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Cognitum Research

2012-08-13 07:12
Cognitum Wave Explorer: User's manual
Cognitum Wave Explorer helps you to investigate wave pattern strategies. It is also highly useful for current market situation analysis. “Adviser” service may watch for new trades in real time and send signals to your email account.

Pattern research algorithm bases on the following trading strategy: when preceding price movements satisfy the designed wave pattern, position opens, and immediately two exit levels being set: stop level for limiting losses and take level for fixing a profit. Position exits when any of these levels will be reached.

Installation: Just unpack zip archive to any place and run exe file.

Upgrade: Just overwrite existing installation.

How the main program window looks: left side is a column of sections with lists of added Patterns, Data sources, and Advisers respectively, the rest is a working area. When some pattern is selected, the pattern scheme is displayed with a “Diamond” grid on the right side. Diamond represents all possible take-stop combinations, and when pattern search is done, it shows results in a compact way. Chart below shows equity for selected pattern configuration. Diamond and equity chart are empty before “Run Search” button is pressed.

How it works: you add data source with price bars, add and design a pattern, then you press “Run Search” and after calculations is done you see its results on the Diamond for all stop-take configurations. Select one particular cell on the Diamond grid and you may see an equity chart for the selected stop-take configuration.

1. Pattern

To create a new pattern select “Add / New Pattern” from menu and enter new pattern’s name. It will appear in pattern list and working area will be filled with default pattern scheme. The default pattern consists of three waves and ends up by entering a “long” position. First wave of the default pattern has size restriction of 2% minimal size.

1.1. Pattern’s design

Every adjustable element of a pattern appears with small squares on it, which you can drag with a mouse.

Vertical line on pattern edge shows an area of acceptable edge positions. You can adjust this area as well by dragging squares on line ends. Every edge except first, second and the last has this area.

Edge level adjustment is automatically restricted by these rules:
- if wave goes up, right edge level should be higher than left edge level taking into account areas of acceptable edge positions;
- if waves goes down, right edge level should be lower than left edge level taking into account areas of acceptable edge positions.

Pressing “Add wave” button adds new wave to the right side of a pattern. This new wave goes in opposite direction than previous wave and has the same size. Position levels are moved automatically to the right edge of last wave, stop and take sizes remain the same.

Pressing “Delete wave” removes the last wave from the pattern. Position levels are moved automatically to the right edge of last wave, stop and take sizes remain the same.

Pressing “Invert pattern” changes directions of waves to opposite, sizes remain the same. Position directions will be inverted too (“long” becomes “short”), stop and take sizes remain the same.

When there are some calculation results on the screen, changing the pattern scheme will clear these results (the warning about this appears when you try to change the scheme). This is necessary to ensure that calculation results always correspond represented pattern scheme.

Pressing “Invert position” changes direction of a position (“long” becomes “short”), stop level becomes take level, take level becomes stop level. “Invert Position” button works without recalculation of results.

Selecting a particular wave brings a scale with 0 for the beginning of the wave and 1 for the end. Click the scale area at the left side to hide it.

Last pattern’s wave end is a position enter. Color lines show enter, stop and take levels. If position is “long”, enter level is green (buy), stop and take levels are red (sell). If position is “short”, enter level is red (sell), stop and take levels are green (buy). Black lines limit zones of acceptable stop and take levels. Each zone divided into 10 levels. So there are 10 possible stop locations and 10 possible take locations, totally 100 possible stop-take configurations. All these configurations will be calculated together in one run.

1.2. The Diamond

Diamond represents calculation results. It consists of 100 cells, each corresponds with particular combination of stop and take locations. Rows going from left-top to right-bottom correspond with levels of a position exit located higher than position’s enter (i.e. take when position is long and stop when position is short). Rows going from left-bottom to right-top correspond with levels of a position exit located lower than position’s enter (i.e. stop when position is long and take when position is short). A particular combination of stop and take can be selected by clicking corresponding Diamond cell. When there are some calculations done for the pattern, selecting the cell also shows equity for this particular combination of stop and take.

Diamond can represent either of the two equity parameters: “Profit” and “Sharp” (Sharp ratio). Switching modes can be done by calling Diamond’s context menu with right mouse button. A cell with a maximum value is marked with a dotted border.

