What are Targets?

Rally-Based Targets

Rally-Based targets quantify the position of candles in rallies. A rally is a price movement connecting high and low pivots in the price. An upward rally is a rally that starts with a low pivot and ends with a high pivot. A downward rally is a rally that begins with a high pivot and ends with a low one. This class of target finds pivots in the price and assigns numeric values or labels to candles based on their relative position concerning the nearest high and low pivots.

Rally-Based Rating

Rally-Based Rating (RBR) assigns a rating (a number between -100 and +100) to data points based on their price position in the market rallies. A market rally refers to the data points that are between a high and low pivot point. A high pivot point marks the end of an upward trend and the beginning of a downward one, where its price is higher than both preceding and subsequent N prices. The inputs of this target are:

• Pivot Window Length: The number of candles considered to find pivots in the past and future; smaller values make the target consider shorter-term rallies.

• Target Name: The name given to the column that stores the result

When the market is in a downtrend, the RBR value will be negative. The closer it is to the high pivot point of rallies, the more negative the RBR value will be. Conversely, in an upward trend, the RBR value will be positive and will have a higher value as it gets closer to the high pivot point.

Reward/Risk Targets

Reward/Risk targets consider N candles in the future and measure the potential reward and risk of opening a position at a candle. We have Reward/Risk Rating and Reward/Risk Classifying that return numeric values and targets, respectively.

Reward/Risk Rating

Reward/Risk Rating measures the maximum run-up and drawdown in the forward-looking window with a defined window size. The reward to risk ratio is defined as (maximum run-up/maximum drawdown). inputs of this target are:

• Look Ahead Window Length: The size of the window in which drawdown and run-up are calculated for candles

• target Name: The name given to the output column

Gain-Based Rating

Gain-Based Rating (GBR) checks candles in a forward-looking window and returns window attributes as a rating. These attributes include maximum run-up, maximum drawdown, average price change percentage, and price change percentage at the end of the window. Inputs of this target are:

• Look Ahead Window Length: The size of the forward-looking window

• Measurement Method: The metric used to model the price behavior in the window; could be max, min, average, and end of window. When max is used, the maximum run-up in the window is reported as the target value. Using min gives you maximum drawdowns. The average and end of window return the average rate of change ( sum of candle rate of changes divided by the number of candles in the window) and the rate of change when only the price of data of the first and last candles in the windows are considered, respectively.

• Target Name: The name given to the column that stores the result

Stoploss-Takeprofit Classifying

This target labels candles based on future price movements within a time window of a specified length. If the price increases by a percentage defined by Take Profit Percentage, the candle is labeled TP (Take Profit). If the price drops by Stop Loss Percentage percent, the candle is labeled SL (Stop Loss). Any candle that is not TP or SL is labeled  NA (No-Action). Note that if both stop loss and take profit orders are hit in a window, the target considers the order reached sooner.

The inputs of this target are:

• Look Ahead Window Length: The number of candles considered for hitting take profit or stop loss

• Trade Type: Define the trade side that you want to use this target for; it can be Long or Short

• Stop Loss Percentage: The stop loss value (in percent)

• Take Profit Percentage: The take profit value (in percent)

• Labels: Labels given to candles

• Target Name: The name given to the output column

The figure below illustrates the target behavior. Using this target with Take Profit Percentage and Stop Loss Percentage values of 3 and 1, respectively, the labels for the first and the second window are SL and TP, respectively.

Positive Momentum Targets

Positive Momentum Rating

Positive draws a horizontal line from the candle to the end of a forward-looking window of size N. It then calculates the area between candles above the line and the line and the area between candles below the line and line. In the figure below, These areas are shown in green and red, respectively. If G is the green area and R is the red area, the Positive Momentum Rating is G/(G+R)

The inputs of this target are:

• Look Ahead Window Length: The size of the forward-looking window

• Target Name: The name given to the output column

Trade-Based Rating

This returns attributes of the price before a user-defined exit signal occurs. For each candle. this target defines a window starting at the candle itself and ending at the next exit signal. The target returns the attributs of this window and the price itself based on the Measurment Method selected by the user. These attributes are:

• Number of time steps to the next exit signal

• Return made by opening a position at candle and closing at next exit signal

• Average price before next exit signal

• Standard deviation of prices before next exit signal

• Max return made by opening a position at candle before next exit signal

• Min return made by opening a position at candle before next exit signal

The inputs of this target are:

• Timeframe: The timeframe in which the exit signal is defined

• Exit Signal: The signal being analyzed

• Measurement Method: The attribute of the window or price returned by the target

• Target Name: The name given to the output column