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An Introduction to DLPAL


Deep Learning Price Action Lab Long/Short Equity

Introduction

Deep Learning Price Action Lab for long/short equity (DLPAL LS) uses primitive attributes of price action, and specifically the open, high, low and close, to extract features types in an unsupervised learning mode based on general feature clusters. Then, the program uses the extracted features in supervised learning mode to identify long and short candidates in a universe of securities: The long/short identification is based on a set of calculated features and the user has flexibility in ranking the results according to their values. The output of the program can be saved in csv format and further used in conjunction with trading platforms to automatically execute trades.



DLPAL LS offers capability of generating historical files with the calculated features for all securities in a universe. These files can be used to backtest various long/short equity strategies in third party backtesting platforms. The program also generates historical files with binary targets based on the next day return and scoring files to be used with machine learning algorithms. Therefore, the output of the program can be used to implement both fixed algos based on the calculated features and also algos derived from machine learning classification.

The functions of DLPAL LS are outlined below:



Backtesting and machine learning scoring are done in third-party platforms. DLPAL LS provides all the files needed for those tasks. 

DLPAL v1.0  LS was released on March 8, 2017

DLPAL v2.0  LS was released on October 1, 2017




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An introduction to DLPAL LS features


An introduction to DLPAL features

DLPAL LS calculates four features for each security: P-long, P-short, P-delta and S.

Definitions:

i= 1,...,N  is the number of the features involved
PLi  is the success rate of each strategy based on feature i for a long signal
PSi is the success rate of each strategy based on feature i for a short signal
Ti  is the number of trades in the history of a security



P-delta = P-long - P-short

S is the significance of the result. S = 0 means the results are not significant.

Implementation in DLPAL LS

The user can get values of P-long and P-short for any combination of symbols and risk/reward parameters using just a single workspace. The calculation is based on 5 (aggressive) or 10 (normal) major feature cluster types. In addition, a measure of significance S is calculated for each pair of values, P-long and P-short.

The user can specify the risk/reward parameters either as a percentage of the entry price or as a number of points added to the entry price of each trade generated by the strategies. Also, exit at the close of the following bar is supported so that each trade is exited at the next close.

DLPAL LS also calculates ensemble features. These features are for a group of securities and include: Date, avgPL, avgPS, Pratio, avgPLS, avgPSS

AvgPL is the average P-long value for the ensemble

AvgPS is the average P-short value for the ensemble

Pratio is the fraction of securities with P-delta (P-long-P-short) > 0

AvgPLS is the significance S weighted averge P-long

AvgPSS is the significance S weighted average P-short

The results cna be used to implement fixed models using the calculated features or as an input to machine learning algorithms.






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Software capabilities and  limitations


Software capabilities

DLPAL LS has a user-friendly interface but under the hood lies a very sophisticated algorithm for feature extraction and classification.

Here are some things that one can do with DLPAL LS:

Create and save an unlimited number of workspaces each with up to 100 different parameter lines
Calculate features for an unlimited number of securities
Save an unlimited number of results
Use different options for ranking securities long or short

Software limitations

Like any software developed, DLPAL LS has limitations:

- The program can read only ASCII text files.
- Security names, excluding the path and the .txt extension, must be less than 26 characters

If you have any suggestions for any additions or enhancements to the program you may contact us using the appropriate e-mail address listed in our website: http://www.priceactionlab.com/




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Data format and sources


Data format specifications

DLPAL LS can read  end-of-day and higher timeframe ASCII files with .txt extension. The data must be in ascending order so that the first line in the file has the oldest date.

Important: File names, excluding the path and the .txt extension, must be less than 26 characters.

The data fields can be single-spaced, comma or semicolon delimited and have the following order:

Date Open High Low Close

with the date in  YYYYMMDD format (example, 20020415). In the case of intraday data, an 8-digit increasing integer index must be used in the place of the Date field [example: index starts at 10000001] and no time field is allowed.

