used for defining indicators, signals, systems, and trading system components. these sys-sig-indic-desc are found throughout gt configuration and control files and on command lines.
sys-sig-indic-desc are text strings used to specify or describe the parameters used by gt to perform a particular technical analysis (ta) on a security.
in general sys-sig-indic-desc
are delimited with curly brackets '{...}'
for example in { I:SMA } the whitespace within the curly brackets is ignored, thus {I:SMA} is equivalent, but harder for a human to scan.
may include other sys-sig-indic-desc
for example { I:Prices CLOSE } is an embedded sys-sig-indic-desc in this { I:SMA 50 { I:Prices CLOSE } } sys-sig-indic-desc.
are written with case sensitive tokens unless otherwise noted
sig-sig-indic names are always case sensitive, but other arguments might be case insensitive. refer to the pod for the sig-sig-indic in question, or to the documentation regarding the argument (for example GT::Tools, GT::Graphics::Tools). in the examples a) and b) above only 'CLOSE' is case insensitive:
{ I:SMA 50 { I:Prices close } }
=item d)
use whitespace to delimit individual elements within a sys-sig-indic-desc. for example example b) above can be written like this:
{I:SMA 50{I:Prices CLOSE}}
note the required whitespace to delimit the time period (50) from the indicator name (I:SMA) and the price value id token (CLOSE) from the indicator name (I:Prices).
may be written using sig-sig-indic name abbreviations (refer to GT::Tools for details)
without sig-sig-indic name abbreviations example a) would be written like this
{ Indicators::SMA }
note Indicators is plural (and case sensitive), as are all the sig-sig-indic names. but trading system components are a mixed bag, some plural, others singular (see GT/Docs/how_to_spec+debug_a_system.pod), the singular and any misspelling or altered case will fail, usually with a somewhat unhelpful error message. so use the abbreviations.
may include system or object aliases
{ @S:3EMAlong #1 #2 #3 } is an example of a signal object alias (@S:3EMAlong) with 3 arguments (refer to GT/Docs/object_aliases.pod and GT::Tools for details on system and object aliases).
trading system components are delimited with vertical bar '|'.
trading systems include a system and possibly other components that, collect together the named components and listed parameters into a trading system rule set. (see GT/Docs/how_to_spec+debug_a_system.pod)
for example
SY:ADX | TF:LongOnly | MM:FixedSum
ADX system with a longonly trade filter and a fixed sum money manageer. however, missing from this trading system are a broker, which will add (subtract) trading and account costs from trading performance analyses. order filters, which aid in preventing trades that have flaws that the systems signals do not recognize. lastly, and most importantly a closingstrategy, which determines when to close an existing open position. a closingstrategy is the sell counterpart to the systems buy, but note both (systems and a closingstrategy) define two signals. the first signal applies to 'long' positions, the second to 'short' positions.
=back
a sys-sig-indic-desc may have parameters that specify values to be used. within a sys-sig-indic-desc whitespace is used to delimit these arguments from each other and from the sys-sig-indic name.
in addition the alias provisions allow for numbered parameter substitution. for details on system and object aliases see GT/Docs/object_aliases.pod and GT::Tools.
sys-sig-indic, for the most part, have predefined default arguments that will be used in the absence of user provided values.
there isn't an easy way to get the number of and defaults values of arguments supported by a particular sys-sig-indic short of reading the perl code for the sys-sig-indic (look for @DEFAULT_ARGS). however, the appropriate evaluation script display_*.pl can be used with advantage to see the default args as well as how any user passed args are applied. the standard output from those scripts will show the values used.
when an indicator uses a prices value token (one of OPEN, HIGH, LOW, CLOSE, or VOLUME) the usual default is CLOSE (or VOLUME) as appropriate for the indicator. to alter that indicators prices value token the entire prices sys-sig-indic description must be embedded within the outer sys-sig-indic. in addition, in most cases the prices argument follows other arguments. it isn't possible (at least i've yet to determine how) to use earlier defaults and change a subsequent argument value without entering all the earlier arguments explicitly. take simple moving average { I:SMA } for example:
{ I:SMA } defaults to { I:SMA 50 { I:Prices CLOSE } }
in order to change the default prices value token from CLOSE to OPEN you must write the indic-desc in the expanded form:
{ I:SMA 50 { I:Prices OPEN } }
yep, that's the way it works.
