Category Archives: EasyLanguage Indicator

Easing Into EasyLanguage: Hi-Res Edition Now Available

Hi-Res Is Now Available

Easing Into EasyLanguage : The Hi-Res Edition

The Hi-Res Edition of Easing Into EasyLanguage

This is my second book in the Easing Into EasyLanguage [EZNGN2EZLANG] series of books.  Here are the table of contents.

Contents

  •  Introduction
  • 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.

if c > c[1] then 
begin
	buy next day at open of next day + 0.2 * range stop;
	sellShort next day at open of next day - 0.4 * range stop;
end;

setProfitTarget(750);
setStopLoss(500);
Next Day Order Placement

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

From Tutorial 21 – Put 2 Units on, Take Profit on 1 Unit, Pull Stop to Break Even on 2nd Unit

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.

No Execution Costs Included! Please read backtesting disclaimer.

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.

 

Passing and Accessing Multidimensional Array in a Function

Before the days of OOEL and more advanced data structures, such as vectors, you had to work with multidimensional arrays.

The problem with arrays is you have to do all the housekeeping whereas with vectors the housekeeping is handled internally.  Yes, vectors in many cases would be the most efficient approach, but if you are already using Multi-D arrays, then mixing the two could become confusing.  So stick with the arrays for now and progress into vectors at your leisure.

Recreate the CCI indicator with Multi-D Array

This exercise is for demonstration purposes only as the existing CCI function works just fine.  However, when you are trying out something new  or in this case an application of a different data structure (array) its always great to check your results against a known entity.  If your program replicates the known entity, then you know that you are close to a solution.  The CCI function accesses data via the global High, Low and Close data streams and then applies a mathematical formula to derive a result. <

Derive Your Function First

Create the function first by prototyping what the function will need in the formal parameter list (funciton header).   The first thing the function will need is the data – here is what it will look like.

  • OHLCArray[1,1] =  1210903.00 // DATE
  • OHLCArray[1,2] =    4420.25 // OPEN
  • OHLCArray[1,3] =    4490.25 // HIGH
  • OHLCArray[1,4] =    4410.25 // LOW
  • OHLCArray[1,5] =    4480.75 // CLOSE
  • OHLCArray[2,1] =  1210904.00 // DATE
  • OHLCArray[2,2] =    4470.25 // OPEN
  • OHLCArray[2,3] =    4490.25 // HIGH
  • OHLCArray[2,4] =    4420.25 // LOW
  • OHLCArray[2,5] =    4440.75 // CLOSE

Visualize 2-D Array as a Table

Column 1 Column 2 Column 3 Column 4 Column 5
1210903 44202.25 4490.25 4410.25 4480.75
1210904 4470.25 4490.25 4420.25 4440.76
The CCI function is only concerned with H, L, C and that data is in columns 3, 4, 5.  If you know the structure of the array before you program the function, then you now which columns or fields you will need to access.  If you don’t know the structure beforehand , then that information would need to be passed into the function as well.   Let us assume we know the structure.  Part of the housekeeping that I mentioned earlier was keeping track of the current row where the latest data is being stored.  This “index” plus the length of the CCI indicator is the last two things we will need to know to do a proper calculation.

CCI_2D Function Formal Parameter List

// This function needs data, current data row, and length
// Notice how I declare the OHLCArray using the dummy X and Y
// Variable - this just tells TradeStation to expect 2-D array
// ------------------
//                | |
//                * *
inputs: OHLCArray[x,y](numericArray), currentRow(numericSimple), length(numericSimple);
//                         ***
//                         |||
//----------------------------
// Also notice I tell TradeStation that the array is of type numeric
// We are not changing the array but if we were, then the type would be 
// numericArrayRef - the actual location in memory not just a copy 
	
CCI_2D Formal Parameter List

2-D Array Must Run Parallels with Actual Data

The rest of the function expects the data to be just like the H, L, C built-in data – so there cannot be gaps.  This is very important when you pack the data and  you will see this in the function driver code a.k.a an indicator. The data needs to align with the bars.  Now if you are using large arrays this can slow things down a bit.  You can also shuffle the array and keep the array size to a minimum and I will post how to do this in a post later this week.  The CCI doesn’t care about the order of the H,L,C as long as the last N element is the latest values.

