Heidi 3 is now live. New system output explanation.

Written by Forex Automaton   
Friday, 12 April 2013 10:27

In April 2013, Heidi was upgraded to version 3. This version is believed to greatly increase the number of pattern types the system is sensitive to, by providing the ability to adapt to the so-called reversion to the mean. The structure of the output has been changed, new types of quantities have been added. This document is intended to serve as an addendum to the original user manual, explaining the new output.

Heidi and Danica output formats have been unified. For Heidi, this will lighten the information burden on the user. At the same time, more relevant information is added: the systems now publish their trading positions along with risk capital allocation in special units.

Internally, the system classifies each forecast and keeps track of historical profitability of each class. For Heidi, a time period of the day is part of the classification scheme. Strategy is based on the historical P&L expectations within the class, and consists in taking a position in accordance with the expected profitability, with the position size proportional to the ration of the expected return to the statistical precision with which such expected return is estimated. Return expectations in the class have to exceed one standard deviation for the forecats to result in a position. The quantity listed as position is the ratio of return expectation to its precision (standard deviation). A "-" symbol instead of a quantity in the position field indicates that the forecast did not qualify as a valid one to open a position.

P&L numbers for the strategy are listed in units, relative to the quote, for all time and the last 50 updates. The P&L numbers have been reset before launching the system and therefore they do not include back-testing performance. The P&L numbers are per-trade averages and are accompanied by statistical precision estimates.

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Last Updated ( Saturday, 13 April 2013 15:23 )

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