The following two steps are required to set-up a strategy scan:
1. Create a T/S file
This file contains the profit target and stop-loss values to be applied to the scan. 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 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 scan 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.
2 Create a scan workspace
In the workspace you specify the T/S file to use, the historical data file and the trade and scan performance constraints. Note: in the case that next close (NC) is selected as the exit parameter on a scan workspace, 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.
Note: When creating a scan workspace you may introduce multiple scan lines each with different data file(s), T/S files and parameters.
The scan function determines if there are strategies formed as of the close of the last bar in the data file that satisfy the performance constraints specified on the scan workspace. This function is especially useful for scanning a universe of securities, for example the S&P 500 stocks, or a number of futures or forex contracts. The scan function can be used to discover new strategies on a daily basis to add to the database or Signal Tracking.
Using the scan function on a daily basis for determining the presence of new strategies is the recommended use of the program in the daily timeframe. On a daily basis, the updated historical data files can be used in a scan workspace to get the signals from strategies and to determine whether there are some new signals. Validation should be used to test the significance of the signals.
Note: The best way to become familiar with a program is by actually working with it. There are many ways to use DLPAL depending on user’s experience.