variables: 	
	Mean( 0 ),sum1(0),sum2(0), 
	AvgDev( 0 ),rowNum(0), 
	Counter( 0 ) ;


AvgDev = 0 ;
if currentRow > length then // make sure enough rows
begin

	sum1 = 0;
	sum2 = 0;
	for rowNum = currentRow  - (length-1) to currentRow
	begin
		value1 = OHLCArray[rowNum,3];
		value2 = OHLCArray[rowNum,4];
		value3 = OHLCArray[rowNum,5];
		sum1 = sum1 + value1 + value2 + value3;
	end;
	//Mean = Average( H + L + C, Length ) ; { don't have to divide H+L+C by 3, cancels out } 
	Mean = sum1/length;
	print(d," Mean ",mean," ",mean/3);
	
	for rowNum = currentRow - (length-1) to currentRow
	begin
		value1 = OHLCArray[rowNum,3];
		value2 = OHLCArray[rowNum,4];
		value3 = OHLCArray[rowNum,5];
		sum2 = sum2 + AbsValue((value1 + value2 + value3) - Mean);
	end ;
	//	AvgDev = AvgDev + AbsValue( ( H + L + C )[Counter] - Mean ) ;
	AvgDev = sum2 / Length ;
	print(d," avgDev ",AvgDev," ",AvgDev/3);

	value1 = OHLCArray[currentRow,3];
	value2 = OHLCArray[currentRow,4];
	value3 = OHLCArray[currentRow,5];
end;

if AvgDev = 0 then
	CCI_2D = 0
else
	CCI_2D = ( value1 + value2 + value3 - Mean ) / ( .015 * AvgDev ) ;
CCI-2D Function
This function could be streamlined, but I wanted to show you how to access the different data values with the currentRow variable and columns 3, 4, and 5.  I extract these data and store them in Values variables.  Notice the highlighted line where I check to make sure there are enough rows to handle the calculation.  If you try to access data before row #1, then you will get an out of bounds error and a halt to program execution.

Function Driver in the form of an Indicator

array: OHLCArray[5000,5](0);
Inputs: CCI2DLen(14),CCILen(14);

vars: numRows(0),myCCI(0),regCCI(0);

numRows = numRows + 1;
OHLCArray[numRows,1] = d;
OHLCArray[numRows,2] = o;
OHLCArray[numRows,3] = h;
OHLCArray[numRows,4] = l;
OHLCArray[numRows,5] = c;

myCCI = CCI_2D(OHLCArray,numRows,14);
regCCI = CCI(14);

plot1(myCCI," CCI_2D ");
plot2(regCCI," CCI ");
CCI-2D Indicator

Notice lines 16 and 17 where I am plotting both function results – my CCI_2D and CCI.   Also notice how I increment numRows on each bar – this is the housekeeping that keeps that array synched with the chart.  In the following graphic I use 14 for CCI_2D and 9 for the built-in CCI.

Two CCI functions with different Lengths

Now the following graphic uses the same length parameters for both functions.  Why did just one line show up?

Both CCI Functions with same Lengths – were did second line go to?

Make Your Unique Coding Replicate a Known Entity – If You Can

 

Here is where your programming is graded.  The replication of the CCI using a 2-D Array instead of the built-in H, L, C data streams, if programmed correctly, should create the exact same results and it does, hence the one line.  Big Deal right!  Why did I go through all this to do something that was already done?  Great programming is not supposed to re-invent the wheel.  And we just did exactly that.  But read between the lines here.   We validated code that packed a 2-D array with data and then passed it to a function that then accessed the data correctly and applied a known formula and compared it to a known entity.  So now you have re-usable code for passing a 2-D array to a function.  All you have to do is use the template and modify the calculations.  Re-inventing the wheel is A-Okay if you are using it as a tool for validation.