an indicator is a mathematical calculation based on a securities price and/or volume, or possibly some other numeric value associated with a security or company, shares outstanding for example.
examples of indic-desc:
{ I:Prices LOW }
{ I:Prices VOLUME }
{ I:SMA }
{ I:EMA }
{ I:BOL 40 1.9 }
{ I:BOL 40 1.9 { I:Prices HIGH } }
in gt, an indicator is a series of data values for each bar (time
period) in the window of time being analyzed. the indicator will
have at least one value per bar, but may have many more. by default
an indicators principle value is the first value returned. except
for display_indicator.pl, which will output all values, this first
value will be the value used when the indicator is listed in a
sys-sig-indic-desc without a numeric value indicator. say what!?
ok, indicators that have multiple values can be identified by appending a slash '/' and a number corresponding to the indicator value desired to the indicator name as a means to designate the value of interest. the numbers start with 1 the default value and increase by one for each subsequent value. by convention the code /99 is used to indicate all values are to be returned.
'indicator_name/number' syntax examples:
{ I:AROON/3 }
{ I:BOL/3 }
{ I:ADX/2 }
{ I:STO/4 }
{ I:HilbertPeriod/10 }
{ I:Chandelier/1 } # identical to { I:Chandelier }
{ I:Prices } is completely different. it will only return one value
at a time, by default it is CLOSE or LAST. furthermore { I:Prices }
does not use the indic/number encoding, instead using a 'name' argument.
the names arguments are case insensitive:
OPEN | FIRST
HIGH
LOW
CLOSE | LAST
VOLUME
DATE
incidentally, { I:Prices DATE } is useful if you want the timeframe
adjusted date string that corresponds to the time period index.
to reiterate -- { I:indic } will return one value per bar, and it is, by default, the first value defined by that indicator. in other words { I:indic/1 }. by convention the first indicator value should be the value logically associated with the indicator name, but there isn't any way to enforce that convention. in many cases gt indicators have multiple values that include oscillator values along with other values that relate to that indicator. to be sure what values are available from a given indicator read the pod, then the code.
the sys-sig-indic devel/evaluation apps display_indicator.pl, display_signal.pl, and display_system.pl are useful in getting valid run-time default values and the other argument for the specified sys-sig-indic desc without having to read perl code.
% display_indicator.pl I:AROON T | head
display_indicator.pl: interval: 2457 .. 2657
Indicator I:AROON has 3 values ... all values selected
I:AROON/1 <=> AroonUp[25, { I:Prices HIGH}, { I:Prices LOW}]
I:AROON/2 <=> AroonDown[25, { I:Prices HIGH}, { I:Prices LOW}]
I:AROON/3 <=> AroonOsc[25, { I:Prices HIGH}, { I:Prices LOW}]
timeframe day, time periods 2457 .. 2657
Calculating all 3 indicators ...
AroonUp[25, { I:Prices HIGH}, { I:Prices LOW}][2008-10-03] = 8.0000
AroonDown[25, { I:Prices HIGH}, { I:Prices LOW}][2008-10-03] = 92.0000
AroonOsc[25, { I:Prices HIGH}, { I:Prices LOW}][2008-10-03] = -84
signals are binary values (e.g. true/false, yes/no) that are used to trigger trading system actions (orders). a signal is a data series with a discrete value for each bar in the time period over the time being analyzed.
signal descriptions (sig-desc) are similar to indicator descriptions with arguments (positional value substitution). note a signal may also have multiple signal values. this is unusual, but something to be aware of (refer to S:Swing:Trend, S:Swing:TrendEnding, S:Trend:HilbertChannelBreakout and others).
sig-desc look very much like indic-desc, here are some examples
{ Signals::Generic::CrossOverUp {I:BBO} {I:Generic::Eval 1.0} }
{ S:Generic:Above {I:Prices CLOSE} {I:BOL/2 20 2.0} }
{ S:Generic:Increase {I:ADX} }
using the available boolean logic signals one can construct some fairly complex signal descriptions.
