TRADESIGNAL HOW TO 10.

WHAT`S NEW IN TRADESIGNAL 8.

NEW INDICATORS, NEW CHART TYPES, DATA INTERFACE TO QUANDL.COM & MORE.

In addition to the visual overhaul, the new Tradesignal version offers a large number of new indicators that use innovative features of our formula language, Equilla. These will be shown in a separate How To issue. In this issue, we present the indicators using practical examples. You will also get all the information to set up the new data interface to Quandl.com.

TABLE OF CONTENTS.

  • Quotes
  • Bid Ask Quote
  • Time & Sales
  • Level 2 Ladder
  • Term
  • Watermark Ticker
  • Watermark Logo
  • Scatter
  • Counter Clockwise
  • Cycles
  • AVAT Projection Mode
  • Strategy Report
  • Relative Momentum
  • RSquare
  • RSQuare Benchmark
  • Lin Reg Curve
  • Relative Performance Benchmark
  • Correlation Benchmark
  • Data connection to Quandl.com
  • Individual indicators with Equilla

 

Tradesignal ships with over 200 pre-installed technical indicators, we cover allmost all areas. In version 8 our offer is expanded again. In the following, we present each new indicator and explain them using practical examples.

QUOTES INDICATOR.

THE MOST IMPORTANT PRICE INFORMATION DIRECTLY ON THE CHART.

The quotes indicator (QUOT)* belongs to the genre of grid indicators. It displays a small, free-moving box in the chart, thereby visualizing important information, e.g. the last price or bid and ask quotes. In addition to the default fields, you can add more. The name corresponds to the fields of your data provider; e.g. “ACVOL_1” for volume if you work with data from Refinitiv.

  • 01. To do this, click in the dark gray field within the box (bottom left)
  • 02. Enter the desired information ( for example, “ACVOL_1” for volume)
  • 03. Confirm by clicking the “Add” button

 

The desired information is now displayed in the box. The font size can, of course, be adjusted individually via the properties window.

FIGURE 01: QUOTES INDICATOR.

The quotes indicator displays all available information, e.g. last price, bid/ask or volume in a floating box.

BID ASK QUOTE INDICATOR.

KEEP TRACK OF THE SPREAD.

This indicator (BAQ) displays a colored info box with the respective bid, ask and spread directly in the chart.

FIGURE 02: BID ASK QUOTE INDICATOR.

Bid/Ask prices as well as the spread can be visualized easily with the bid ask quote indicator. The advantage: The decimal numbers and the dimension of the entire box can be individually set in the properties window. This ensures the optimal display, depending on the asset class (for example, FX). Here’s an example for the EUR/USD currency pair:

FIGURE 03: PARAMETERS OF THE BID ASK QUOTE INDICATOR.

The size and the decimation of the decimal numbers can be set individually via the parameters of the indicator.

FIGURE 04: BID ASK QUOTE INDICATOR APPLIED TO EUR/USD.

Two different depictions of EUR/USD can be seen here.

TIME & SALES INDICATOR.

KEEP TRACK OF ALL COMPLETED TRANSACTIONS.

With this indicator (TANDS), you keep in view the completed transactions of the respective market (date, time, quantity). The number of lines in the time & sales list can be set flexibly in the properties window.

NOTE: Depending on the data provider, you may need a subscription for time & sales data.

FIGURE 05: TIME & SALES INDICATOR.

The time & sales indicator can be placed within a chart conveniently, providing a good overview of all completed transactions.

LII LADDER INDICATOR.

VISUALIZATION OF LEVEL 2 DATA IN THE CHART.

For traders, this new indicator (LADD) offers optimal support: It visualizes the information from the order book (level 2) directly in the chart. Contracts on the bid and ask side in the order book are aggregated for each price level and are plotted as a histogram on the prices axis of the chart. This provides traders with a comfortable overview of the supply and demand situation at all times.

NOTE: Depending on the data provider, you may need a subscription for level 2 data.

FIGURE 06: LII LADDER INDICATOR.

The level 2 ladder indicator provides a comfortable overview of the supply and demand situation – directly on the chart.

TERM INDICATOR.

CREATE EVENT CURVES FROM INDIVIDUAL CONTRACTS.

