An Overview of TREE: Figure 4

Figure 4: Here we have zoomed in the display of Figure 3 to cover about a week's worth of trading, and have added some more items to the display. In the top pane, a small triangle marks the time and price of each transaction, and purple lines indicate the current price level of the system's active entry and exit stops. The step lines indicate the current outputs of the fractal high and fractal low detectors. The middle pane is just the system's trading position (+1 for long, -1 short, 0 flat). The bottom pane is the trend filter's output (which is always +1 or -1 in this system). A pop-up window at the right shows the exact data values at the time point indicated by the vertical green cursor line.

A view like this is invaluable for examining and debugging the system's behavior. In this example we can see two places where the system was stopped out of a trade, but immediately re-entered because the price was still outside the fractal channel. Both of these re-entries led to losses, which suggests that the trading rules should be altered to prevent such a re-entry.

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