The following is part of a valid daily data file with single space delimited fields:

20020927 30.69 30.72 25.25 26.63
20020928 26.38 30.25 25.59 29.88
20020929 29.19 29.63 27.63 27.94
20021002 28 28.19 25.03 25.25
20021003 25.88 26.13 23 23.25
20021004 22.88 24.81 21.81 24.31
20021005 23.88 24.38 20.38 21.5
20021006 20.94 22.5 18.3 20.81

The following is part of a valid daily data file with comma delimited fields:

20050321,434.50,434.60,429.20,431.40
20050322,431.00,432.80,430.80,431.60
20050323,425.00,428.40,424.50,425.40
20050324,425.50,426.50,424.30,424.80
20050328,425.00,426.20,423.40,426.00
20050329,426.50,426.60,425.90,426.00
20050330,426.20,428.00,426.00,426.90
20050331,430.30,431.40,429.70,431.10
20050401,429.70,431.50,427.10,428.30

The following is part of a valid daily data file with semicolondelimited fields:

20050211;37.03;37.85;36.93;37.7
20050214;37.7;37.94;37.69;37.87
20050215;37.9;38.48;37.82;38.12
20050216;38.03;38.16;37.83;37.98
20050217;38.05;38.14;37.43;37.47
20050218;37.48;37.57;37.26;37.35
20050222;37.03;37.55;36.79;36.89
20050223;37.04;37.07;36.7;36.94
20050224;36.85;37.44;36.76;37.41




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Tips for quick start


Tips for quick start

In order to use DLPAL LS you need to specify the following on a search workspace:

1. The directory of tthe historical data files to use or a single data file The files must have appropriate format and length.

2. The performance parameters and risk/reward objectives to apply.

The software setup includes sample historical data files in compatible format. These files are located in the DATA subdirectory of the program. A sample workspace and results are also included, in MyWork and Results directories, respectively.

The following two steps are required to set-up a workspace

1.    Create a T/S file

This file contains the profit target and stop-loss values to be applied to the calculations. Each line in a T/S file corresponds to a pair of profit target and stop-loss values used in the back-testing of strategies based on the features and for determining historical performance. The values in a T/S file may stand for percentages of the entry price or points added to the entry price and the choice between the two options is made on the workspace.  In the case of exits on the close of the next bar, the values of the T/S file are not taken into account and can be set to anything. Sample files can be found in the TRS subdirectory.

Usually the values in the T/S file are set as low as possible to avoid over-fitting. Typical values for equities are in the 1% to 5% range.

2 Create a workspace

In the workspace you specify the T/S file to use, the historical data file and the trade parameters.

Notes

If next close (NC) is selected as the exit parameter, a dummy T/S file must be specified with just one pair of target/stop values but these will not be used by the program.

When creating a workspace you may introduce multiple parameter lines each with different data file(s), T/S file and parameters.

The best way to become familiar with a program is by actually working with it. There are many ways to use DLPAL LS depending on user's experience


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Reporting problems


Reporting problems

To report any problems with the software e-mail technical support. For the proper e-mail address to use check our website:

http://www.priceactionlab.com

Include your name, user name and date of purchase with your e-mail. in Case the website is not operational use:

priceactionlab@gmail.com

Suggestions for improvements or additions to the software are always welcome.





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Creating T/S files


Creating a T/S file

T/S Files are required because they include the profit target and stop-loss used when backtesting strategies based on extracted features.

To Open an existing T/S file

Click T/S Files from the main menu and then click Open. Select the file from the list and click Open



To create a new T/S file

Click T/S Files and then click Create.



In the input fields under Target and Stop you may type the desired profit target and stop-loss values. The numbers inputted represent absolute values and correspond to percentages of the entry price or points added to the entry price. Note that all values in a specific T/S file must be used as the same type, percentages or points. Mixing is not allowed.

You may input up to 10 sets of profit target T and stop-loss S values. DLPAL will use each set separately when evaluating the historical performance of the strategies based on extracted features. 

When pts (points) is selected for Exit in Trade parameters then the profit target and stop-loss price are calculated as follows:

For long positions:

Profit target price = Entry price + T
Stop-loss price = Entryprice - S

For short positions:

Profit target price = Entry price - T
Stop-loss price = Entryprice + S

When % (percent) is selected for Exit in Trade parameters then the profit target and stop-loss price are calculated as follows:

For long positions:

Profit target price = Entry price x (1+T/100)
Stop-loss price = Entryprice  x (1 - S/100)

For short positions:

Profit target price = Entry price x (1-T/100)
Stop-loss price = Entryprice x (1+S/100)

When NC (next close) is selected for Exit in Trade parameters then the exit price is calculated as follows:

For long or short positions:

Exit price = close of the day following the price action formation

Saving a T/S file

The T/S file created can be saved by Clicking File and then Save As. Convenient names to denote the contents of the T/S files are recommended. For instance, a file containing the value 7 for the target and stop can be named as "7" and shown by the program as "7.trs".