The Foundation Edition – First Book In Easing Into EasyLanguage

Hello to All!  I just published the first book in this series.  It is the Foundation Edition and is designed for the new user of EasyLanguage or for those you would like to have a refresher course.  There are 13 total tutorials ranging from creating Strategies to PaintBars.  Learn how to create your own functions or apply stops and profit objectives.  Ever wanted to know how to find an inside day that is also a Narrow Range 7 (NR7?)  Now you can, and the best part is you get over 4 HOURS OF VIDEO INSTRUCTION – one for each tutorial.  Each video is created by yours truly and Beau my trustworthy canine companion.  I go over every line of code to really bring home the concepts that are laid out in each tutorial.  All source code is available too, and if you have TradeStation, so are the workspaces.  Plus you can always email George for any questions.  george.p.pruitt@gmail.com.

The Cover of my latest book. The first in the series.

If you like the information on my blog, but find the programming code a little daunting, then go back and build a solid foundation with the Foundation Edition.  It starts easy but moves up the Learning Curve at comfortable pace.  On sale now for $24.95 at Amazon.com.  I am planning on having two more advanced books in the series.  The second book, specifically designed for intraday trading and day-trading, will be available this winter.  And the third book, Advanced Topics, will be available next spring.

Pick up your copy today – e-Book or Paperback format!

Here is the link to buy the book now!

Let me know if you buy either format  and I will send you a PDF of the source code – just need proof of purchase.  With the  PDF you can copy and paste the code.  After you buy the book come back here to the Easing Into EasyLanguage Page and download  the ELD and workspaces.

If You Can’t Go Forward, Then Go Backward [Back To The Future]

Calculate MAE/MFE 30 Bars after A Signal

A very astute reader of this blog brought a snippet of code that looks like EasyLanguage and sort of behaves like it, but not exactly.  This code was presented on the exceptional blog of Quant Trader posted by Kahler Philipp.  He used some of the ideas from  Dave Bergstrom.

Equilla Programming Language

The theory behind the code is quite interesting and I haven’t gotten into it thoroughly, but will do so in the next few days.  The code was derived from Trade-Signal’s Equilla Programming Language.  I looked at the website and it seems to leans heavily on an EasyLanguage like syntax, but unlike EZLang allows you to incorporate indicators right in the Strategy.  It also allows you, and I might be wrong, to move forward in time from a point in the past quite easily.  The code basically was fed a signal (+1,0,-1) and based on this value progressively moved forward one bar at a time  (over a certain time period) and calculated the MAE and MFE (max. adverse/favorable excursion for each bar.  The cumulative MAE/MFE were then stored in a BIN for each bar.  At the end of the data, a chart of the ratio between the MAE and MFE was plotted.

EasyLanguage Version

I tried to replicate the code to the best of my ability by going back in time and recording a trading signal and then moving Back to The Future thirty bars, in this case, to calculated and store the MAE/MFE in the BINS.

Simple Moving Average Cross Over Test

After 100 bars, I looked back 30 bars to determine if the price was either greater than or less than the 21 day moving average.   Let’s assume the close was greater than the 21 day moving average 30 days ago, I then kept going backward until this was not the case.  In other words I found the bar that crossed the moving average.  It could have been 5 or 18 or whatever bars further back.  I stored that close and then started moving forward calculating the MAE/MFE by keeping track of the Highest Close and Lowest Close made during 30 bar holding period.  You will see the calculation in the code.  Every time I got a signal I accumulated the results of the calculations for each bar in the walk forward period.  At the end of the chart or test I divided each bars MFE by its MAE and plotted the results.  A table was also created in the Print Log.  This code is barely beta, so let me know if you see any apparent errors in logic or calculations.


inputs: ilb(30); //ilb - initial lookback
vars: lb(0),signal(0),btf(0),mf(0),ma(0),hh(0),ll(99999999),arrCnt(0),numSigs(0);
arrays : mfe[40](0),mae[40](0);
lb = ilb;
if barNumber > 100 then 
begin
	signal = iff(c[ilb] > average(c[ilb],21),1,-1);
//	print(d," signal ",signal," ",ilb);
	if  signal <> signal[1] then
	begin	
		numSigs = numSigs + 1; // keep track of number of signals
//		print("Inside loop ", date[ilb]," ",c[ilb]," ",average(c[ilb],21));
		if signal = 1 then // loop further back to get cross over
		begin
//			print("Inside signal = 1 ",date[lb]," ",c[lb]," ",average(c[lb],21));
			while c[lb] > average(c[lb],21)
			begin
				lb = lb + 1;
			end;
//			print("lb = ",lb);
		end;
		