For commodity traders and analysts, the new term indicator (TERM) offers the possibilty to visualize the forward curve on the basis of a freely definable list of securities. From now on, you can create not only the forward curve with all active contracts (this is possible with the Forward Curve Indicator), but also a personal forward curve based on selected contracts. To do this, proceed as follows:

  • 01. Click the empty “Symbols” field in the indicator properties.
  • 02. Then, determine which contracts you want to use, for example the March, May and July contracts of Brent Crude Oil (LCO) and confirm with “OK”.

FIGURE 07: TERM INDICATOR – INPUT FIELD.

The input “symbol” is used to enter the desired contract, e.g. LCOH7.

FIGURE 08: TERM INDICATOR – SELECTING INDIVIDUAL CONTRACTS.

In this example, three Brent contracts (LCO) were selected to create the forward curve.

The following chart shows the result: In addition to the March 17 Brent Crude contract, the forward curve for the previously selected three contracts is shown with red dots.

FIGURE 09: TERM INDICATOR FOR BRENT CRUDE.

This is the current Brent contract with the previously created forward curve on the basis of three individual contracts.

WATERMARK TICKER & WATERMARK LOGO.

INDIVIDUALIZE YOUR CHARTS.

The watermark ticker indicator allows you to display the ticker name of the underlying instrument in the background (watermark). The properties allow you to specify exactly what is to be displayed (name/ticker, combined/individual) and what color intensity.

FIGURE 10: WATERMARK TICKER INDICATOR.

Displaying the respective ticker information with the watermark ticker indicator facilitates visibility – e.g. when using smaller charts in publications. The watermark logo indicator works in the same way but offers an advantage: You can use any graphic in PNG format as a watermark in the respective chart. Thus it is easy and convenient to e.g. brand the company logo on the chart – a useful feature when using charts in publications. As shown in the following figure, the Tradesignal logo is shown as standard.

FIGURE 11: WATERMARK LOGO INDICATOR.

As default setting, the watermark logo indicator shows the Tradesignal logo in the chart. You can also replace this with a graphic of your choice (e.g. your company logo). To implement your personal image as a watermark, proceed as follows:

  • 01. Click on the indicator with the right mouse button and select „modify Equilla code“
  • 02. Select the entire Equilla code and copy it to the clipboard
  • 03. Go to „indicators“ and click „new indicator“
  • 04. Paste the copied code and name your new indicator
  • 05. Then, right-click „embed image“ and select the desired image, which will then be converted to a code
  • 06. To compile, press the F7 key and your personal watermark indicator is ready. You can drag it from the list of indicators to a new chart

In order to store your own graphic file in the code, the existing description in the Equilla code must first be overwritten. Select the corresponding code area and remove it (see next figure).

FIGURE 12 + 13: WATERMARK LOGO INDICATOR – EQUILLA CODE + SELECTING THE GRAPHIC.

By adjusting the source code, you can add a graphic of your choice to the watermark logo indicator (e. g., your company logo). You can select the desired graphic directly. This is then converted into a code.

SCATTER INDICATOR.

MEASURING THE BEHAVIOR OF TWO MARKETS.

The behavior of two markets can be represented and analyzed using the scatter indicator (SCAT). For each data point on the closing price basis, the two prices are plotted in a two-axis diagram and displayed as a point cloud. In addition to the scatterplot, the regression line is calculated if necessary. It provides information on the quality of the correlation between the two markets. This is how you can use the scatter indicator in practice:

  • 01. Open two different instruments in one chart
  • 02. Now insert the scatter indicator
  • 03. In the lower subchart you see all data points (the so-called point cloud)
  • 04. The price scale for the first market is shown above the date scale (in the example chart, an ETF for MSCI Index for emerging markets)
  • 05. The price scale for the second market is shown on the right-hand price axis (in the example chart, an ETF for gold shares)
  • 06. The display of the regression line can be activated in the properties (set the „joined“ option to „true“),

TIP: If you want to know how the relationship between the two markets has changed over time, click on the date axis with the mouse and select the desired period, e. g. 12 months. Similar to fast-forwarding and rewinding of a video sequence, you can use mouse movement to see how the correlation changes over time. Useful feature to try right away.

FIGURE 14: SCATTER INDICATOR.

The scatter indicator (chart below) shows the correlation between the two securities using the streaming diagram and the regression line.

COUNTER CLOCKWISE INDICATOR.

