Portfolio Boss Documentation

Trade Signals Tab

 

 

This tab shows you the latest trade signals generated by the strategy (usually the current date, but can also be set from the “Date to” property of the Backtest Panel). These trade signals can be sent to you via email/text if the strategy's notification is enabled. 

This tab is located at the Reports Area of the “Backtest Strategy” Page, and it's divided into two sections:

  • the Trade Signals Section, and
  • the Top Ranking Instruments Section.

 

 


 

Trade Signals Section

 

This is where you see the trade signals. They usually appear:

  • one day before the switch-day (for a periodically-switching strategy),
  • when any Position hits the Sell Filter, and
  • when there are instruments more profitable than the Cash or Cash Equivalent Positions, thus the strategy enters the normal/stock Positions (this is for a continually-switching strategy),

in which case you'll see this section populated, and there's a notification balloon on the tab's header:

 

 

It tells you the number of trade signals that appear here (excluding Cash Signals). There's an info at the top that says “Trade signals based on data through [today's_date]”. And below that, the reason the signals are generated (in this case it's a switch day). Sometimes they're generated due to triggering some Sell Filter(s):

 

 

If it's simply replacing the Cash (or Cash-Equivalent) with more profitable instrument Positions, then there's no reason given.

These trade signals are generated one trading day before the orders are supposed to be executed.

 

 

You'll see the date they must be executed, so you must enter the orders to your broker before such a date.

Now, if there are no trade signals, this section simply tells you to hold the current Positions:

 

 

Let's now see the actual trade signals and their columns' description:

 


 

1.  Rank: This column shows the ranking (based on the Ranking Rules) of those instruments that will be traded.

 

 

Any Positions that will be sold (exited) may have whatever ranking here (they will be sold after all, triggering a Sell Filter). But those instruments that will be bought (entered), usually have high rankings (as seen from the Top Ranking Instruments Section). Portfolio Boss will try to enter the #1 ranked instrument, and go down from there.

 


 

2.  Symbol: This column shows the ticker symbol for those instruments to be traded.

 

 

You can hover your mouse over a symbol, and a tooltip-description shows up, with information about its asset-class, the market (exchange) it's traded on, the portfolios that contain said symbol, and the period it's been traded. The symbol is also clickable, which will bring you to its price chart (at the Instrument Tab); there you can see the trading actions for this symbol so far (and how they were triggered based on the strategy's rules, e.g. if the closing price is above the 200-day SMA):

 

 

Remember, those are the trading actions, that is order execution, not the trading signals. The trading signals are generated one trading day (candle) prior to such actions.

Aside from the usual stock or ETF symbols (part of the strategy's portfolio), you'll also see Cash or Cash Equivalent symbols here. Cash Equivalent (e.g. SHY) will be bought if a Position will be sold (exited)–that is if your strategy uses Cash Equivalent instead of Cash:

 

 

Each Sell (exit) Signal will be accompanied with a Buy Signal to enter the Cash Equivalent. If there are multiple Sell Signals, the Cash Equivalent symbol will have a number suffix within the parentheses indicating the number of Positions that will be replaced. Cash Equivalent Positions will then be sold if the strategy decides to replace them with the usual stocks/ETFs:

 

 

Now the Cash symbol, will appear here if the strategy uses Cash instead of Cash Equivalent. That is, for each Position that will be sold, there's also a signal to “Enter” the Cash Position.

 

 

As usual there's the number suffix indicating the number of Positions replaced with the Cash. And once the strategy decides to replace the Cash Position with the usual stock/ETF, there's a signal to “Exit” the Cash Position:

 

 

These Cash Signals obviously don't require anything on your part, as Cash are automatically received when you exit Positions, and spent when you enter Positions.

Now, regardless if your strategy uses Cash or Cash Equivalent, Cash symbol will also appear if you're using Limit Orders. For example, if a Limit Buy Signal fails to be executed (filled) at the next trading day, it'll be listed as a Cash Position, and PB will continue to generate the Limit Buy Signal (could be for a different top-ranked instrument) along with a Cash Exit Signal on the following days until the Limit Buy Order is filled and the Cash Position is replaced:

 

 

There's also the Cash symbol if any Position triggered a Limit Sell Filter (hence causing a Limit Sell Signal). Each Limit Sell Signal is accompanied by a Cash Enter Signal (such Cash Signals could be grouped with a parentheses-suffix if there are multiple Limit Sell Signals):

 

 

That's because Portfolio Boss can't know whether the Limit Sell Order gets filled at tomorrow's open; hence it can't simultaneously give you a Buy Signal (to replace the sold Position) to be executed at tomorrow's market open. Only after the market closes tomorrow does PB know whether the limit order gets filled. If the order gets filled tomorrow, PB enters a Cash Position for that day. Also at that day, PB gives you a Cash Exit Signal along with a Buy Signal to replace the sold instrument (which will be executed at the next market open):

 

 

But what if such Limit Sell Signal can't be executed during the course of tomorrow's trading session? Then PB keeps that old Position and there won't be any Cash Position entered for that day (despite the Cash Enter Signal). PB will also continually generate the two signals (Limit Sell and Cash Enter Signals) as long as the Limit Sell Filter is still triggered by that Position.

It all may sound complicated, but just think about how you would execute a Limit Sell Order on your own: you won't really be planning & executing a replacement (Buy Order) unless you already know that the Sell Order got filled. PB only knows whether the Sell Order gets filled after the market closes and it finishes downloading the EOD data for that day; hence the replacement (Buy Order) can only be executed the day after; in the time being, the old Position is stored as Cash.