		if signal = -1 then // loop further back to get cross over
		begin
//			print("Inside signal = -1 ",date[lb]," ",c[lb]," ",average(c[lb],21));
			while c[lb] < average(c[lb],21)
			begin
				lb = lb + 1;
			end;
		end;
		lb = lb - 1;
		
		hh = 0;
		ll = 999999999;
		
		arrCnt = 0;
		for btf = lb downto (lb - ilb) //btf BACK TO FUTURE INDEX
		begin
			mf=0;
			ma=0;
			hh=maxList(c[btf],hh);
//			print("inside inner loop ",btf," hh ",hh," **arrCnt ",arrCnt);
			ll=minList(c[btf],ll);	
			if signal>0 then 
			begin
				mf=iff(hh>c[lb],(hh-c[lb])/c[lb],0); // mf long signal
				ma=iff(ll<c[lb],(c[lb]-ll)/c[lb],0); // ma long signal
			end;
			if signal<0 then begin
				ma=iff(hh>c[lb],(hh-c[lb])/c[lb],0); // ma after short signal
				mf=iff(ll<c[lb],(c[lb]-ll)/c[lb],0); // mf after short signal
			end;
//			print(btf," signal ",signal," mf ",mf:0:5," ma ",ma:0:5," hh ",hh," ll ",ll," close[lb] ",c[lb]);
			mfe[arrCnt]=mfe[arrCnt]+absValue(signal)*mf;
			mae[arrCnt]=mae[arrCnt]+absValue(signal)*ma;
			arrCnt = arrCnt + 1;
		end;
	end;
end;

if lastBarOnChart then
begin
    print(" ** MFE / MAE ** ");
	for arrCnt = 1 to 30
	begin
		print("Bar # ",arrCnt:1:0," mfe / mae ",(mfe[arrCnt]/mae[arrCnt]):0:5);
	end;
	
	for arrCnt = 30 downto 1
	begin
		plot1[arrCnt](mfe[31-arrCnt]/mae[31-arrCnt]," mfe/mae ");
	end;
end;
Back to The Future - going backward then forward

Here is an output at the end of a test on Crude Oil

 ** MFE / MAE ** 
Bar # 1 mfe / mae 0.79828
Bar # 2 mfe / mae 0.81267
Bar # 3 mfe / mae 0.82771
Bar # 4 mfe / mae 0.86606
Bar # 5 mfe / mae 0.87927
Bar # 6 mfe / mae 0.90274
Bar # 7 mfe / mae 0.93169
Bar # 8 mfe / mae 0.97254
Bar # 9 mfe / mae 1.01002
Bar # 10 mfe / mae 1.03290
Bar # 11 mfe / mae 1.01329
Bar # 12 mfe / mae 1.01195
Bar # 13 mfe / mae 0.99963
Bar # 14 mfe / mae 1.01301
Bar # 15 mfe / mae 1.00513
Bar # 16 mfe / mae 1.00576
Bar # 17 mfe / mae 1.00814
Bar # 18 mfe / mae 1.00958
Bar # 19 mfe / mae 1.02738
Bar # 20 mfe / mae 1.01948
Bar # 21 mfe / mae 1.01208
Bar # 22 mfe / mae 1.02229
Bar # 23 mfe / mae 1.02481
Bar # 24 mfe / mae 1.00820
Bar # 25 mfe / mae 1.00119
Bar # 26 mfe / mae 0.99822
Bar # 27 mfe / mae 1.01343
Bar # 28 mfe / mae 1.00919
Bar # 29 mfe / mae 0.99960
Bar # 30 mfe / mae 0.99915
Ratio Values over 30 Bins

Using Arrays for Bins

When  newcomers  start to program EasyLanguage and encounter arrays it sometimes scares them away.  They are really easy and in many cases necessary to complete a project.  In this code I used two 40 element or bins arrays MFE and MAE.  I only use the first 30 of the bins to store my information.  You can change this to 30 if you like, and when you start using a fixed array it is best to define them with the exact number you need, so that TradeStation will tell you if you step out of bounds (assign value to a bin outside the length of the array).  To learn more about arrays just search my blog.  The cool thing about arrays is  you control what data goes in and what you do with that data afterwards.  Anyways play with the code, and I will be back with a more thorough explanation of the theory behind it.