PRICE-VOLUME CHART WITHOUT TIME FACTORS.

The Counter Clockwise (CCW) looks at the interplay of the price development of a market (xaxis) and its trading volume (y-axis) in a diagram. In this price-volume chart, rising prices are traced upward and falling downwards. Rising volume is drawn to the right, falling volume to the left. The time factor is irrelevant. The unusual mesh pattern results from the arrangement of several subsegments. A trend change takes place with this indicator if the current line crosses an opposing line. The following is an example of a sell signal using the counter clockwise method. On the left side there is a classic price-time chart with bars for each trading period, on the right you can see the price-volume chart, which has a completely different representation. By crossing the two opposing lines at the red point, a so-called X-reversal is generated. In this case a sell signal (a buy signal has the reverse rules).

FIGURE 15: FUNKTIONSWEISE DES COUNTER CLOCKWISE INDIKATORS.

Unlike the classic price-time chart (left), the counter clockwise indicator (right) visualizes the relationship between price and volume. A trend change occurs by crossing two opposing lines (X-reversal). Here you can see a sell signal.

The following example shows the DAX Future with the indicator. For each data point, the instrument‘s closing price and the associated volume are plotted in a two-axis diagram. The dynamic visualization of the changes in the time sequence works as described before

FIGURE 16: COUNTER CLOCKWISE INDICATOR.

The counter clockwise indicator visualizes the relationship between price (y-axis) and volume development (x-axis). On Dec 5th 2016 a buy signal was generated due to the cross of both lines (price rising and volume rising).

CYCLES INDICATOR.

VISUALIZATION OF CYCLES MADE EASY.

Many markets have a certain cyclical nature, providing an additional element in the analysis of the markets. With the new cycles indicator (CYC), you can easily and flexibly represent cycles in the chart and project them into the future if necessary, to indicate the possible turning points on the chart.

  • Period: duration of the cycle
  • Offset: pre-run in periods
  • FutureProjection: number of cycle projections into the future
  • DateAnchor: anchor for the start of the cycle
  • PriceAnchor: anchor for visualization

The following example shows the famous US presidential cycle, which lasts four years. In the weekly chart this corresponds to 208 periods. The date anchor was set for October 31, 1960. As can be seen, this cycle in the past provided good indications for important lows in the S&P 500. However, cycles should not be used as the sole signal for a long start – they are used as additional information within the analysis process.

FIGURE 17: CYCLES INDICATOR – 4-YEAR PRESIDENT CYCLE.

Using the cycle indicator, potential cycles of a market can be visualized and projected into the future. The present example shows a 4-year cycle on the US stock market since 1960.

AVERAGE VALUTE AT TIME INDICATOR.

HOW TO VISUALIZE INTRADAY PATTERNS.

The Average Value at Time indicator (AVAT) displays the average intraday trend of a data series. This may be the price itself or any other information, e.g. the volume. In the new version, the AVAT indicator also contains a projection, which allows intraday traders to see a schedule for the day. Notice: This indicator requires a minute-based time interval.

  • Price: calculation base of the indicator (open, high, low, close)
  • Days: number of days to be used for calculation
  • ProjectPriorDays: turns the projection on or off

In the following example, the EUR/USD is presented as a 5-minute chart. The AVAT indicator shows the average price trend of the last 10 trading days (red) in the subchart. The projection for the rest of the day is shown in gray. It offers you assistance in the shortterm analysis of the market.

FIGURE 18: AVAT INDICATOR – PROJECTION OF THE AVERAGE INTRADAY PRICE TREND.

The AVAT indicator displays intraday seasonality. The figure shows the EUR/USD with the average price of the last 10 days (subchart)

STRATEGY REPORT INDICATOR.

THE DYNAMIC PERFORMANCE REPORT IN THE CHART.

Tradesignal offers a wide range of different trading strategies, which enable a backtest by drag & drop. In addition to the equity curve, you can view dozens of statistics on risk and return in the performance report. This is, however, only the snapshot at the time the report is generated. The new strategy report indicator (REPORT) goes a step further and shows you key indicators of the trading strategy in a dynamic form directly on the chart. The advantage is that if new orders are generated or you change a parameter of the trading strategy, all key figures such as hit rate, net profit, etc., are recalculated in real-time and displayed in an information box. In short, you immediately see the impact of certain modifications on the quality of the trading strategy.

