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Senkou Span B != the opposite of Senkou Span A

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geektrader

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8 years ago #113979

When SQ generates symmetrical strategies, I´ve often seen entries like this:
 

— Long entry
if LongEntryCondition is true {
   if No position is open then Buy at Ichimoku(60, 30, 548, Senkou Span A) Limit;
   Stop/Limit order expires after 46 bars.
 
— Short entry
if ShortEntryCondition is true {
   if No position is open then Sell at Ichimoku(60, 30, 548, Senkou Span B) Limit;
   Stop/Limit order expires after 46 bars.
 
However, the Senkou Span B is not the opposite of the Senkou Span A. Both are individual parts of Ichimoku:
 
The ‘Senkou Span A is the ‘Tenkan + the ‘Kijun divided by two to indicate an average of the two short-term workhorse ‘Equilibrium calculations. The ‘Senkou Span B is calculated the same way as the ‘Tenkan & the ‘Kijun but it is based on 55 periods (52 in the original setting). The ‘Senkou Span B is the slowest measure in the system, since it holds the largest number of observations in its calculation). ‘Span A also oscillates around ‘Span B similar to the ‘Tenkan/Kijun oscillation, but less frequently. “
 
So it´s wrong if SQ uses the Senkou Span A for long and Senkou Span B for short, as this is like using a SMA for the long entry and a EMA for the short entry – both are MA´s, but have nothing to do with each other in terms of being the opposite to each other. So if SQ creates strategies, it must use Senkou Span A for long AND short, OR: Senkou Span B for long AND short to really create a symmetrical strategy.
 
Hope this get´s fixed… Thank you.


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mikeyc

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8 years ago #131503

Hi geektrader,

 

Well spotted.  I hoping that in SQ4 we can choose what is the opposite when we setup indicators, because for some indicators that have mulitple outputs (like channels), it will depend on the indicator and the strategy (long only, short only or both) what we consider the opposite rule.

 

Cheers,

 

Mike

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tomas262

Administrator, sq-ultimate, 2 replies.

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8 years ago #131555

Hi,

 

thanks for reminding this. I will forward this to Mark since he prepares SQ4 where this can be solved.

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Mark Fric

Administrator, sq-ultimate, 2 replies.

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8 years ago #131572

this is quite individual, because as Mike said it depends on what exactly we consider the opposite value of an indicator, it can depend on other factors.

 

But I’ll try to make it more configurable in the new SQ 4.

Mark
StrategyQuant architect

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mikeyc

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8 years ago #131598

this is quite individual, because as Mike said it depends on what exactly we consider the opposite value of an indicator, it can depend on other factors.

 

But I’ll try to make it more configurable in the new SQ 4.

 

Hi Mark,

 

I think it would just be the case that for building strategies, with an indicator that has more than one output, for each output you would select what is the opposite rule output.  So if a channel had Hi, Lo and Mid outputs, you might select:

 

Opposite selection:

Hi —–> Lo

Lo —-> Hi

Mid —> Mid

 

For a range type indicator (that is like ATR or STD DEV) the opposite would either be itself, or the negative of itself.  So for a range you could select this too. 

 

What do you think?

 

Mike

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Mark Fric

Administrator, sq-ultimate, 2 replies.

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8 years ago #131632

yes, it could be configurable like this.

 

Just the more configuration options we add there, the more complicated the program will be. We have to find some balance, or a smart way to configure it.

Mark
StrategyQuant architect

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geektrader

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8 years ago #131647

I think it would be easy if you´d make kind of a excel-like table in the settings that looks like this:

 

Indicator, Main Entry, Opposite Entry

BBands, BBands Upper, BBands Lower

…………………………..


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