 

 

 

 

 

Volatility, Volatility, Volatility – A Building Block for Day Trading the ES.D – Free System

Did that Title get your Attention?

I didn’t say a very good Free System!  This code is really cool so I thought I would share with you.  Take a look at this rather cool picture.

Six Bar Break Out with Volatility Buffer and Volatility Trailing Stop

Thanks to a reader of this blog (AG), I got this idea and programmed a very simple day trading system that incorporated a volatility trailing stop.  I wanted to make sure that I had it programmed correctly and always wanted to draw a box on the chart – thanks to (TJ) from MC forums for getting me going on the graphic aspect of the project.

Since I have run out of time for today – need to get a haircut.  I will have to wait till tomorrow to explain the code.  But real quickly the system.

Buy x% above first y bar high and then set up a trailing stop z% of y bar average range – move to break-even when profits exceed  $w.  Opposite goes for the short side.  One long and one short only allowed during the day and exit all at the close.

What the heck here is the code for the Strategy.

inputs: startTradeTime(930),startTradeBars(6),endTradeTime(1530),
		breakOutVolPer(0.5),trailVolPer(.25),breakEven$(500);
		

vars:	longsToday(0),shortsToday(0),
		longStop(0),shortStop(0),
		longTrail(0),shortTrail(0),
		trailVolAmt(0),
		barCount(0),highToday(0),lowToday(0),
		volAmt(0),mp(0);
		
if t = startTradeTime + barinterval then
begin
	longsToday = 0;
	shortsToday = 0;
	longStop = 0;
	shortStop = 0;
	longTrail = 0;
	shortTrail = 99999999;
	barCount = 0;
	highToday = 0;
	lowToday = 999999999;
end;

highToday = maxList(h,highToday);
lowToday = minList(l,lowToday);

mp = marketPosition;

barCount +=1;

if barCount >= startTradeBars then
begin
	volAmt = average(range,startTradeBars);
	if barCount = startTradeBars then
	begin
		longStop = highToday + breakOutVolPer * volAmt;
		shortStop = lowToday - breakOutVolPer * volAmt;
	end;
	if t < endTradeTime then
		begin
		if longsToday = 0 then buy("volOrboL") next bar at longStop stop;
		if shortsToday = 0 then sellShort("volOrboS") next bar shortStop stop;
	end;

	trailVolAmt = volAmt * trailVolPer;
	if mp = 1 then
	begin
		longsToday +=1;
		if c > entryPrice + breakEven$/bigPointValue then
			longTrail = maxList(entryPrice,longTrail);
		longTrail = maxList(c - trailVolAmt,longTrail);
		sell("L-TrlX") next bar at longTrail stop;
	end;
	if mp = -1 then
	begin
		shortsToday +=1;
		if c < entryPrice - breakEven$/bigPointValue then
			shortTrail = minList(entryPrice,shortTrail);
		shortTrail = minList(c + trailVolAmt,shortTrail);
		buyToCover("S-TrlX") next bar at shortTrail stop;
	end;
end;
setExitOnClose;
I will comment in a later post!

And the code for the Strategy Tracking Indicator.

inputs: startTradeTime(930),startTradeBars(6),endTradeTime(1530),
		breakOutVolPer(0.5),trailVolPer(.25),breakEven$(500);
		

vars:	longsToday(0),shortsToday(0),
		longStop(0),shortStop(0),
		longTrail(0),shortTrail(0),
		trailVolAmt(0),
		barCount(0),highToday(0),lowToday(0),
		volAmt(0),mp(0);
		
if t = startTradeTime + barinterval then
begin
	longsToday = 0;
	shortsToday = 0;
	longStop = 0;
	shortStop = 0;
	longTrail = 0;
	shortTrail = 99999999;
	barCount = 0;
	highToday = 0;
	lowToday = 999999999;
	mp = 0;
end;

highToday = maxList(h,highToday);
lowToday = minList(l,lowToday);
		