FIGURE 19: STRATEGY REPORT INDICATOR – DYNAMIC DISPLAY OF RISK RETURN MEASURES.

With the new strategy report indicator, you can compile an individual performance report and display it directly in the chart. All key figures, e.g. hit rate, net profit, etc. are calculated in real-time In addition to the pre-set key figures, dozens more are available. To add them to the dynamic strategy report, just click on „add“ (see next figure). The display of the strategy report indicator can also be completely flexible – thanks to the new grid technology, the box is always visible, even if it is above the chart. Whether you export your chart as a graphic, or e. g. use a print schedule – you can rely on the strategy report indicator to ensure that all metrics are always up-to-date.

BY THE WAY: With a few changes in the Equilla code of this indicator, this grid display can also be used to display other information – e. g. indicators. To do this, you will learn in a separate Tradesignal How-To issue.

FIGURE 20: STRATEGY REPORT INDICATOR – ADDING NEW METRICS.

With the help of the pre-set key figures, you can assemble your personal performance report in just a few seconds.

RELATIVE MOMENTUM INDICATOR.

HOW TO DETECT UNDERPERFORMERS AND OUTPERFORMERS EARLY.

The relative momentum indicator consists of two components and visualizes information in a four-quadrant scheme. Some readers will be familiar with this form of representation e. g. from the Ifo business-cycle clock. The aim of this presentation is, for example, to recognize the change from a relatively weak market phase to a strong phase early in the process. The relative momentum indicator calculates both the relative strength of securities versus a benchmark as well as the related momentum. The relative strength is plotted on the horizontal, the momentum on the vertical axis. All results are normalized so that they can only take values between -100 and +100.

  • Quadrant 1: Leading ▸ Outperformer with positive momentum
  • Quadrant 2: Weakening ▸ Outperformer with negative momentum
  • Quadrant 3: Lagging ▸ Underperformer with negative momentum
  • Quadrant 4: Improving ▸ Underperformer with positive momentum

FIGURE 21: RELATIVE MOMENTUM INDICATOR – 4 QUADRANTS.

The relative momentum indicator divides securities based on their relative strength versus a benchmark (e. g., an index) and the associated momentum in four quadrants. This clear and systematic visualization helps asset managers take a look inside the market and make better decisions in the portfolio. The indicator shows the performance of a security relative to a selected benchmark. Securities whose performance differs significantly from the benchmark can be easily identified in this way. The momentum usually acts as a precursor to the relative strength, so that the movement of the securities rotates in a clockwise direction: LEADING ▸ WEAKENING ▸ LAGGING ▸ IMPROVING The relative momentum indicator shows you what is happening in the market and whether adjustments in the portfolio could be useful:

  • Is the underlying security outperforming its benchmark or lagging behind?
  • Does the relative performance have an increasing or falling momentum?

 

The following is an example in which the goldmine sector is compared to the S&P 500:

  • 01. First, we open the S&P 500 in a chart
  • 02. Now we insert the relative momentum indicator a. In den Eigenschaften des Indikators geben wir bei „Symbol“ den Ticker für den Goldminensektor ein b. Anschließend stellen wir mithilfe des Parameters „MomPeriod“ die Periode ein, auf deren Basis das Momentum berechnet wird. Mithilfe des Parameters „SmoothPeriod“ kann die Glättung eingestellt werden

 

The figure below shows the relative momentum indicator in the lower chart for the period from November 2007 to January 2017. This is determined directly by the dynamic control of the time line. As can be seen, both the relative strength and the associated momentum increased so that the indicator changed from the quadrant down right to the upper right. Subsequently, the relative performance increased, albeit with a diminishing momentum. In the last stage, the goldmine sector entered both the relative performance as well as the momentum and then slid back into the quadrant at the bottom right („weakening“).

FIGURE 22: RELATIVE MOMENTUM INDICATOR.

The relative momentum indicator shows the performance of a security relative to a selected benchmark on the x-axis, while the momentum is displayed on the y-axis. This results in four quadrants. In this example the development of the gold equity ETF is compared with the S&P 500 ETF. Through the interaction of relative strength and momentum, trend changes can be identified at an early stage.

