in the loss zone, the entire remaining capital is invested.

Slippage (percentage [setting of the trading system]).

Interest (percentage [setting of the trading system]).

Result: The TradingSystemPerformance function provides the performance time series for the trading system. The time series accumulates the price gains of the underlying security resulting from trading according to the trading system. All signals from the start date are taken into account.

TradingSystemSignals[From;To]→List(TradingSystemSignal)

From (date [beginning of year to]).

Until (date [current date]).

Result: The Trading system signals function provides the signals of all types of trading system between<From>and<To>.

TradingSystemSignalPhases[From;To]→List(TradingPhase)

From (date [beginning of year to]).

Until (date [current date]).

Result: The TradingSystemSignalPhases function provides the trading phases for the signals of the trading system between<From>and<To>.

TradingSystem.TradingSystemState[include_short_sales;loss_limit;start_date]→Time_series

Include_short_selling (Boolean [Trading system setting]).

Loss limit (Boolean [Trading system setting]).

Start date (date [left edge of chart]).

Result: The TradingSystemState function returns the state time series for the trading system, i.e. 1 is returned when the trading system is long, -1 when it is short and 0 when it is closed. All signals from the <start date> are taken into account.