All posts by George Pruitt

George Pruitt - Author - Blogger - Programmer - Technician Bachelor of Science in Computer Science from UNC-Asheville Levo Oculos Meos In Montes

Using TradeStations Object Oriented Code

This little code snippet uses EasyLanguage objects to get inside of the program and pull out some pretty cool information.  What it’s doing is using elsystem.drawingobjects to count the number of “text elements” on the chart and then report where the objects are located.  Our cartesian plane utilizes time as the x and price as the y.  So with price and time we can locate exactly where the points are located and feed this system into a system or an indicator.  Over the summer I plan on delving into the OO aspect of EL and reporting back the things that may enhance a charting analysis.  I have already created a pretty neat strategy that will allow a user to place “B” for buy “S” for sell and “X” for exit and have TradeStation calculate the P/L from the hand placed signals.  You can buy this from for a small price.

using elsystem ;
using elsystem.drawingobjects ;

method void PrintTextObjectContents()
variables: int MyTextObjects, TextLabel MyTextObj, DTPoint MyTextLoc,
int Counter ;
     {  limit drawing object collection to manually drawn text objects }
     MyTextObjects = ObjectCategory.textlabelcreatedbydrawingobject ;
     print (DrawingObjects.Items[MyTextObjects].Count);
     { loop through the manually drawn text objects to try and locate "A" and "B" }
     bCnt = 0;sCnt = 0;
     for Counter = 0 to DrawingObjects.Items[MyTextObjects].Count - 1
          MyTextObj = DrawingObjects.Items[MyTextObjects][Counter] astype TextLabel ;
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Backing Up Source With AutoIt

I have never liked how TradeStation bundles all of “our” source code in a library.  I have always copied my source code into a notepad text file as a back up.  Not only does this back up your source you can actually look at it without launching the EL editor.  The only drawback is having to copy to notepad and then save it.  I recently came across a very powerful window’s automation software called AutoIt.  With this FREE software you can automate a ton of mundane daily tasks.  I have created a script that runs in the background and when you compose a new Analysis Technique and hit the F7 function key it will copy the contents of the current window to a notepad text file and then all  you do is save it.  With this script you should never say I wished I had back up my source outside of the TradeStation realm.

Goto and download the program.  Here is the code for the macro/script:

#include <FileConstants.au3>
#include <MsgBoxConstants.au3>
#include <StringConstants.au3>


HotKeySet("{F7}", "copyELD")
HotKeySet("{F8}", "terminate")


Func copyELD()
$window_title = WinGetTitle("[active]")
$variable_fromclipboard = ClipGet()
WinWaitActive("Untitled - Notepad")
; Send($variable_fromclipboard)
MsgBox(0, "The text was pasted ok", "Yep can see it")

Local Const $sMessage = "Choose a filename."
; Local $sFileSaveDialog = FileSaveDialog($sMessage, "::{450D8FBA-AD25-11D0-98A8-0800361B1103}", "ELD Text (*.txt)", $FD_PATHMUSTEXIST)
; MsgBox($MB_SYSTEMMODAL, "", "You saved the following file:" & @CRLF & $sFileSaveDialog)
Func terminate()
While 1

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Welles Wilder’s smoothing = XAVG(PeriodLen*2-1)

I was referred to a very excellent blog and wanted to confirm that Welles Wilder’s trick (ease of calculating) smoothing algorithm was indeed equivalent to an exponential moving average but twice the length – 1.  This blog by Derry Brown is worth taking a look at.

Here is my TS code for verify the length difference between WellesSmooth and Exp. Smooth:

{Test for equivelance}

if currentBar = 1 then
value1 = average(c,14);

if currentBar > 1 then
value1 = (13*value1+c)/14; //Wells Wilder Smoothing


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Volatility Break Out Day Trader

Here is a nice template to use when testing a volatility break out system to daytade. Note I haven’t yet finished the filter coding.

{OPEN RANGE BREAK OUT with Trade Management}
{:data1 = 5 minbars
 :data2 = daily bars}
inputs: atrLookBack(10),brkOutAmt(.20),initProtStop$(500),profitThresh$(300),percentTrail(0.3),waitNumBars(3),endTradeEntryTime(1430);
inputs: tradeFilterNum(1);
{tradeFilterNum indicates how you want to 
 filter the trades:
 filter #1 : prior day was a narrow range
 filter #2 : prior day was a NR4
 filter #3 : buy/sell day only base on today's open
 filter #4 : combo of filter #1 and filter #3
 filter #5 : combo of filter #2 and filter #3 

vars: buysToday(0),sellsToday(0),atrVal(0),todaysOpen(0),canBuy(false),canSell(false);
vars: trailLong(false),trailShort(false),trailLongStop(0),trailShortStop(999999);
vars: myBuysToday(0),mySellsToday(0);
if tradeFilterNum = 1 then
	canBuy = false;
	canSell = false;
	if range of data2 < avgTrueRange(atrLookBack) of data2 and time < endTradeEntryTime then
		canBuy = true;
		canSell = true;

if date <> date[1] then
	todaysOpen = open; {Capture Today's Open}
	trailLongStop = 0;
	trailShortStop = 9999999;
	myBuysToday = 0;
	mySellsToday = 0;

if marketPosition = 1 then myBuysToday = 1;
if marketPosition = -1 then mySellsToday = -1;

atrVal = avgTrueRange(atrLookBack) of data2;