barCount +=1;

vars: iCnt(0),mEntryPrice(0),myColor(0);

if barCount >= startTradeBars  then
begin
	volAmt = average(range,startTradeBars);
	if barCount = startTradeBars then
	begin
		longStop = highToday + breakOutVolPer * volAmt;
		shortStop = lowToday - breakOutVolPer * volAmt;
		for iCnt = 0 to startTradeBars-1
		begin
			plot1[iCnt](longStop,"BuyBO",default,default,default);
			plot2[iCnt](shortStop,"ShrtBo",default,default,default);
		end;

	end;
	if t < endTradeTime then
	begin
		if longsToday = 0 and h >= longStop then 
		begin
			mp = 1;
			mEntryPrice = maxList(o,longStop);
			longsToday += 1;
		end;
		if shortsToday = 0 and l <= shortStop then
		begin
			mp = -1;
			mEntryPrice = minList(o,shortStop);
			shortsToday +=1;
		end;	
		plot3(longStop,"BuyBOXTND",default,default,default);
		plot4(shortStop,"ShrtBOXTND",default,default,default);
	end;
	
	trailVolAmt = volAmt * trailVolPer;
	
	if mp = 1 then
	begin
		if c > mEntryPrice + breakEven$/bigPointValue then
			longTrail = maxList(mEntryPrice,longTrail);

		longTrail = maxList(c - trailVolAmt,longTrail);
		plot5(longTrail,"LongTrail",default,default,default);
	end;
	if mp = -1 then
	begin
		if c < mEntryPrice - breakEven$/bigPointValue then
			shortTrail = minList(mEntryPrice,shortTrail);
		shortTrail = minList(c + trailVolAmt,shortTrail);
		plot6(shortTrail,"ShortTrail",default,default,default);
	end;
end;
Cool code for the indicator

Very Important To Set Indicator Defaults Like This

For the BO Box use these settings – its the first 4 plots:

Use these colors and bar high and bar low and set opacity

The box is created by drawing thick semi-transparent lines from the BuyBo and BuyBOXTND down to ShrtBo and ShrtBOXTND.   So the Buy components of the 4 first plots should be Bar High and the Shrt components should be Bar Low.  I didn’t specify this the first time I posted.  Thanks to one of my readers for point this out!

Use bar low for ShrtBo and ShrtBOXTND plots

Also I used different colors for the BuyBo/ShrtBo and the BuyBOXTND/ShrtBOXTND.  Here is that setting:

The darker colored line on the last bar of the break out is caused by the overlap of the two sets of plots.

Here is how you set up the trailing stop plots:

Make Dots and Make Then Large – I have Red and Blue Set

 

Highly Illogical – Best Guess Doesn’t Match Reality

An ES Break-Out System with Unexpected Parameters

I was recently testing the idea of a short term VBO strategy on the ES utilizing very tight stops.  I wanted to see if using a tight ATR stop in concert with the entry day’s low (for buys) would cut down on losses after a break out.  In other words, if the break out doesn’t go as anticipated get out and wait for the next signal.  With the benefit of hindsight in writing this post, I certainly felt like my exit mechanism was what was going to make or break this system.  In turns out that all pre conceived notions should be thrown out when volatility enters the picture.

System Description

  • If 14 ADX < 20 get ready to trade
  • Buy 1 ATR above the midPoint of the past 4 closing prices
  • Place an initial stop at 1 ATR and a Profit Objective of 1 ATR
  • Trail the stop up to the prior day’s low if it is greater than entryPrice – 1 ATR initially, and then trail if a higher low is established
  • Wait 3 bars to Re-Enter after going flat – Reversals allowed

That’s it.  Basically wait for a trendless period and buy on the bulge and then get it out if it doesn’t materialize.  I knew I could improve the system by optimizing the parameters but I felt I was in the ball park.  My hypothesis was that the system would fail because of the tight stops.  I felt the ADX trigger was OK and the BO level would get in on a short burst.  Just from past experience I knew that using the prior day’s price extremes as a stop usually doesn’t fair that well.