A short note on using targets and stops

The use of points added to the entry price for profit target and stop-loss values deserves some attention. In the case of stocks, the use of point stops is straightforward. However, use of percentages, as opposed to points is recommended due to frequent past adjustments for splits and dividends.

Using multiple profit target/stop-loss pairs

T/S files with multiple entries for the profit target/stop-loss values can be created and saved. The program will calculate mean performance parameters using all pairs in the T/S file.


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Creating a workspace


Creating a workspace

To open an existing workspace or create a new one

Click File and then click Workspace.



Select Open Existing Workspace and then click OK. Select a file and then click Open.



To Create a new workspace

Click File, then Workspace, select Create New Workspace and click OK. Then, click on the first empty scan line to start the process of parameter selection.



The following must be specified on the workspace form for each separate search line:

1. T/S file
2. Data file(s)
3. Trade parameters: Exits based on percentages (%) of entry price, points (pts) added to entry price or Next Close (NC). Trade Inputs are the Open or Close
4. Major Cluster Type: Choice between aggressive and normal
5. Output criteria: The results can be filtered by minimum P-long, minimum P-short and minimum Significance S. Alternatively, all results will be shown by checking the Show All Results box.
6. Detrending option: If the option is marked the results will be adjusted for the presence of a trend based on a proprietary algorithm

To Select a T/S file

Select a T/S file from the appropriate directory. Click on a file to highlight it and then click the hand icon pointing down to move it in the selection field. Alternatively, you can just doubleclick a file and it will automatically get selected. To change the T/S file click the hand icon pointing up and repeat the selection process. Note: In the case that next close (NC) is selected as the exit parameter, a dummy T/S file must be selected with just one pair of target/stop values but these will not be used by the program.



To Select data file(s)

Select the directory where the data files are located and mark the box next to the option Select all files, to select all files in the directory specified (default option). If this option is checked, the same T/S file, Trade Parameters Major Cluster Type, Output Criteria and Detrend Option will apply to all data files. Note: To select a single file from a directory you must first uncheck the box next to the Select all files option and then highlight the file.



Trade Parameters

Specify the type of exits (percent or points) to be used with the profit target and stop-loss values in the T/S file, or next close (NC), by selecting % for percentages of entry price, pts for points added to entry price, or NC for next close exit. Specify the type of trade input by selecting either Open or Close. If Open is selected then the entry price will be the open of the next bar. If Close is specified, then the entry price will be the close.



Major Cluster Type

Aggressive cluster has 5 sub-clusters. Normal has 10 sub-clusters. Dynamics has 7 sun-clusters and Conservative has 15 sub-clusters Note that the more features that are involved in the extraction of features, the more conservative the results because more market conditions are taken into account.



Output Criteria
The results can be initially filtered by minimum P-long, minimum P-short and minimum Significance S. Alternatively, all results will be shown by checking the Show All Results box. P-long and P-short values range is from 0 to 100. Values above 60 may indicate a good directional bias when the value of Significance S is greater than 3.



Detrend option

If the option is marked (default choice) the results will be adjusted for the presence of a trend based on a proprietary algorithm.



Run Date

The default run date each time the program runs is the last date of each data file. You can specify a different run date by first marking the appropriate box and then inputting the date in YYYYMMDD format. Note: if the run date specified does not exist but it is inside the data file date range the calculations will be made based on the previous date. For example, if the run date falls on a Saturday, the previous Friday's data will be used for last date for each file. If the date range is outside the date range, then the last date in the data file will be used. The user is responsible for specifying the proper Run Date.



Default workspace

You may mark a workspace as the default workspace of the program by checking the box next to Default workspace.



A default workspace will load automatically when the program is first executed if the Show Default Workspace option in the main program menu is checked, as shown below:



To create a new input line, click on the first empty scan line. After the file and parameter selections, click on the hand icon pointing downwards. To delete a line, click on that line and hit the DEL key, or use the hand icon pointing upwards to remove its contents.



