Auto Optimizing Indicators
Amazing trading indicators that can self-configure to the best settings on any chart! Now you can automatically discover how tradable an indicator's setups are.
Available now for NinjaTrader 8. See pricing.
(Versions for MetaTrader and MultiCharts scheduled for first quarter of 2020.)
Get another standard indicator or your own indicators upgraded to auto optimize! See pricing.
Traders use indicators - but how do we know if it is the best indicator to be using right now on any particular chart? How can traders know if the settings are good?
Can just eyeballing a MACD on a chart tell us if it is wise to trade with it? What are some potential metrics from trading (for example) zero crosses of the two MACD lines?
Wouldn't it be good if the indicator could tell us? Imagine an indicator that would automatically find us the best settings, and measure how good they are!
TradingCoders has developed technology for indicators to run thousands of variations of themselves, analyzing the results to find which signal on which settings are currently the best. Not just the best generically on any chart, but the best on this chart, right now.
Now you can easily find out if an indicator with any of thousands of settings and a variety of signal setups is working well on a particular chart.
Discover more in this video.
Get the best parameter settings and metrics for
the last n signals
signals over the last n bars
signals over the last n days
Our AutoOptimizing indicators use Edge Ratio (also known as e-ratio) to measure signals' profitability.
First we find the Maximum Favourable Excursion, which is how far price went in the signal direction.
Next we find the Maximum Adverse Excursion, which is how far price went against the signal.
Do that for a bunch of signals, normalize via volatility, and take the average of MFE/MAE. That's the Edge Ratio. Any value greater than 1.0 means that price is moving more in the signal's direction than against it. Higher values are better - at least 2 would be good, showing that price moves twice as far in your favour than against you. 3 or higher would be awesome.
Indicator signals are of course just a trigger; they aren't a full trading system with exits and profit targets and stoplosses etc. So we measure Edge Ratio using a number of bars following the signal, for example the next 5 bars.
Also included in the TradingCoders AutoOptimizing Indicators is an option to measure longer runs, up to the Next Pivot Point. This is the next high swing (for bullish signals) or next low swing (for bearish signals), illustrated here in the EURGBP 60 minute chart.
Testing with the Next Pivot Point can produce some very high Edge Ratio values, since the analysis can "stay in a trend" and capture the ultimate price level of the move.
The AutoOptimizing indicators can be used like a standard indicator, as well as being automatically optimized. You can test each parameter over a range of values, from min value to max value, stepping up by a configurable amount. e.g. from 4 to 10 every 2, like this:
4;10;2 . (min;max;step)
This would test the values 4,6,8,10,12
Avoid very large optimizations; it can occupy a lot of your computer memory.
The indicators also have alert options and email options when realtime signals occur.
Changing the input DataSeries from Close to Typical or Median (or even a short-term moving average such as a ZLEMA) can help smooth the prices coming in and thus the signals found, producing better results. (Note that the EdgeRatio is always calculated properly on bar prices.)