Without commission the initial test was a loser: -$1K and -$20K draw down over the past ten years.  I thought I would test my hypothesis by optimizing a majority of the parameters:

  • ADX Len
  • ADX Trigger Value
  • ATR Len
  • ATR BO multiplier
  • ATR Multiplier for Trade Risk
  • ATR Multiplier for Profit Objective
  • Number of bars to trail the stop – used lowest lows for longs

Results

As you can probably figure, I  had to use the Genetic Optimizer to get the job done.  Over a billion different permutations.  In the end here is what the computer pushed out using the best set of parameters.

No Commission or Slippage – Genetic Optimized Parameter Selection

Optimization Report – The Best of the Best

Top Parameters – notice the Wide Stop Initially and the Trailing Stop Look-Back and also the Profit Multiplier – but what really sticks out is the ADX inputs

ADX – Does it Really Matter?

Take a look at the chart – the ADX is mostly in Trigger territory – does it really matter?

A Chart is Worth a 1000 Words

What does this chart tell us?

70% of Profit was made in last 40 trades

Was the parameter selection biased by the heightened level of volatility?  The system has performed on the parameter set very well over the past two or three years.  But should you use this parameter set going into the future – volatility will eventually settle down.

Now using my experience in trading I would have selected a different parameter set.   Here are my biased results going into the initial programming.  I would use a wider stop for sure, but I would have used the generic ADX values.

George’s More Common Sense Parameter Selection – wow big difference

I would have used 14 ADX Len with a 20 trigger and risk 1 to make 3 and use a wider trailing stop.  With trend neutral break out algorithms, it seems you have to be in the game all of the time.  The ADX was supposed to capture zones that predicated break out moves, but the ADX didn’t help out at all.  Wider stops helped but it was the ADX values that really changed the complexion of the system.  Also the number of bars to wait after going flat had a large impact as well.  During low volatility you can be somewhat picky with trades but when volatility increases you gots to be in the game. – no ADX filtering and no delay in re-Entry.  Surprise, surprise!

Alogorithm Code

Here is the code – some neat stuff here if you are just learning EL.  Notice how I anchor some of the indicator based variables by indexing them by barsSinceEntry.  Drop me a note if you see something wrong or want a little further explanation.

Inputs: adxLen(14),adxTrig(25),atrLen(10),atrBOMult(1),atrRiskMult(1),atrProfMult(2),midPtNumBar(3),posMovTrailNumBars(2),reEntryDelay(3);
vars: mp(0),trailLongStop(0),trailShortStop(0),BSE(999),entryBar(0),tradeRisk(0),tradeProf(0);
vars: BBO(0),SBO(0),ATR(0),totTrades(0);

mp = marketPosition;
totTrades = totalTrades;
BSE = barsSinceExit(1);
If totTrades <> totTrades[1] then BSE = 0;
If totalTrades = 0 then BSE = 99;


ATR = avgTrueRange(atrLen);

SBO = midPoint(c,midPtNumBar) - ATR * atrBOMult;
BBO = midPoint(c,midPtNumBar) + ATR * atrBOMult;

tradeRisk = ATR * atrRiskMult;
tradeProf = ATR * atrProfMult;

If mp <> 1 and adx(adxLen) < adxTrig and BSE > reEntryDelay and open of next bar < BBO then buy next bar at BBO stop;
If mp <>-1 and adx(adxLen) < adxTrig AND BSE > reEntryDelay AND open of next bar > SBO then sellshort next bar at SBO stop;

If mp = 1 and mp[1] <> 1 then
Begin
	trailLongStop = entryPrice - tradeRisk;
end;

If mp = -1 and mp[1] <> -1 then
Begin
	trailShortStop = entryPrice + tradeRisk;
end;
	
if mp = 1 then sell("L-init-loss") next bar at entryPrice - tradeRisk[barsSinceEntry] stop;
if mp = -1 then buyToCover("S-init-loss") next bar at entryPrice + tradeRisk[barsSinceEntry] stop;


if mp = 1 then 
begin
	sell("L-ATR-prof") next bar at entryPrice + tradeProf[barsSinceEntry] limit;
	trailLongStop = maxList(trailLongStop,lowest(l,posMovTrailNumBars));
	sell("L-TL-Stop") next bar at trailLongStop stop;
end; 
if mp =-1 then 
begin
	buyToCover("S-ATR-prof") next bar at entryPrice -tradeProf[barsSinceEntry] limit;
	trailShortStop = minList(trailShortStop,highest(h,posMovTrailNumBars));
//	print(d, " Short and trailStop is : ",trailShortStop);
	buyToCover("S-TL-Stop") next bar at trailShortStop stop;
end;