TIP: You can also use this indicator multiple times in a chart to analyze several markets or securities. Using the formula language Equilla many other indicators – (in addition to relative strength and momentum shown for this case) – can be compared against each other. We will show you how to do this in a coming edition of our Tradesignal How To series.

RSQUARE INDICATOR.

MEASURING THE QUALITY OF LINEAR REGRESSION.

In statistics, the coefficient of determination measure r² describes the quality of the linear regression and assumes values between 0 and 1. The figure below shows a diagram with a r² of 0.89. That is, 89 percent of the variance of variable y (e.g., security A) can be explained by variable x (security B). As a contrast, in the diagram below, which shows a significantly greater scattering of the values, the determination measure r² is only 0.32

FIGURE 23 a / b: RSQUARE INDICATOR r².

The coefficient of determination r2 describes the quality of the linear regression. In the above example, this value is 0.89. This corresponds to a good model fit. The wide spread of the data points in the lower example is reflected in the low degree of accuracy of 0.32 (poor model fit). Source: Microsoft Excel

This regression analysis is now applied to the S&P 500 and DAX. The lower chart shows the RSquare indicator. This returns the determination measure r2 . On the basis of the last 50 periods, this figure was 0.81, which corresponds to a good model fit.

FIGURE 24: RSQUARE INDICATOR FOR S&P 500 AND DAX.

The RSquare indicator visualizes the degree of determinateness of two price series. In the present example, the 50-period value is 0.81, which corresponds to a good model fit.

RSQUARE BENCHMARK INDICATOR.

MEASURING THE QUALITY OF LINEAR REGRESSION OF MARKET A VS. MARKET B.

In contrast to the previously presented indicator, the choice of the benchmark for this indicator – as well as the choice of the period – is made via the properties window. The following example shows the backadjusted contract for Brent Crude (LCO). The lower chart shows the RSquare benchmark indicator for the last 50 periods. The power baseload frontyear contract (F1BYc1) serves as the benchmark here.

TIP: This indicator can be used in a watchlist. For example, you can monitor how the correlation of coal, gas, or emissions is compared to a benchmark, for example the power baseload front-year contract.

FIGURE 25: RSQUARE INDICATOR FOR OIL AND POWER MARKET.

The RSquare benchmark indicator visualizes the degree of determinateness between the oil and power market. In the present example, the different phases with high and low degree of determinateness are clearly visible.

LINEAR REG CURVE INDICATOR.

USING LINEAR REGRESSION AS A TREND INDICATOR.

This indicator (LINREG) visualizes the continuous value of the linear regression for each individual period. This allows the trend to be determined objectively – on a mathematical basis – and used for the analysis or development of trading strategies. The indicator has two parameters: With „period“ the number of periods can be set. The smaller the value is chosen, the more closely the regression curve follows the course of the price and vice versa. With „displacement“, the regression curve can be shifted by X periods into the past or into the future. The following diagram shows the EUA contract with two regression curves (9 and 50 periods).

FIGURE 26: LINEAR REGRESSION CURVE INDICATOR FOR EUA 2017 CONTRACT.

The linear reg curve indicator visualizes the continuous regression values of a time series. In the present example, this indicator was inserted twice with different period settings (9 and 50).

RELATIVE PERFORMANCE BENCHMARK INDICATOR.

MEASURING THE PERFORMANCE OF A SECURITY VS. A BENCHMARK.

The analysis of the relative performance of a market is one of the standard applications of many analysts and traders. With the new indicator, you can perform this analysis easily and conveniently.

  • 01. Open a chart (in our example, the Apple stock)
  • 02. Add the indicator to the chart
  • 03. In the properties window, select the benchmark and the start of the comparison period

FIGURE 27: SELECTING THE BENCHMARK AND START DATE.

The benchmark can be entered directly in the properties window. The start of the comparison period is also defined here via the calendar function.

FIGURE 28: APPLE STOCK WITH RELATIVE PERFORMANCE BENCHMARK INDICATOR.

This example shows the Apple stock. The lower chart shows the relative performance against the S&P 500 since the beginning of 2016. As you can see, the stock lags the benchmark by 4.3 percent.

FIGURE 29: WATCHLIST WITH RELATIVE PERFORMANCE VS. DOW JONES INDUSTRIAL AVERAGE.