if  canBuy and myBuysToday = 0 and marketPosition <> 1 then buy("BBO") next bar at todaysOpen + atrVal * brkOutAmt stop;
if canSell and mySellsToday = 0 and marketPosition <>-1 then sellshort("SBO") next bar at todaysOpen - atrVal *brkOutAmt stop;

if marketPosition <> 1 then trailLong = false;
if marketPosition <> -1 then trailShort = false;

if marketPosition = 1 then
	sell("LongExit") next bar at entryPrice - initProtStop$/bigPointValue stop;
	if h > entryPrice + profitThresh$/bigPointValue then trailLong = true;
	if trailLong then
		trailLongStop = maxList(trailLongStop,h - (h - entryPrice)*percentTrail);
		sell("LongTrail") next bar at trailLongStop stop;

if marketPosition = -1 then
	buyToCover("ShrtExit") next bar at entryPrice + initProtStop$/bigPointValue stop;
	if l < entryPrice - profitThresh$/bigPointValue then trailShort = true;
	if trailShort then
		trailShortStop = minList(trailShortStop,l + (entryPrice - l)*percentTrail);
		buyToCover("ShortTrail") next bar at trailShortStop stop;



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Zone Analysis System

I posted some research on zone analysis at www.futurestruth/  Based on this research I created a very simple system framework.  Here is some trade examples and performance results for the past four years.









//Zone Program by George Pruitt 
// Buy when market opens in zone 1 and dips into zone 3
// Sell when market opens in zone 4 and rises into zone 2

vars: myZone1B(0),myZone2T(0),myZone2B(0),myZone3T(0),myZone3B(0),myzone4T(0);


inputs: profitAmt$(1000),riskAmt$(500),stopEntryTime(1300);
if date <> date[1] then
	buysToday = 0;
	sellsToday = 0;
	myBarCount = 1;

if(marketPosition = 1) then buysToday = 1;
if(marketPosition =-1) then sellsToday = 1;
if date<> date[1] then myBarCount = myBarCount + 1;
myZone1B = highD(1) + minMove/PriceScale;
myZone2T = highD(1);
myZone2B = (highD(1) + lowD(1))/2 + minMove/PriceScale;
myZone3T = (highD(1) + lowD(1))/2;
myZone3B = lowD(1); 
myZone4T = lowD(1) - minMove/PriceScale;

//if openD(0) > myZone1B and low > myZone1B and myBarCount > 1 and sellsToday = 0 and time <> Sess1endtime then sellshort next bar at low stop;
//if openD(0) < myZone4T and high < myZone4T and myBarCount > 1 and buysToday = 0 and time <> Sess1endtime then buy next bar at high stop;

if openD(0) > myZone1B and low < myZone2B and myBarCount > 1 and buysToday = 0 and time < stopEntryTime then buy next bar at low limit;
if openD(0) < myZone4T and high > myZone3T and myBarCount > 1 and sellsToday = 0 and time < stopEntryTime then sellshort next bar at high limit;

myBarCount = myBarCount + 1;
//print(date," ",time," ",buysToday," ",openD(0) > myZone1B and low > myZone1B and myBarCount > 1 and buysToday = 0);


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King Keltner Source Code

Looking for a trend follower – give this one a try!

 [LegacyColorValue = true]; 

{King Keltner Program
King Keltner by George Pruitt -- based on trading system presented by Chester Keltner
 -- an example of a simple, robust and effective strategy}

Inputs: avgLength(40),atrLength(40);
Vars: upBand(0),dnBand(0),liquidPoint(0),movAvgVal(0);

movAvgVal = Average((High + Low + Close)/3.0,avgLength);
upBand = movAvgVal + AvgTrueRange(atrLength);
dnBand = movAvgVal - AvgTrueRange(atrLength);

{Remember buy stops are above the market and sell stops are below the market
 -- if the market gaps above the buy stop, then the order turns into a market order
 vice versa for the sell stop}

if(movAvgVal > movAvgVal[1]) then Buy ("KKBuy") tomorrow at upBand stop;
if(movAvgVal < movAvgVal[1]) then Sell("KKSell")tomorrow at dnBand stop;

liquidPoint = movAvgVal;

if(MarketPosition = 1) then Sell tomorrow at liquidPoint stop;
if(MarketPosition =-1) then BuyTocover tomorrow at liquidPoint stop;
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Code to pyramid up to N contracts on a day trade basis.

input: maxSize(5),startTime(1000),endTime(1555);
var: stb(0),sts(0),tpAmt(0),lprft(0),sprft(0);

stb = High + minMove/priceScale;
sts = Low - minMove/priceScale;

print(date," ",time," ",stb," ",sts," ",currentShares);

if (time > startTime and time < endTime ) then
	tpAmt = average(range,10);
    if(high>high[1]) then lprft = highD(0)+1*tpAmt;
	if(low < low[1]) then sprft = lowD(0) -1*tpAmt;
	if(currentShares < maxSize and c < average(c,9) and low < low[1] and close < close[1]) then buy("pyrabuy")next bar at sts limit;
	if(currentShares < maxSize and c < average(c,9) and high >high[1] and close > close[1]) then sellShort("pyrasell") next bar at stb limit;


//if(currentShares >= maxSize and marketPosition = 1) then sell("longmaxliq") next bar sts stop;
//if(currentShares >= maxSize and marketPosition =-1) then buyToCover("shortmaxliq") next bar stb stop;
if(marketPosition = 1) then sell("longProf") next bar lprft limit;
if(marketPosition =-1) then buytoCover("shortProf") next bar at sprft limit;
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