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Investor/RT
What's New in Version 7.6.3
The new features and miscellaneous enhancements outlined below were
introduced in the 7.6 Version.
Product Enhancements for
Version 7.6.3
Release Date: February 28, 2005
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Version
7.6 Rev 3 Fixes, Miscellaneous Enhancements
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The Setup Optimization window was not responding to the tab or shift-tab
keys for tabbing through the window's controls. This has been corrected.
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The Setup Optimization window has a Cancel button. This may be used to
cancel a running optimization, or to close the Setup window when an
optimization is not running. The esc key is equivalent to clicking the
cancel button. The enter key is equivalent to clicking the "Optimize"
button to initiate the optimization process.
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The Optimization report window now highlights the column heading of the
"sort-by column" by enclosing the column heading in [brackets].
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Improvements were made to custom columns to eliminate internal XVT error
messages when the TSYS (Trading System Indicator) is used as a custom
column.
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The Schedule Action "Open Group" was enhanced. Instead of presenting the
user with a list of objects that may be opened, the "Open Group" action
now opens each of the objects in the group, including the objects in any
subgroups.
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Item #7 above describes a method whereby an Investor/RT user can email
definition text directly from the program. The File: Import command has
been enhanced to enable the recipient of such an mail to "paste"
(import) the definition directly into Investor/RT. Simply copy the text
of the definition to the clipboard in your email program, then go to
Investor/RT and issue the File: Import: Definition from Clipboard...
command. Note that the first line of text in any Investor/RT definition
has the format:
BEGIN Investor/RT <type> DEFINITION for <name>
where <type> is the object type (CHART, QUOTEPAGE, or SIGNAL, etc.) and
<name> is the name of the object. If Investor/RT does not find the
"BEGIN" line as the first line of the clipboard text, the import will
fail and Investor/RT will display the raw text it found on the
clipboard.
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Scans, Signals, and Custom Indicators may now be saved with names that
end with a numeric digit. At one time, this restriction was enforced to
avoid confusion in token names since numeric suffixes might be mistaken
for the bars back qualifier. However, since references to scans,
signals, and custom indicators within an RTL formula are now done with
the SCAN, SIGNAL, and CI tokens respectively, the name of the scan,
signal, or custom indicator is simply a property of the token. Names may
now be composed of any alphanumeric characters and underscores of length
less than 32 characters. Note that token names in RTL that end with a
numeric digit follow the convention established by V#n and T#n user
variable tokens: a token may end with a digit or series of digits if the
digits are preceded with a # character. For example, you use a 25 period
moving average in your RTL formula, you can name the token MA#25 if you
wish and use the notation MA#25.1 to refer to the previous bar's value
of MA#25. But MA25 is a invalid token name since the digits in the token
name are not preceded by #.
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Version 7.6 Rev 2 Fixes
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A bug was introduced into version 7.6 Rev 1 that was causing
incorrect/unreliable backtesting results for all but the simplest of
trading signals. This has been corrected (quickly).
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A bug concerning custom instruments that reference custom price values
was fixed in 7.6.2. This bug was causing a fatal error when attempting
to edit such a custom instrument definition.
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A bug in the Profile indicator was fixed in version 7.6.1 to enable it
to calculate correctly when there are more than 32,767 bars in the
chart. This fix extended the limit to 65,434 bars. The 65,434 limit has
been removed in version 7.6.2.
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E-mailing Text Files
from Investor/RT
The "Send E-Mail" window has a new button titled "Insert Text
File". This is used to include the text of any file at the end of the
email message body. Investor/RT will prompt you to select the text file.
This feature is designed to enable Investor/RT users to quickly send
chart and other Investor/RT object definitions to
support@linnsoft.com or other
recipients. For example, with a chart open you can use File: Export:
Chart Definition or right-click in any chart and choose "Save: As Chart
Definition" to create a definition text file. Then click the "E-Mail"
button on the main toolbar (or choose File: New: E-mail). An empty
e-mail window will appear pre-addressed by default to
support@linnsoft.com .
Click the "Insert Text File" button and choose the definition file you
wish to send. The definition text will be added to the e-mail body and
the e-mail subject (if not yet specified) will be set for you to reflect
the name of the file being emailed. Then Click Send.
Note: when a file is inserted into an e-mail message, Investor/RT
automatically adjusts the e-mail message body to turn off "word wrap".
This is done so that the definition file will be accurately sent with no
additional line breaks. This enables the recipient to copy the text and
paste it into a file, using Notepad, for example, for import into the
recipient's Investor/RT system. In a future release of Investor/RT, the
File: Import menu will be enhanced with an "Import from Clipboard" menu
item to facilitate importing definitions directly from incoming email
messages.
