General Settings

At Quansium, a setting with the value of "0" or "--" indicates the feature in question is deactivated. Often times, the default value are these causing the system to not show any trades until the user configure the mandatory inputs.

Direction

It allows the system to open specific type of trading positions. Values are "Both", "Long", and "Short".

Risk Profile

It controls the risk taken per trade. They act as preset position sizes values. Lower "R" will use less capital which will affect the expected returns vs risk. The default is "R2", which is the most optimal of them all. Higher values are for those with more risk appetite, which want to maximize the profits generated. Values are "R1", "R2", and "R3". Higher "R"s will produce higher profits but also larger losses. Drawdowns will be much steeper and more frequent but also last less.

Example: a "R2" setup has a drawdown of 12% in the course of 2 months incurring each month a loss of 6%. Now same setup using "R3" would have a 14% drawdown in 1.5 months (notice it is 2 weeks less than with "R2"). So "R3" will produce more drawdown on less time resulting on an approximated monthly loss of 9%, an increase of 50%.

To resume, increasing "Risk Profile" doesn't usually affects as much the "Maximum Drawdown" and it actually boosts the "Net Profit" quite nice. But due to the phenomenon explained in the example above, it has a greater effect on the loss incurred every month which affect the most the reward to risk ratio that take place on a monthly basis.

Reward Ratio & Trailing Ratio

We call these risk ratios, they replaced all the "Stop Loss", "Take Profit" and "Trailing Stop" that were based on percentage which were not adaptive. The days of fixed values are over at Quansium. The market is always at a state of change so why should the inputs we use be static?

First of all, a ratio is the quantitative relation between two amounts showing the number of times one value contains or is contained within the other. So the key question is which value are these risk ratios connected to?

Risk ratios are linked to the value of the adaptive risk taken on each trade. "Reward Ratio" is the equivalent of an adaptive "Take Profit" while "Trailing Ratio" of a dynamic "Trailing Stop".

Keep in mind, there are three mechanisms in play: "Stop Loss", "Take Profit", and "Trailing Stop". "Stop Loss" is automatic and kept very low to meet the standard levels of safety. The "Trailing Stop" works in conjunction with the "Stop Loss", both protect the downside of the trade. Since the later is kept as tight as possible and both compete with each other; it would make sense that a high "Trailing Stop" will stay more dormant than active. On the other hand, the upside potential is kept unchecked and it is only managed by the "Take Profit", so it can take higher values than that of the "Trailing Stop". It is because of this, that a good rule of thumb for risk ratios will be to use a "Trailing Ratio" value that is less or equal to that of the "Reward Ratio".

Commission

This simulates order execution with custom trading fees. Commissions are turned off by default. In order to build a setup that is as close to real world conditions, it is imperative the user fills this based upon their broker or exchange data.

This setting can be found under the "Properties" tab in the "Backtest" module of our systems while on the "Alerts" one under the default "Inputs" tab as the other settings.