ATS-3200 and ATS-6400: November, 2002
New: Version 1.3
Improvements made to the ATS systems.
1. Better algorithms.
The following algorithms were formulated:
When an algorithms is formulated, the indicators inside the algorithm are combined into a single simple formula, checking only one parameter. This makes the algorithm independant of specific market conditions and works much better.
2. Better filters: Both the "F" filter and the "V-Filters" were improved.
The "F" filter is now set to zero("0"), after a trade is stopped out. Before the filter was set to zero, only when the system was out of the market. When a trade is stopped out during the week, technically it is also out of the market for the remaining days until Friday, when the system checks the parameters again, to decide whether to stay out of the market, or to re-enter the market. This was extensively tested and improved the performance throughout the 20 year period.
Another filter was added to the "V-Filters": "8:BAR-OVERLAP".
I have already sent an email explaining how this was done. Thanks to the new "Signal Plotter", it is now more easier to see what is going on inside the system. Where and how trades are generated, and where things might be able to be improved.
3. New Trade Summary Report, makes it easier to analyze trades.
This is a new report, with a lot of useful information, that can be more easily read. The report gives you both the maximum drawdown for each trade and the drawdown that the trade suffered from the close on Friday, which is usually much less. It gives you the number of weeks the trade lasted, profit or loss etc. In fact from this report I think one can see that the both systems, can be traded with smaller stops, without sacrificing the performance too much. This of course has to be tested.
4. Both the "Stop Loss" report and the "Sideways" report, now display the results from 1983. The "Stop Loss" report is also displayed right after the system stops running, to make sure it gets your attention, since it must be checked every week.
5. The Signal Plotter works better.
It now loads the new signal information file automatically each time the system runs. Therefore if you are conducting different tests on the system, you do not have to remember to load the new file each time you run a test. And you can also plot a chart with just one click of the mouse. Just click on the year from the drop down list box, and the chart is drawn instantly.
A new function was added to the plotter, to display the "Equity Chart". This is useful when you are testing the system with the different parameters, to see visually what effect they have on the performance of the system.
6. The system "Tool Bar" has been redesigned to give you access to all the functions of the system with just one click of the mouse.
7. Many important functions of the system, like the "Drawdown Parameter" were extensively retested to make sure that these functions are working as originally intended, and that they enhance the performance of the system as a whole.
8. Updated the "Help" documentation.