 

Note:

The replacement instrument can be either a Cash Equivalent like SHY (usually for a periodically-switching strategy), or another stock/ETF (usually for a continuously-switching strategy).

 


 

3.  Description: This column shows the description for those instruments that will be traded.

 

 

The description is usually the company's (or fund's) full name. Note that the Cash symbol also has its own description, but this is usually misleading. In the example above, the Cash is actually a placeholder for the “would be sold” Position of LVLT (using Limit Sell Signal), but instead the description says “Cash placeholder for unfilled position DG” (which indicates a Limit Buy Order for DG that was unfilled). This could be a carryover from the actual DG Limit Buy Order in the past. Until this quirk is fixed, just ignore the Cash description you see.

 


 

4.  Signal: This column shows the type of trade signals generated.

 

 

If you use a Long Strategy, you'll have the usual Buy and Sell Signals. This applies to the strategy's Portfolio(s) and its Cash Equivalent. If it uses Cash instead of Cash Equivalent, you'll also see signals to “Enter” or “Exit” the Cash Position:

 

 

If you use a Short Strategy, instead of Buy and Sell Signals, you'll have the Short Signal and Cover Signal (to enter and to exit the Positions, respectively). The Cash Equivalent instrument will still have the Buy and Sell Signals though:

 

 

Now, if you use Limit Orders on your strategy, you'll see these signals given the “Limit” prefix:

 

 

Such prefixes are to prevent you from inadvertently entering Market Orders when you should use Limit Orders. But Cash Equivalent (or Cash) Signals are never Limit Signals for obvious reasons.

 

Notes:

  • For switch-day Sell (or Cover) Signals, there won't be any limit price applied, as you're supposed to immediately exit all existing positions and replace them with new ones.
  • Those signals to exit Positions (Sell, Cover, Cash Exit) are always placed above those signals to enter Positions (Buy, Short, Cash Enter).

 


 

5.  Limit: This column shows the limit price for each Limit Signal. It only appears if indeed there are Limit Signals (despite your strategy already using Limit Orders).

 

 

This limit price is calculated from the Buy Order Limit rule (or Sell Order Limit) you set on the System Settings Panel. After the signals are given, PB will wait until the next trading day's close (and EOD data are all downloaded) to determine whether such limit prices were met.

 


 

6.  Hold the following positions: This is located below all the trade signals, and it lists the current Positions that must be held; just let them run.

 

 

Obviously these held Positions can't be a Position that will be sold (exited) in the signals above. And if it's a switch-day, usually you must replace all existing Positions, hence none are held.

As usual, you can hover your mouse over a symbol to display its tooltip-description; as well as clicking it to bring up its price chart (Instrument Tab).

 


 

Top Ranking Instruments Section

 

This section shows you the highest performing instruments at the current date (from the strategy's Portfolio), based on the Ranking Rules.

These are the most likely candidates to become the new Positions once the old ones are exited (either due to a switch day, or hitting a Sell Filter). Or, if the instrument listed here is already held as a Position, you are more likely to keep it. 

 

 

It's possible that this list is empty, which could be that none of the instruments passed the Buy Filters. If that's the case, liquidated Positions won't be replaced by new Positions, but still parked into the Cash/Cash Equivalent Positions instead. Once this list is populated again, the Cash/Cash Equivalent Positions will be replaced with the top-ranked instruments from here.

There are three columns in this section:

  • Rank: ranks the instruments top to bottom, based on the Ranking Rules. The #1 ranked instrument will be the first to replace any sold (exited) Position, then it goes down from there.
  • Symbol: shows the ticker symbol for these top-ranked instruments. As usual, you can hover the mouse over the symbol to show its tooltip-description, or click it to show the price chart (on the Instrument Tab).
  • Description: shows the description for each instrument (full name of the company or fund).

Keep in mind, this list is updated each trading day: some instruments may no longer rank highly, hence other instruments take their place.

 

Note:

The number of instruments listed here correlates to the “Total Positions to Hold” rule you set on the System Settings Panel. If the strategy has only one instrument in its Portfolio, there's only one instrument listed here, even if it has no Ranking Rules at all.

 


 

Notes:

 

  • Once the trade signals are generated, open the Trade Plan Calculator ( ) to create your orders, which will be sent (input) to your broker. It allows you to calculate the number of shares to be traded, split the big orders for obfuscation and avoiding bad fills, and dump all these order information into a basket file that you can import to Interactive Broker's TWS (if you have it as your broker). You can use this Calculator anytime, even when there are no trade signals. Note you may not have access to this Calculator depending on your license. Please contact our Customer Support if you wish to upgrade your license.
  • For multi-strategies, this Trade Signals Tab may be a little different than what you see here. For one, there's an additional column “Weight” displaying the weight (percentage of account size) of each trade signal. Then there's the strategy-grouping for the trade signals; and there's no Top Ranking Instruments Section there. Read about it here. For meta-strategies, this tab's layout is generally the same as multi-strategies.
  • Sometimes you may get a Sell (exit) Signal despite the Position not triggering any of the Sell (or Cover) Filters. This could be due to the instrument company (or fund) being delisted from the exchanges (merger, acquisition, or plain bankruptcy).
  • You can expand this tab if it's too cramped. So instead of tediously scrolling its contents, put your cursor at the edge of this tab until it turns into an arrow cursor. Then drag it to expand (or shrink) this tab. Note, each section of this tab isn't expand-able at the expense of the other section.

 

 

 

 

 

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