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Version
7.6 Rev 1 Fixes, Miscellaneous Enhancements
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When running a scan, the RTL tokens NUM and SEQ tell you the number of
ticker symbols in the quotepage being scanned (NUM) and the index of the
ticker symbol currently being scanned (SEQ). These tokens have now been
enhanced to provide similar results when running a backtest. NUM will be
the number of symbols currently being backtested, i.e. the number of
symbols in the quotepage being backtested. NUM will, of course be 1 when
a specific ticker, rather than a quotepage, is specified in the backtest
setup. SEQ will be 1 for the first symbol scanned or backtested and will
increment by one as each additional ticker symbol is scanned or
backtested.
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When sending email from Investor/RT, checking the "CC Me" checkbox in
the lower left corner of the Send Email window assures that a copy of
the message will be sent to your own email address. A minor bug was
fixed that was causing the CC feature to fail randomly.
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A bug in the Profile indicator was fixed to enable it to calculate
correctly when there are more than 32,767 bars in the chart (e.g. a
one-minute chart with a view period of "Last 90 days").
-----------------------------------------
Day by Day Backtest Report Enhancement: Max PullBack. The Day by Day
backtesting report has been enhanced with a new entry titled "Max
PullBack". The new entry might look something like this:
Max PullBack Overall: $(2,861.20) [02/11/2005, 2 days] (1 Day Recovery)
This value represents the furthest the system pulled back and considers
every (start of) day as a potential starting point and every (end of)
day as a potential ending point. The date at which the pullback reached
it's peak is reported, along with the number of days spent in the
pullback, and the number of subsequent days required the recover from
this pullback (or "No Recovery" if it never recovered during the period
tested).
This value differs from the "Max. Adv. Exc. Overall" in two ways. First,
Max PullBack considers every days start as a potential starting point,
while MAE considers only the beginning of the test period as the
starting point. Also, Max PullBack only considers the balance and P&L at
the end of each day, while MAE considers intraday swings.
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Global ARRAY User Variables
The ARRAY user variable token introduced to RTL recently has been
enhanced to support global arrays. The initial implementation of the
ARRAY token (or AV token) required that each array be "instrument
specific". For persistent arrays of values, the array ID (A1, A2, etc.)
is used to construct an instrument specific pseudo ticker symbol (type
Cash) to hold the array values. The Setup for the ARRAY token now allows
the user to specify whether the array is to be instrument-specific or
global. When "Global" is checked, the array ID becomes the actual ticker
symbol used to hold the data for that array. This means that when
running a backtest for example over a quotepage of ticker symbols, the a
global array can be to used to "collect" information for across the
entire list of tickers.
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Support for
Outgoing Mail with Authentication
The Setup: Preferences: Mail & Internet window allows the user to
check a box titled "My Outgoing Server Requires Authentication". When
this is checked, the user can enter the username and password for the
outgoing mail server. Using this setup will enable users whose outgoing
mail server requires authentication to send email directly from
Investor/RT. Formerly, such users were unable to use the emailing
features of Investor/RT. The Investor/RT Software Registration process
makes use of the outgoing mail server to send a confirmation message. An
override code (bypass code) required in prior versions to register the
software properly, will no longer be needed.
Investor/RT supports SMTP standard "LOGIN" type authentication. Support
for secure password authentication (CRAM-MD5 method) will be added in a
future release. The Investor/RT emailer has also been improved to create
a log of the email sending process to enable easier diagnosis of user
specific problems. After attempting to send an email from Investor/RT,
use File: Open: Internet Log to review the transcript of the
conversation between Investor/RT and your outgoing mail server. Send
this log text to
support@linnsoft.com for diagnosis if you have trouble sending email
from Investor/RT. The log file is kept in the admin directory under the
name irtlog.txt.
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New RTL Token
NORM: Normalized Price Indicator
The Normalize Price indiator is now available for use in RTL
formulas using the token NORM. For more information on this indicator,
click here.
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New QuotePage Columns/RTL
Tokens
Four new bid/ask related quotepage columns with corresponding RTL
tokens are now available:
Bid Tick Count (RTL: BTICK)
Ask Tick Count (RTL: ATICK)
Bid Volume (RTL: BVOL)
Ask Volume (RTL: AVOL)
These market data items update in real-time as trades are received for
the instruments you are tracking:
BTICK counts the number of trades that occurred at or below the current
bid.
ATICK counts the number of trades that occurred at or above the current
ask.
BVOL accumulates the trade volume for trades that occur at or below the
current bid.
AVOL accumulates the trade volume for trades that occur at or above the
current ask.
The values of these four instrument properties are reset to zero
automatically the session opens. The values can also be examined or SET
in RTL formulas. For best results, Investor/RT should run continuously
during the trading sesssion. If you quit and startup Investor/RT during
the day however, the values of these items will be retained and will
pick up where you left off once data reception resumes.