Additionally, there is a color scale below the Diamond with a name of the selected parameter and its maximum and minimum values.

1.3. Wave size restrictions

Double click on any wave shows wave restriction dialog form, where you can adjust minimal and maximal sizes in percents or in price units, and minimum and maximum wave duration in bars or in portion of the whole pattern (so it can be from 0 to 1). To remove existing restriction set it to 0.

Default pattern has first wave restriction of 2% minimal size.

1.4. Pattern list management

Clicking right mouse button on a pattern’s name in patterns’ list brings a menu, where you can rename, delete, copy and block/unblock the pattern.

If you block a pattern, you cannot change it until you unblock it. All elements adjustments, adding/deleting waves, inversions become unavailable. Blocked patterns are painted with red color in patterns list.

2. Data sources

There are two ways to get price data into the program: usual OHLC files and Cognitum Updater data server. In latter case the data will be accessible only when Cognitum Updater is on.

To add a data source, select corresponding menu item in “Add” menu. Price data will be loaded on first use. If a calculation is started with an option “Reload” selected (under the “Run search” button), data will be reloaded.

You may set up periodical data reload by typing reload period in seconds into third column of “Data sources” table. If data reload was successful, the cell will be green, otherwise red. To cancel data reload, set its period to 0.

Set transaction cost, if necessary, into “Commission” column. It should be in percents for one side of a trade.

Calculations use only CLOSE field, so when choosing file data source, you may select only DATE, TIME and CLOSE fields in format settings, the rest may be skipped.

Double click on a data source name brings a chart window for the price data.

When you delete a data source from a list, all bound advisers are deleted automatically.

3. Patterns search

When you press “Run search” button two things happen:
- data is loaded from a data source, if it is not loaded before in current working session or if “Reload” option is selected. While the data is loading, equity chart shows “Calculation…” message;
- after the data is loaded, search runs. During search, lower graph shows equity built from already found patterns’ positions.

All calculations, made during current working session, can be accessed from “Calculations” menu.

Equity is built as a simple sum of position results, no reinvestment.

If “Settings / Risk normalization” is on, position result will be normalized (divided) on calculated stop size. This way all positions will have equal risk and results will not depend on absolute pattern size.

“Risk normalization” is off:

Result = 100% * (real_exit – real_enter) / real_enter.

“Risk normalization” is on:

Result = (real_exit – rial_enter) / (calculated_enter – calculated_stop).

All trades are performed on CLOSE bar price. If “long” position should be opened, but price is higher than take price, no position is opened. Same way, if “short” position should be opened, but price is lower than take price, no position is opened.

While search is running, “Run search”, “Trades”, “Save to file”, “Upload to web” buttons are inactive.

3.1. Trades

Pressing “Trades” button shows you list of performed trades. For each trade you can see edges of pattern waves, calculated stop and take levels and trade result. If position is not closed yet, trade result is empty.

Double click on a trade brings a form with additions information on the trade.

3.2. Saving to file

Pressing “Save to file” button saves both graphical area (pattern scheme and equity chart) in one picture file (PNG format).

3.3. Uploading to web

Pressing “Upload to web” button saves both graphical areas (pattern scheme and equity chart) to temporal file, uploads it to image hosting server and opens a browser window with uploaded file.

4. Adviser

If you have a data source with data refreshed in real time (Cognitum Updater can do that), you may create an Adviser service. For selected file and pattern Sdviser rechecks pattern search, and if new position is opened:
- record will be added to a file “advisers.log”;
- message will be sent to Gmail account, if such an option is on.

You can set up Gmail account settings in menu “Settings” – “Gmail settings”.

To create an Adviser, choose a data source and a pattern and then select “Add / New adviser” from menu. Choose a name for the adviser and recheck time in seconds. New adviser appears in the list.

Additionally, a blocked copy of the pattern is created; you cannot change it nor delete it. It is bound to the adviser and will be deleted automatically when the adviser is deleted. Bound patterns appear in patterns list in grey color.

Right after creation Adviser is inactive. To turn it on, right click the adviser name in the list and click “Run” checkbox in context menu. Running advisers appear in the list in green color.

When you delete a data source, all bound advisers are deleted automatically.