Saving the workspace and Running for results

Click Save to save the workspace. Click Run or hit the F3 key to run the workspace. .


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Running calculations


Running calculations

To start the calculations, click Run after you create and save the workspace. The progress bars will indicate the progress of the calculations:



The first progress bar, Evaluating sub-cluster features, shows the group (Index) of sub-cluster the program is working with and the parameter line number

The second progress bar, Processing data, shows the data file used in the calculation

The third progress bar, Applying Target and Stop, shows which profit target and stop-loss pair is applied in terms of their position in the T/S file.

Useful information about the learning process is found below the progress bars.

The main cluster type is shown. The percent of calculations completed is displayed and that takes into account all parameter lines.

The deep learning efficiency can be low, average, high and very high.  If percent completed is more than 75% and efficiency remains low, this should be a warning that it may be advisable to terminate running and consider changing parameters.

Total features tested refers to extracted features and Total accepted features refers to strategies identified from the extracted features. These numbers should much at the end of the calculations.

Total predictions is related to the number of signals generated by accepted strategies.

The above information allows the user to evaluate progress in real-time and to decide whether to continue or abort to save development time.

Clicking Abort terminates the calculations. No results are saved in this case.


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Workspace results


Workspace results

As soon as calculations are completed, the results are displayed on the screen. Below is an example for Dow-30 stocks as of the close of March 3, 2017.



Saving the results

To save the results click File on the main menu and then Save.



Opening saved results files

To display results already saved click Results from the main program menu, then select Results and then select Open. Open last displays the most recent results generated by the program.



Saving results in .CSV format

One option to save results in CSV format is by clicking File from the main menu and then Save in CSV format.



Results options

Sorting results. You can sort the results by P-long, P-short, P-delta, S, P-delta*S, Signal and Last Date by clicking on column labels. (This last sorting option comes handy for checking if there is last date mismatch for some securities.

Click Stats for a list of useful statistics calculated from the displayed results. This function is useful especially when considering indicators derived from an index, such as the Dow Jones. For example, one may look at the proportion of stocks with positive or negative short-term bias. The statistics calculate the average PL (P-long) and PS (P-short) also the significance-weighted average PL (P-long) and PS (P-short), as well as, the fraction of securities with positive short-term bias PL (P-long).

Click Save to CSV for quick save in RESULTS directory with name LongShort.csv. This file is replaced each time this option is chosen and a backup copy of the previous file is saved with the name
LongShort.tmp

Click Top/Bottom 10% to display the top 10% and the bottom 10% securities according to current display. Note: Often it is better to sort the results first by clicking appropriate column label before using this option. For example, you can sort first by highest P-delta or P-delta*S after clicking on the corresponding column label and then use Top/Bottom 10% to get the results. Below are the results from using this option after sorting for highest P-delta.



The above results can be saved in CSV format for further processing by clicking Save to CSV.

Click L/S P-delta *S at N to sort results by product of P-delta and significance S.> N and < -N. In the example below, N is set to 50:



Click L/S P-delta *S 50/50 to sort results by product of P-delta and significance S and with equal number of long and short. You may have to retrieve  original results first as all operations are performed on displayed results.



Click close to close the results. In case you do this accidentally, you can retrieve last results from Results menu.

Click Returns to calculate next bar returns based on equal allocation for the securities in the results. Historical data must be available for the next bar after Last Date for this function to work. Below are the results for a Top/Bottom 10% portfolio after sorting for highest P-delta*S. Note that the returns are calculated from next bar open to close.



Note: At any time you can use Open from File menu to reopen the results or Open Last if these were the last results generated by the program.

















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Definitions and Interpretations


Definitions and Interpretations

Each line in the results corresponds to a calculation for a single data file, T/S file and corresponding trade parameters.

Definitions



File Name is the data file name (without the extension) used in the calculation

TS is the name of the T/S file used

Trade on is either Open or Close

C indicates the type of exit applied, % stands for percentages, pts for points and NC for next close exit. In case NC is indicated as the exit, any Target and Stop values specified in the T/S file are not used.

