Screening & Backtesting / 1 / Create a Measure-Trace Market Study

🗒️ Prerequisites: This section assumes you are either using Signal Sigma with a Free Trial or PRO account, as only these have backtesting access.

ℹ️ Clicking on image thumbnails below enlarges all screenshots.

Steps Shown in the Video

1. Open the Stock Screener

  • Go to the Stock Screener section.

  • Create a new screener or open an existing one.

  • By default, it loads all ~10,500 tickers in the database (this is normal).

3. Set Numeric Filter Boundaries

  • Click the column header of the newly added metric.

  • Click “Edit Filter”.

  • Choose a condition, e.g., – “Between” → set lower and upper bounds (e.g., 0.5 to 2.0) –

  • Click Apply.

  • The screener now only shows tickers that meet your rule.

2. Add Your First Filter (Example: Medium-Term GEX/Volume Ratio)

  • Click the big “Add Metric” button (it looks like a column icon).

  • In the search bar, type: medium term gex to volume or jaxx to volume.

  • Select “Medium Term GEX to Volume Ratio”.

  • The column is added, but the filter is initially unset (all 10,500 tickers still show).

6. Input Backtest Settings

You’ll see a setup form:

  • Step 1: Universe Mode → Choose Static (because we manually selected only SPY). (Dynamic is for running the screener with all tickers available in the past.)

  • Step 2: Select Metric to Measure → Only one choice available: Medium Term GEX to Volume Ratio (automatically detected).

  • Step 3: Aggregation → For a single ticker it doesn’t matter — leave as Average (or Median/Sum, result is identical).

  • Step 4: Name the Measure → e.g., “SPY Medium-Term GEX/Volume”

  • Click Next

  • Step 5: Technical Analysis → For now skip → Next

  • Step 6: Backtest Name & Date Range → Name: e.g., “SPY GEX/Volume 1-Year Trace” → Date range: Last 1 year (or custom) → Click Confirm and Launch

4. How to Use a Text/Checkbox Filter (Example: Positive MACD)

  • Click Add Metric again.

  • Search for MACD Signal.

  • Add it → click header for checkbox filter (Positive / Negative).

  • Uncheck “Negative”, leave only “Positive” checked.

  • Click Apply.

  • Now only stocks with positive MACD remain.

5. Launch a “Measure Trace” Backtest on a Single Ticker (Example: SPY)

Goal: See how the Medium-Term GEX/Volume ratio has evolved over time for one ticker.

  • Click the Select button in the Ticker column header → type SPY → select it → Apply. → Now only SPY is in the list.

  • Make sure the Medium Term GEX to Volume Ratio column is present and NOT filtered (shows “NOT SET”). This is crucial — if you filter it, SPY will get excluded at some point in the backtest.

  • Click the big “Launch Backtest” button (top-right).

  • Choose “Launch Measure Trace Backtest”.

This is the final screener configuration (shown below):

When ready, click NEXT >> to continue to the next section of the Guide

NEXT >>