Using smooth features to limit the impact of outliers can potentially result in smoother equity performance of equity long/short and also directional strategies.
Note: Smooth features requires v6.0 or higher and is available as standard feature.
Smoothing of the features is based on a proprietary method. The option to smooth features is included below Major Cluster Types on workspaces.
When a new input line is created, the last column indicates whether the Smoothed features options was checked for that line.
The results include an option to toggle between all long or all short signals and also additional details for next bar return calculations.
Generating and updating historical features files with the Smoothed features add-on
The option to use smoothed features is added below the Major Cluster Type.
A new column indicates whether the Smoothed features option was selected.
Note: Smoothed features offer potential for better performance in the daily timeframe where noise is higher but preliminary studies have shown that in weekly timeframe they may be no benefits or even degradation of performance due to loss of significance.