Hi-Res Is Now Available
This is my second book in the Easing Into EasyLanguage [EZNGN2EZLANG] series of books. Here are the table of contents.
- About Website Computer Code and Fonts In Print Version
- Using EasyLanguage to Program on Minute Intervals?
- Tutorial 14 – Why Do I Need to Use Intraday Data
- Tutorial 15 – An Algorithm Template that Uses Minute Bars to Trade a Daily Bar Scheme
- Tutorial 16 – Using Data2 as a Daily Bar
- Tutorial 17 – Let’s Day Trade!
- Tutorial 18 – Moving From Discrete Day-Trade Strategy to a Framework
- Tutorial 19 – Day-Trading Continued: Volatility Based Open Range Break Out with Pattern Recognition
- Tutorial 20 – Pyramiding with Camarilla
- Tutorial 21 – Programming a Scale Out Scheme
- Tutorial 22- Crawling Like A Bug on a Five Minute Chart
- Tutorial 23 – Templates For Further Research
- Appendix A-Source Code
- Appendix B-Links to Video Instruction
I have included five hours of video instruction which is included via links in the book and in the supplemental resource download.
What’s In This Book
If you are not a Trend Follower, then in most cases, you will not be able to properly or accurately code and backtest your trading algorithm without the use of higher resolution data (minute bars). A very large portion of the consulting I have done over the years has dealt with converting a daily bar system to one that uses intraday data such as a 5-minute bar. Coding a daily bar system is much more simple than taking the same concept and adding it to a higher resolution (Hi-Res) chart. If you use a 100 day moving average and you apply it to a 5-minute chart you get a 100 five minute bar moving average – a big difference.
Why Do I Need To Use Hi-Res Data?
If all you need to do is calculate a single entry or exit on a daily basis and can manually execute the trades, then you can stick with daily bars. Many of the famous Trend-Following systems such as Turtle, Aberration, Aberration Plus, Andromeda, and many others fall into this category. Most CTAs use these types of systems and spend most of their efforts on accurate execution and portfolio management. These systems, until the genesis of the COVID pandemic, have struggled for many years. Some of the biggest and brightest futures fund managers had to shut their doors due to their lagging performance and elevated levels of risk in comparison to the stock market. However, if you need to know the ebb and flow of the intraday market movement to determine accurate trade entry, then intraday data is an absolute necessity. Also, if you want to automate, Hi-Res data will help too! Here is an example of a strategy that would need to know what occurs first in chronological order.
Example of a Simple Algorithm that Needs Intraday Data
If the market closes above the prior day’s close, then buy the open of the next day plus 20% of today’s range and sellShort the open of the next day minus 40% of today’s range. Use a protective stop of $500 and a profit objective of $750. If the market closes below the prior day’s close then sellShort the open of the next day minus 20% of today’s range and buy the open of the next day plus 40% of todays range. The same trade management of profit and loss is applied as well. From the low resolution of a daily bar the computer cannot determine if the market moves up 20% or down 40% first. So the computer cannot accurately determine if a long or short is established first. And to add insult to injury, if the computer could determine the initial position accurately from a daily bar, it still couldn’t determine if the position is liquidated via a profit or a loss if both conditions could have occurred.
What About “Look Inside Bar”?
There is evidence that if the bar closes near the high and the open near the low of a daily bar, then there is a higher probability that the low was made first. And the opposite is true as well. If the market opens near the middle of the bar, then all bets are off. When real money is in play you can’t count on this type of probability or the lack thereof . TradeStation allows you to use your daily bar scheme and then Look Inside Bar to see the overall ebb and flow of the intraday movement. This function allows you to drill down to one minute bars, if you like. This helps a lot, but it still doesn’t allow you to make intraday decisions, because you are making trading decisions from the close of the prior day.
Using setProfitTarget and setStopLoss helps increase testing accuracy, but shouldn’t you really test on a 5-minute bar just to be on the safe side.
DayTrading in Most Cases Needs Hi-Res Data
If I say buy tomorrow at open of next day and use a setStopLoss(500), then I don’t need Hi-Res data. I execute the open which is the first time stamp in the chronological order of the day. Getting stopped out will happen later and any adverse move from the open that equates to $500 will liquidate the position or the position will be liquidated at the end of the day.
However, if I say buy the high of the first 30 minutes and use the low of the first 30 minutes as my stop loss and take profits if the position is profitable an hour later or at $750, then intraday data is absolute necessity. Most day trading systems need to react to what the market offers up and only slightly relies on longer term daily bar indicators.
If Intraday Data is So Important then Why ” The Foundation Edition?”
You must learn to crawl before you can walk. And many traders don’t care about the intraday action – all they care about is where the market closed and how much money should be allocated to a given trade or position. Or how an open position needs to be managed. The concepts and constructs of EasyLanguage must be learned first from a daily bar framework before a new EL programmer can understand how to use that knowledge on a five minute bar. You cannot just jump into a five minute bar framework and start programming accurately unless you are a programmer from the start or you have a sound Foundation in EasyLanguage.
Excerpt from Hi-Res Edition
Here is an example of a simple and very popular day trading scheme. Buy 2 units on a break out and take profits on 1 unit at X dollars. Pull stop on 2nd unit to breakeven to provide a free trade. Take profit on 2nd unit or get out at the end of the day.
Conceptually this is easy to see on the chart and to understand. But programming this is not so easy. The code and video for this algorithm is from Tutorial 21 in the Hi-Res edition.
Here are the results of the algorithm on a 5 minute ES.D chart going back five years. Remember these results are the result of data mining. Make sure you understand the limitations of back-testing. You can read those here.
There are a total of 10 Tutorials and over 5 hours of Video Instruction included. If you want to expand your programming capabilities to include intraday algorithm development, including day trading, then get your copy today.