P-long is the long value feature PL

P-short is the short value of the feature PS

P-delta is the result of P-long minus P-short

S is the significance of the values

P-delta*S is the product of P-delta and S

Signal is Long or Short

Last Date is the most recent date (last) in the data file

First Date is the first date (oldest) in the data file

Sorting the results

Result Interpretation

P-long and P-short range between 0 and 100%. Possible trigger levels for long and short positions are:

Long signal when:  P-delta = P-long - P-short > L
Short signal when:  P-delta = P-long - P-short < -S

Where L and S are positive numbers and should be greater than the level of winning bias desired. For example, if L = 10, then this is equivalent to having a winning bias of 10% (P-long of 60.) The higher these numbers are set the less frequent will be the values that trigger a position.

In addition to P-long and P-short values, one could use a measure of their significance S in order to avoid cases where the trade sample is not large enough.  The following are recommended:

No significance:  S = 0

Low significance: S < 4

Medium significance:  3 < S < 8

High Significance:  7 < S < 11

Very high significance: S > 11

Statistics

Click on Stats for useful statistics about the results:



Calculated statistics include:

- The number of files in the results
- Count of results with positive P-delta
- Count of results with negative P-delta
- Ratio of results with positive P-delta to total results
- Average PL
- Average PS
- Average PL weighted by significance S
- Average PS weighted by significance S

Note: Calculations change on a daily basis and as a result any signals derived from them Therefore, the calculations are valid until the close of the next day when they must be repeated after updating all data files


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File Maintenance


File Maintenance

From the main program menu click Tools and then File Maintenance.



You can use the File Maintenance tool for housekeeping purposes. Clicking the appropriate button on the left provides a list of related files. You can delete files by marking the box next to them or you can delete all files by marking Select All.

If you have saved workspaces, results, T/S or data files in directories of your choice, click the appropriate button on the left to activate the file extension and then search for the directory where the files are located.

Warning! Deletion of files is permanent and they cannot be recovered. Exercise caution when deleting files, especially with extensions .txt as they may be not related to DLPAL. By using this tool you confirm that no one associated with the development and sales of DLPAL will be held responsible for files deleted when using this tool.

Merging Results

This function is very useful especially when combining different results files from multiple instances or runs of the program. Click Results, go to the directory where the results files to merge are located and mark the files to merge: Then click Merge, select the location to save the new file and a name for it and click Save. You can then Open the new file from results to work with it.










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Data File Test


Data File Test

From the main program menu click Tools and then Data File Test:



You can use the Data File Test tool to check for errors in data files such as:

1. Bad format
2. Open and/or Close outside High-Low range
3. High less than Low
4. Zero values
5. Change in Open, High, Low or Close larger than 40% from the previous bar

A list of all files in the default DATA directory is first displayed but you can select any directory you like. You can select the files to test by marking the box next to them or you can have all files tested by marking Select All.

Note: The errors reported on the screen are also saved in a text file called Errors.log which can be found in the default Results directory.


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Data Partition


Data Partition

From the main program menu click Tools and then Data Partition:

You can use this tool to create in-sample and out-of-sample files from original data files. This tool greatly simplifies data partition for single or multiple files at a single click. Just select the source directory and the parent target directories for in-sample and out-of-sample as well as the date that separates the two samples and the tool does the rest. The in-sample and out-of-sample directories are automatically created if they do not exist and are named Insample and Oosample, respectively.



For proper operation of the tool you must select the source directory and mark the file(s) you want to include in the partition and the parent target directories for the in-sample and the out-of-sample. All files in a directory can be partitioned by checking the Select All box. You may elect to create only an in-sample file or only an out-of-sample file or both. The date that separates the samples must be defined in the appropriate box. In the following example, three files are marked (DIA, QQQ and SPY) from which to generate an in-sample and out-of-sample files. The out-of-sample in all of the files will start after 20100101:



After clicking Create, the following message is generated:



After clicking OK the directories are refreshed with the new sub-directories and files:



Note: The Create button becomes inactive after samples are created to prevent any errors from repeated operation. The tool must be closed and reloaded to create new file samples.

Hint: You can create in-samples of in-samples and out-of-samples of out-of-samples or insamples-of out-of-samples and out-of-samples of in-samples, or any other combination,  by specifying the proper parent directories.

Warning! Be careful when using this tool as files are overwritten and older files cannot be retrieved. By using this tool you confirm that no one associated with the development and sales of DLPAL will be held responsible for any files deleted when using this tool.