This watchlist contains all stocks from the Dow Jones Industrial Average. The relative performance benchmark indicator allows all stocks to be sorted according to their relative performance. Since the beginning of the current bull market (mid-March 2009), the Apple stock has the strongest outperformance against the benchmark, while Exxon Mobil lags the most.

TIP: You can also use the Relative Performance Benchmark Indicator in a watchlist. The following chart shows the shares of the Dow Jones Industrial Average with this indicator.

CORRELATION BENCHMARK INDICATOR.

KEEP TRACK OF THE CORRELATION OF DIFFERENT ASSETS.

It is easy to measure the correlation between a market and a benchmark with this indicator. The correlation coefficient has values between minus 1 and plus 1:

  • For a value of +1, both data series are completely correlated
  • The closer the value is to 0, the smaller the correlation
  • With a value of -1, both data series are perfectly negatively correlated

 

Let us look at an example from practice. To this end, we first open a chart, e.g. The S&P 500 and then insert the indicator. As a benchmark, we define gold in the properties area. For period, we select 50. In order to visualize another correlation to the DAX in the same chart, we add the indicator again. The result is shown in the following figure: While the correlation of the S&P 500 and the DAX lingered over longer periods in the upper range, the gold price always presents itself as a counterpart to the US stock market. This was particularly strong, e. g. in summer and autumn 2013 with correlation values close to -1.

FIGURE 30: CORRELATION OF S&P 500 TO GOLD AND DAX.

The correlation benchmark indicator visualizes the correlation between two markets. Here is the link between the US stock market and the gold price (red line)) and the DAX (gray line).

INTERFACE TO QUANDL.

YOUR ACCESS TO THE WORLD‘S LARGEST DATA UNIVERSE.

Having presented all the new indicators, we would like to introduce a new feature to expand your data universe in the last section. In recent years, Quandl.com has become the world‘s largest provider of data of any kind. As a Tradesignal user you can now tap this data universe. With DataConnect, Tradesignal offers an interface to renowned data suppliers such as Bloomberg, Refinitiv Eikon, Trayport and Morningstar Commodities. In addition, the software also offers the possibility to import your own data in CSV format. This is not enough: Tradesignal 8 gives you access to the world‘s largest data universe, Quandl.com. For this purpose a free registration at www.quandl.com is necessary. The API key, which is available on their website, is required for setting up the data connection. To use Quandl data in Tradesignal, proceed as follows:

  • 01. Open the DataConnect console
  • 02. Click on “Manage Datafeeds”
  • 03. Then click on “Add a new data feed”
  • 04. Next, select “Quandl” as the data feed
  • 05. As a prefix, enter “QDL”
  • 06. In the last step, please enter your API key provided by Quandl.com and click on “Finish“

FIGURE 31: SETTING UP THE NEW DATA FEED.

The DataConnect console provides the ability to set a direct connection to Quandl.com

FIGURE 32: SETTING UP THE NEW DATA FEED.

The Quandl data feed is set up using the “Add a new data feed” option at the top left

FIGURE 33: SYMBOL LIST WITH SEVERAL DATA FEEDS.

After successful setup, you can use Quandl.com data in Tradesignal

All data available at Quandl.com are now available in Tradesignal. In the area of the toolbar, you will see this next to all other data feeds. Please note that many data are free, while others are only available with a paid subscription. The following example shows the CAPE ratio of Prof. Shiller (Nobel Prize Laureate 2013), and the S&P 500 from the year 1901 onwards. Both data series are from Quandl.com. If new data is published it is automatically displayed in the chart.

FIGURE 34: LONG-TERM DATA HISTORY FROM QUANDL.COM.

Here you can see the Shiller PE (CAPE, chart above) as well as the S&P 500 (chart below). Both data series are from Quandl.com.

INDIVIDUAL INDICATORS WITH EQUILLA.

NEW FUNCTIONS PROVIDE EQUILLA PROFESSIONALS WITH MORE POSSIBILITIESS.

The new Tradesignal offers extensive innovations – both externally and „under the hood“. The new grid and scatter functionalities, which we presented above, offer numerous additional applications. Now you can take full advantage of these tools in Equilla to develop your own indicators, we will show you more in our How-To special edition.

For questions about Tradesignal we are always happy to help. If you are not yet a Tradesignal customer, we will gladly provide you with a trial version.

That’s it for today. Take care, take profit and auf Wiedersehen.