How do you configure market profiles for a strategy on Vantage Signals?

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2021-12-11 17:16

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These two videos cover the configuration and application of market conditions and market profiles within a strategy. We also have a tool specifically for building market profiles which is covered in another explainer. The video above covers the core concept of market condition based profiles and associating algorithms to market profiles. The video below covers configuring best signal and any signal market profiles

The value of the market profiles is that they give users the ability to specify an array of algorithms in a single strategy and then use the best algoritm to signal and that best algorithm is definable in numerous ways.

  • Market Conditions: Only use an algorithms signals if the market conditions are similar to conditions it performs best in. Ex: Users could have a bull, bear and sideways algorithm, each automatically used when we have the market condition each algo was designed for.
  • Best Signal: We have a complex algorithm to assess which algorithm is performing best. The algo validates reliability, gains, total gains, avg gains and avg loss to assess which running algorithm is currently performing best and we will use that Algorithms signals.
  • Any Signal: We can specify that we will listen for signals from any of the configured algorithms. We also have the ability to use platform organic metrics set minimum reliability and gains to only use signals of which their algorithms are currently performing to a minimum level.

These mechanisms give users the ability to create dynamic strategies that adapt based on market performance or underlying algorithm performance. Below is a video that covers using best signal and any signal market profiles on Vantage Signals.

Below are a couple of screenshots the current interface for configuring Market Profiles with a few details, however, we recommend you watch the two videos above for a more complete picture of how this feature works.

  • Cycle and Threshold specify how aggressively we should poll the exchange value when chasing a an entry or exit with a Trading Stop Buy(TSB) or Trailing Stop Loss (TSL)  or Stop Loss (SL) and Stop Buy (SB). The threshold says we need to see the price break TSB/TSL/SL/SB criteria for this many cycles. The above configuration will check the exchange every 15 seconds and fire the firs time it sees a criteria met.
  • Users can define separate entry/exit signals stop buy and stop loss settings for each market condition defined.
  • Users can define a bull entry and bear exit signal for their strategy or vice versa if this is entering the market short.
    • An entry signal/algo is required however a user is not required to have an exit signal/algo and can choose to simply exit on SL/TSL alone.
  • Users can set fill or kill requirements for entering a trade, if we don't see TSB/SB criteria pass within this timeframe, we kill the entry and wait for a new signal to try to enter again
  • Stop Buy and TSB (SB/TSB) specify a percent that the asset needs to either go up to trigger a buy or an amount it needs to come up from its lowest point to enter a trade.
  • Stop Loss and Trailing Stop Loss (SL/TSL) work to limit your losses and maximize your gains. Using a SL will cause you to bail on a trade if it losses this amount, preventing you frm incurring more losses on a bad trade. The TSL has two values, the first that says how much this asset needs to go up to trigger this, the next value states that once the asset goes up by the trigger amount, we should sell if it losses this % but we track the highest price incurred and sell the asset at that % from the highest price incurred.  For example a 6/-4 SL/TSL would require the asset to go up  at least 6% to trigger, then if it wen up 12% and pulled back 4%, we would sell and lock in 8% gains

The above assigns signals and trading configurations for each market condition but we also need to define those market conditions. Below is a capture of the market profiling engine built into Vantage Signals Strategies.

  • Choose from any 3 profile types, Any Signal, Best Signal or Market condition based profiles
  • Passing conditions required to trade will prevent the system from using an algorithm solely based on it being the lowest priority (1). Without this checked, if all algorithms fail their checks, we would use the algortithm with the lowest priority set.
  • Name each market condition as the users please.
  • Choose what market we should be using when evaluating this criteria, Global, Derivatives or a direct exchange.
  • Priority helps to choose which algorithms signals we should use when there is a tie or both algorithms pass their criteria.
  • Market condition profiles can set an arrange of criteria from price, volume, orderbook, volatility and market dominance to reliability, gains and  consecutive.
  • Users can add and remove market conditions to any profile. We recommend running the market profiler for this asset during a timeframe this algo performend well to assist in defining market profiles ideal for trading this asset.

Watch the videos for a lot more details not covered in this short text outline.

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