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Price Series Statistics


Price Series Statistics

From the main program menu click Tools and then Price Series Statistics:

Select a price series from a data directory in proper format and click Open and then Calculate Statistics:



The calculated statistics include the following:

Start date of the series, End date of the Series, Number of bars in the series, Mean value based on the closing prices, the minimum price, the maximum price, the date of the minimum price, the date of the maximum price, the number of up bars, the number of down bars, the percent change from the first to the last date and the change in points.

The price line chart of closing values also shows horizontal line at the mean closing value.

To Zoom a chart area, hold the left mouse button and draw a rectangle around selected area. To restore the zoom, drag a rectangle in the opposite direction (up/left)

The chart of arithmetic returns plotted on the bottom are calculated at each bar n as follows: Return[n] = 100 x (C[n]/C[n-1] - 1)

The first differences are calculated as the difference C[n] - C[n-1]

Below the chart of percent arithmetic returns the statistics displayed include the mean value, the standard deviation and the percentage of returns that fall within two standard deviations of the man.

Warning: Descriptive statistics such as the mean and standard deviation do not always reflect market risks due to non-normal distribution and fat tails.


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Feature History Generation


Feature history generation function

This function allows generating and updating files with historical values of features that can be used wit in the development of a variety of trading strategies and with machine learning algos. The function allows:

- Creating historical features files for a single security, a group of securities and an ensemble of securities
- Updating of historical feature files with new instances as new data becomes available for a universe of securities.
- Creation of train/test and score files for a universe of securities from the historical feature files
- Saving and loading of default settings
- feature and train/test files maintenance

Please read below before using this function:

1. This function should be used with data in the daily or a higher timeframe.
2. All operations of creating historical data files, train/test and scoring files are performed in the directory specified in History parameters
3. To generate history files for a group of securities, the Select All files box must be marked
4. Always make sure that you have enough historical data for the securities considered before applying this function
5. The History length (in bars) should be no larger than 50% of the history length of the security with the shortest history in the group
6. Initial generation of history files may take in the order of a few hours to even longer depending on the number of securities in the group and instances (bas) specified
7. After the initial generation of history files, updating and generation of train/test files is a faster operation
8. Files with historical feature values have the following header: Date, Open, High, Low, Close, PLong, PShort, Pdelta, S. The files have the same name of the original data file and extension .pih
9. Train/test and scoring files have the following header: Date, Open, High, Low, Close, PLong, PShort, Pdelta, S. Target class label is added to train files. Train files have extension .pit and scoring files .pis
10. The target is a binary class of 0 or 1 based on the sign of the return one period in the future. For EOD data, 1 means that the close of next day is higher than the close of today and the reverse for 0
11. If you would like to create history, train/test and scoring files for just one security, you can save only the historical data for that security in a directory and then use the Select all files option
12. Ensemble history files have the following header header: Date, avgPL, avgPS, Pratio, avgPLS, avgPSS and are saved as pi.pie in the relevant directory.

For more information about the meaning of the parameters in the headers of the history files please read the section on Definitions and Intepretations.

Using the feature history generation function

From Tools select Create feature history. Below is the screen with the available options:



You may select just one security to create a history file or a group of securities. If you select only one security, then the option to create history for all files will be ignored.

The following must be specified on the workspace

1. T/S file
2. Data file(s)
3. Trade parameters: Exits based on percentages (%) of entry price, points (pts) added to entry price or Next Close (NC). Trade Inputs are the Open or Close
4. Major Cluster Type: Normal, Aggressive or Moderate. Typical use is with the Normal cluster
5. Detrending option: If the option is marked the results will be adjusted for the presence of a trend based on a proprietary algorithm

To Select a T/S file

Select a T/S file from the appropriate directory. Click on a file to highlight it and then click the hand icon pointing down to move it in the selection field. Alternatively, you can just doubleclick a file and it will automatically get selected. To change the T/S file click the hand icon pointing up and repeat the selection process. Note:in the case that next close (NC) is selected as the exit parameter, a dummy T/S file must be selected with just one pair of target/stop values but these will not be used by the program.



To Select data file(s)

Select the directory where the data files are located and mark the box next to the option Select all files, to select all files in the directory specified (default option). If this option is checked, the same T/S file, Trade Parameters Major Cluster Type and Detrend Option will apply to all data files. Note: To select a single file from a directory you must first uncheck the box next to the Select all files option and then highlight the file to scan.