{ S:G:And \
{S:G:CrossOverUp {I:SMA 3} {I:SMA 23}} \
{S:G:Increase {I:ADX}} \
}
{S:G:And \
{S:G:Or \
{S:G:And \
{S:G:Above {I:G:PeriodAgo 4 {I:STO/3 3 2 2 2}} 80} \
{S:G:Above {I:G:PeriodAgo 4} {I:G:PeriodAgo 4 {I:SMA 50}}} \
} \
{S:G:And \
{S:G:Below {I:G:PeriodAgo 4 {I:STO/3 3 2 2 2}} 20} \
{S:G:Below {I:G:PeriodAgo 4} {I:G:PeriodAgo 4 {I:SMA 50}}} \
} \
} \
{S:G:Above {I:Prices HIGH} {I:G:PeriodAgo 4 {I:Prices HIGH}}} \
}
use script app display_signal.pl to aid you in the development, debugging and proofing of complex signal descriptions.
a gt sys-desc defines two signals, the first generates an order to (potentially) open a 'long' position, the second generates an order to (potentially) open a 'short' position. these are expressly not buys and sells, but orders to (potentially) enter into a new position either on the 'long' or the 'short' side of a trade. depending on other trading system components (tradefilters, orderfactory and moneymanagers) these orders may not be fulfilled. positions once opened are managed by the PortfolioManager via one or more CloseStrategy trading system component. the second signal, if omitted will default to always false
--statement validation required--
the first signal must always be present. you can disabled either signal using this sig-desc:
{ S:G:False }
note that is one of the two required sig-desc within a sys-desc.
gt has a couple predefined (hardcoded) systems:
{ SY:TTS } # initial attempt to imitate turtle trade
{ SY:TFS } # trend following system
{ SY:Stochastic } # stochastic system
see GT/Systems/ for the rest
the usual arguments and embedded sys-sig-indic-desc arguments apply to sig-desc. { SY:Stochastic 12 3 4 5 } { SY:TFS 20 7 }
using relatively complex sys-sig-indic-desc you can formulate much more interesting sig-desc: { SY:Generic \ { S:Generic:Above \ {I:Prices HIGH } {I:Generic:MaxInPeriod #1 {I:Prices CLOSE}} \ } \ { S:Generic:Below \ {I:Prices LOW } {I:Generic:MinInPeriod #1 {I:Prices CLOSE}} \ } \ }
{ SY:Generic \
{S:G:And \
{S:G:Or \
{S:G:And \
{S:G:Above {I:G:PeriodAgo 4 {I:STO/3 3 2 2 2}} 80} \
{S:G:Above {I:G:PeriodAgo 4} {I:G:PeriodAgo 4 {I:SMA 50}}} \
} \
{S:G:And \
{S:G:Below {I:G:PeriodAgo 4 {I:STO/3 3 2 2 2}} 20} \
{S:G:Below {I:G:PeriodAgo 4} {I:G:PeriodAgo 4 {I:SMA 50}}} \
} \
} \
{S:G:Above {I:Prices HIGH} {I:G:PeriodAgo 4 {I:Prices HIGH}}}}
{S:G:And \
{S:G:Or \
{S:G:And \
{S:G:Above {I:G:PeriodAgo 4 {I:STO/3 3 2 2 2}} 80} \
{S:G:Above {I:G:PeriodAgo 4} {I:G:PeriodAgo 4 {I:SMA 50}}} \
} \
{S:G:And \
{S:G:Below {I:G:PeriodAgo 4 {I:STO/3 3 2 2 2}} 20} \
{S:G:Below {I:G:PeriodAgo 4} {I:G:PeriodAgo 4 {I:SMA 50}}} \
} \
} \
{S:G:Below {I:Prices LOW} {I:G:PeriodAgo 4 {I:Prices LOW}}}} \
}
sig-sys-desc are used to specify a set of properties and parameters to be used by gt to perform the technical analysis desired. it may encompass one or more components of an analysis system. they are composed of the items described below. see sig-sys-desc examples above.
supported abbreviations (not listed elsewhere): Generic = G: Signals = S: Indicators = I:
GT/<directory> abbreviation
Systems SY:
OrderFactory OF:
MoneyManagement + MM:
tradeFilters + TF:
CloseStrategy + CS:
Brokers <none>
see directories for details on the elements of that component
components of a systems description are separated by vertical bars ("|"). components marked + above allow multiple elements of that component.
SY:SMA 2 3 4 | TF:AcceptAll
the following logical line group is effectively commented out
#SY:SMA 10 20 200 \ | TF:AcceptAll