Introduction

The WaveOsc-Xtremes ScriptBot is one of approximately 1,000 scripts included in the ATS ScriptBot Library for BioComp Dakota. If the WaveOsc-Xtremes is used parameter Counter Indicator set to 1 (true) then long signals are generated when the WaveOscillator indicator is below the Lower Threshold. When the WaveOscillator indicator is above the Upper Threshold, short signals are generated.

Data Settings

The selected data series is the SP 500 futures contract daily history constructed using the reverse adjusted contract linking method. This data series is sourced from Pinnacle Data’s CLC Database. The Start Date for the Dakota run has been set to January 2, 1997 and the last available day’s data is for July 22, 2009.

Sp_WaveOsc-Xtremes Data Tab

Bots and Swarm Settings

ScriptBot WaveOsc-Xtremes has been selected. The WaveOscillator period has been set to vary from a minimum of 10 trading days and a maximum of 18 trading days.  The Lower Threshold has been set to vary between -0.9 and -0.2 and the Upper Threshold has been set to vary between 0.2 and 0.9.

The swarm adaptation algorithm will determine what period each bot will use each trading day moving forward one bar at a time. Note that this process is a ‘walk-forward’ process, the WaveOscillator Period values and the Lower and Upper Threshold values are not set in hind-sight. The minimum and maximum values or parameter ranges are set before the trading simulation begins.

The number of bots that make up the swarm has been set to 35. All scripts included in the ATS ScriptBot Library enable the number of independent swarms to be specified in addition to the total number of bots. The Swarm Count parameter isn’t visible in the screen image. It is set to 1 in this case.

Sp_WaveOsc-Xtremes Bots And Swarm Tab

Equity Management Tab

The selected Equity Engine calculates the profit / loss over the Performance Lookback period and divides this by the profit that would have been gained by trading perfectly from close to close for the same trading days that a signal was generated on. Hence the description ‘Proportion of Perfect Trading (in position).

The Performance Lookback period has been set to 50 trading days and the Value per Point has been set to 1. The Value per Point could have been set to $250 to simulate profit / loss trading the SP contract. No transaction costs have been applied (frictionless trading).

A trading delay of 1 day has been set. Signals generated on any given trading day are to be applied on the close of the next trading day. Signals generated by each trading bot will be averaged to determine the system signal.

Sp_WaveOsc-Xtremes Equity Management Tab

Equity Curve

The Price, Signal and Equity Charts tab displays a history of the SP contract (reverse adjusted), the signal generated by the swarm and the hypothetical equity curve (cumulated profits / losses). The signal to be applied on the close of the next trading day is visible on the right side in the Up-Coming Signals box.

Sp_WaveOsc-Xtremes Equity Curve

Trades Report

The Trades Tab displays the trade statistics for the simulation. Note that these results do not include trading costs. This particular Dakota system is one of many that contributes towards the ‘master’ system for the SP contract.

Sp_WaveOsc-Xtremes Trade Statistics Tab

Regards,

James