Trade Parameters

Specify the type of exits (percent or points) to be used with the profit target and stop-loss values in the T/S file, or next close (NC), by selecting % for percentages of entry price, pts for points added to entry price, or NC for next close exit. Specify the type of trade input by selecting either Open or Close. If Open is selected then the entry price will be the open of the next bar. If Close is specified, then the entry price will be the close.



Major Cluster Type

Aggressive cluster has 5 sub-clusters. Normal has 10 sub-clusters. Dynamics has 7 sun-clusters and Conservative has 15 sub-clusters Note that the more features that are involved in the extraction of features, the more conservative the results because more market conditions are taken into account.



Detrend option

If the option is marked (default choice) the results will be adjusted for the presence of a trend based on a proprietary algorithm.



History options

History length (bars) specifies the number of instances in the output files(s).

Create history for all files instructs the program to generate files with features for all data files in specified directory. If only one file is selected, then this option is ignored.

Create ensemble history instructs the program to create ensemble features taking into account all data files in the specified directory.



To create a new History parameters line, click the hand icon pointing downwards. To delete a line, click tine and hit the DEL key, or use the hand icon pointing upwards to remove its contents.



The following additional options are available:



Save default settings

Click this option to save the settings History parameters in the computer registry. No other parameters are saved except those shown in the History parameters.

Load default settings

Click this option to load the saved settings

Delete history files

This option will delete all history files in the directory specified in History parameters only. Be extra careful when using this option.

Update history files

This option will update all history files (*.pih) in the directory specified in History parameters. Ensemble files (pi.pih) cannot be updated in this version and that may be done manually.

Delete train and score

This option will delete all train/test and scoring files in the relevant directory under Data File in History parameters.

Create train and score

This option will create two files for each history file in the directory specified in History parameters. Check all files must be checked. For single securities, save the historical data in a directory just for that security and then mark Select all files.

Click Run to create files with historical values for features.

Examples

Below is a screenshot of a file with features for AAPL:



The features are added for each instance after the Date, open, high, low, close values.

Below is screenshot of an ensemble file for all Dow 30 stocks:



Note: Ensemble files contain only the date and values of ensemble features and cannot be automatically updated but any updating must be done manually by defining the proper number of bars












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Disclaimer


Disclaimer

PLEASE READ CAREFULLY THE FOLLOWING DISCLAIMER

The trading strategies and systems developed using the Deep Learning Price Action Lab (DLPAL) software do not and cannot guarantee that you will make profits, or minimize losses of new or existing market positions. Any trading strategies or systems developed or included in the software are intended merely as examples and none is recommended. Note that results based upon hypothetical or historically-tests do not necessarily compare to results of actual trading. No hypothetical or historical trading record can completely account for all risk factors present in actual trading. There is no guarantee that any hypothetical or simulated trading results will produce comparable actual trading results. On the contrary, there are many known and unknown factors which may contribute to wide deviations between hypothetical and actual trading results, such as market liquidity and human emotions. Trading involves substantial risks, including possible loss of principal and other losses. The DLPAL software is designed to provide a training tool for trading system development. It is licensed to you with the understanding that its author of the program is not engaged in rendering any investment or other professional advice. If investment or other professional advice is required, a licensed professional should be consulted. No one, whether an employee, agent or representative of the author is authorized to provide any such advice, and any such advice, if given, is in violation of the author policy.

U.S. Government Required Disclaimer - Commodity Futures, Trading Commission Futures, Derivatives and Options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures or options. The past performance of any trading system or methodology is not necessarily indicative of future results.

CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.



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Contact information


Contact information


Web site: http://www.priceactionlab.com/





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Copyright notices


Copyright notices

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Parts of this help file were developed with Shalom Help Maker

Get tour free copy here www.danish-shareware.dk/soft/shelpm/

The Software and its documentation contains registered and unregistered trademarks of Tradingpatterns.com and trade names of other companies. In certain cases, registrations therefof are pending.

Warning: This computer program is protected by copyright law and International treaties. Unauthorized reproduction or distribution of this program, or any portion of it, is strictly prohibited and may result in severe civil and criminal penalties.

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