signal statistics

3 posts / 0 new
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Mon, 11/11/2019 - 21:00
#1
chrisw
Last seen: 3 years 9 months ago
Joined: 06/10/2019 - 20:31
Zig Zag Oscillator and Delta Since Last Pivot

Hi,

I'm using the Zig Zag Oscillator indicator to calculate the delta for legs of 25 ticks or more on the ES, and the Zig Zag indicator to "box" the leg on the price bars. Can an option be added to Zig Zag Oscillator to show only the final value of "Delta Since Last Pivot" across the entire pivot? It's kind of functional now, but because the histogram plots for each bar it can get visually confusing.

Of course, this is functionally equivalent to showing delta on a leg of the Zig Zag indicator, but I'm already using that for a smaller definition of a leg at 12 ticks.

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2 posts / 0 new
Last post
Fri, 09/13/2019 - 11:50
#1
Fiber
Last seen: 6 years 9 months ago
Joined: 09/02/2019 - 08:02
How to get Statistical calculations for portfolio?

Hi, I'm trying to calculate stats not on one symbol but for portfolio. Lets say I want to count gaps bigger then x percent.
I built a Signal and used it with Signal Statistics to get result for one symbol. In my case I want to calculate more variables and for many symbols at once.
In the Homework #10 there are example how to use backtesting and Long/Short trades at the session end to calculate desired result.
But in this case can get max 2 results ( by number Long and Short trades)

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Signal Statistics (SSTAT)

The Signal Statistics indicator (SSTAT) enables statistical calculations on any signal, including summation of consecutive signals, frequency, returning various metrics at or since the last signal (or Nth Signal Ago), MAE/MFE metrics, and more. The available statistics can be split into 2 categories: