Indicator Diagnostic Tools

QCL Commands include diagnostic tools like the following:

• Diagnostic Signal Timing Graphics

• Graphics that depict whether a model's trading signals leads or lags market action (see example)

• Diagnosing Signal Effectiveness Over Time

• One QCL Command produces a moving Sharpe Ratio Graphic that depict how a model's performance changes over time

• Discriminating Between Models With Otherwise Equal Performance

• Models are frequently encountered whose overall performance measurements are misleading, in that large gains were realized in the distant past. Distinguishing them from models with seemingly equal performance, but whose gains are uniform over time or are weighted to the near term, is a requirement. 

Another proprietary QCL Command prepares the modeling input vectors such that performance measurement truthfully represents those models which are performing better in the more recent markets. 

• Commands for Ranking of Indicators and Models

• Several QCL Commands are available to construct Objective Functions (see). Those objective functions are created with hindsight and, consequently, trade very well. There is also a QCL Command that will rank candidate trading indicators on their correlations to such objective functions.

• A companion Command ranks candidate indicators by the magnitudes of their correlations with objective functions. This command is useful in identifying candidate indicators, even though they trade the market upside-down.

• Rank candidate indicators by their Sharpe Ratios.

 

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