There are many interesting ways you can utilize these new tokens to
monitor buying/selling activty for the instruments you track. For
example, you can create a custom indicator with the formula (AVOL/BVOL)
* 100. This formula calculates the percentage ratio of trading volume at
the ask price vs. the bid price. Save the custom indicator, naming it
"Buy Sell Volume Ratio", for example. You may then create a custom
column referencing this indicator for display in your quotepages. Values
near 100 indicate an approximately equal level of buying vs. selling
volume. Numbers above 100 indicate more buying volume than selling
volume, and conversely, numbers below 100 indicate more selling volume.
You can color code the quotepage custom column using rules to improve
the visual effect, displaying, for example, values between 95 and 105
with a neutral background, values above 105 with a green background, and
values below 95 with a red background.
Another way to utilize the Buy Sell Volume Ratio custom indicator is to
track the values of this ratio for specific instruments over time in a
chart. This can be accomplished by setting up the Buy Sell Volume Ratio
custom indicator as one of your "Custom Prices". Do this in Setup:
Preferences: Prices, Custom. For example, assign "Buy Sell Volume Ratio"
to custom price slot P8. Since custom instruments can reference custom
price values, you may then create a custom instrument to track the ratio
historically for any ticker symbols you wish. Here's how:
Suppose you want to historically track the buy sell volume ratio
indicator for ticker symbol INTC. Go to Setup: Custom Instruments.
Create a new custom instrument, assigning it a ticker such as INTC_BSVR.
Setup up INTC_BSVR as a "Sum". It will have only one component. The
component is "INTC", the underlying ticker we wish to monitor, with a
"Value" of P8:Buy Sell Volume Ratio. Note that P8 is the "custom price"
setup previously. Press the Save button. Thereafter, each time INTC
trades, the value of the custom instrument INTC_BSVR will update to
reflect the current value of the buy sell volume ratio indicator for
Intel. INTC_BSVR can, of course, be charted like any other ticker. You
can monitor INTC_BSVR in a traditional chart of any intra-day
periodicity. It is interesting to watch the tick by tick progression of
the ratio in a raw tick chart. To create a raw tick chart of INTC_BSVR
use File: New: Chart, and choose "Raw Tick" as the Type of chart. You
can even add INTC_ABVR to a separate pane of a traditional chart window
containing INTC itself. You can easily observe the correlated movement
of the ratio with the price action in the underlying INTC.
Since INTC_ABVR is tracking the ratio tick by tick, you can also set
alarms on it like any other instrument. Using the automatic stepping
feature of the Investor/RT alarm feature could be useful. Alarms on the
value of the buy sell volume ratio can alert you to significant swings
in either direction.
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Backtest Reporting:
Daily MAE and MFE
The Day by Day backtest report was enhanced with additional
information regarding Maximum Favorable Excursion (MFE) and Maxiumu
Adverse Excursion. In prior releases, the MFE and MAE represented the
most the system was every up (MFE) or down (MFE) overall. New MFE and
MAE "Daily" entries have been added to report the furthest the system
ever got up or down within any given day. MAE and MFE columns were also
added to show how far the system went up or down on each individual day
(or trade/bar if specified). These values can give the user a good
indication of the risk involved in an intraday system.
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Version 7.6
Fixes, Miscellaneous Enhancements
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The Dial/Data (end-of-day) Edition of Investor/RT now has a "Work
Offline" menu item in the Dial/Data menu. The menu item appears with a
checkmark if Investor/RT is currently working offline. Choosing the menu
item toggles back and forth between working offline and normal
operation. While working offline, the feed status icon at the right end
of the main toolbar shows a special "Off" icon. While working offline no
Dial/Data downloads will be attempted when opening chart windows, doing
slide shows, using the chart wizard, etc. Normal behavior resumes by
choosing Working Offline from the menu when the menu item is checked.
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A bug was corrected in the MetaStock daily data import feature that was
causing a fatal error in situations where invalid dates were found in
the Metastock file(s). The current version has improved error checking.
Historical data having invalid date(s) is skipped and the fatal error
condition has been eliminated.
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When Investor/RT emails a quotepage, the "Date" and "Date Time" cells of
the quotepage are now emailed in mm/dd/yyyy format, even if the date
happens to be the current date. The abbreviated "today" notation is
still used to display dates in quotepage cells on screen, but when
emailing, the actual date is sent.
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A fatal error bug was found relating to the use of the TSYS token in an
RTL formula associated with a quotepage custom column. A fatal error
would occur when closing the quotepage containing such a column. This
bug has been corrected.
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Clicking the "Backtest" button in the Trading System window while a
backtest was aleady running would cause a fatal error in the MS Windows
version of Investor/RT. The error would also occur if the user
"double-clicked" the Backtest button. This has been corrected.
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Exporting definitions of charts, scans, signals, and custom indicators
was impossible for those having names including a colon character.
Trading system names containing a colon character could not be
backtested for similar reasons. This has been corrected.
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