Converting A String Date To A Number – String Manipulation in EasyLanguage

EasyLanguage Includes a Powerful String Manipulation Library

I thought I would share this function.  I needed to convert a date string (not a number per se) like “20010115” or “2001/01/15” or “01/15/2001” or “2001-01-15” into a date that TradeStation would understand.  The function had to be flexible enough to accept the four different formats listed above.

String Functions

Most programming languages have functions that operate strictly on strings and so does EasyLanguage.  The most popular are:

  • Right String (rightStr) – returns N characters from the right side of the string.
  • Left String (leftStr) – returns N character starting from the left side of the string
  • Mid String (midStr) – returns the middle portion of a string starting at a specific place in the string and advance N characters
  • String Length (strLen) – returns the number of characters in the string
  • String To Number (strToNum) – converts the string to a numeric representation.  If the string has a character, this function will return 0
  • In String (inStr) – returns location of a sub string inside a larger string ( a substring can be just one character long)

Unpack the String

If the format is YYYYMMDD format then all you need to do is remove the dashes or slashes (if there are any) and then convert what is left over to a number.   But if the format is MM/DD/YYYY format then we are talking about a different animal.  So how can you determine if the date string is in this format?  First off you need to find out if the month/day/year separator is a slash or a dash.  This is how you do this:

whereIsAslash = inStr(dateString,”/”);
whereIsAdash = inStr(dateString,”-“);

If either is a non zero then you know there is a separator.  The next thing to do is locate the first “dash or slash” (the search character or string).  If it is located within the first four characters of the date string then you know its not a four digit year.  But, lets pretend the format is “12/14/2001” so if the first dash/slash is the 3rd character you can extract the month string by doing this:

firstSrchStrLoc = inStr(dateString,srchStr);
mnStr= leftStr(dateString,firstSrchStrLoc-1);

So if firstSrchStrLoc = 3 then we want to leftStr the date string and extract the first two characters and store them in mnStr.  We then store what’s left of the date string in tempStr by using rightStr:

strLength = strLen(dateString);

tempStr = rightStr(dateString,strLength-firstSrchStrLoc);

Here I pass dateString and the strLength-firstSrchStrLoc – so if the dateString is 10 characters long and the firstSrchStrLoc is 3, then we can create a tempstring by taking [10 -3  = 7 ] characters from right side of the string:

“12/14/2001” becomes “14/2001” – once that is done we can pull the first two characters from the tempStr and store those into the dyStr [day string.]  I do this by searching for the “/” and storing its location in srchStrLoc.  Once I have that location I can use that information and leftStr to get the value I need.   All that is left now is to use the srchStrLoc and the rightStr function.

srchStrLoc = inStr(tempStr,srchStr);
dyStr = leftStr(tempStr,srchStrLoc-1);
yrStr = rightStr(tempStr,strLen(tempStr)-srchStrLoc);

Now convert the strings to numbers and multiply their values accordingly.

DateSTrToYYYMMDD = strToNum(yrStr) X 10000-19000000 + strToNum(mnStr) X 100 + strToNum(dyStr)

To get the date into TS format I have to subtract 19000000 from the year.  Remember TS represents the date in YYYMMDD  format.

Now what do  you do if the date is in the right format but simply includes the dash or slash separators.  All you need to do here is loop through the string and copy all non dash or slash characters to a new string and then convert to a number.  Here is the loop:

        tempStr = "";
        iCnt = 1;
        While iCnt <= strLength
        Begin
            If midStr(dateString,iCnt,1) <> srchStr then
            	tempStr += midStr(dateString,iCnt,1);
            	iCnt+=1;
        end;
        tempDate = strToNum(tempStr);
        DateStrToYYYMMDD = tempDate-19000000;

Here I use midStr to step through each character in the string.  MidStr requires a string and the starting point and how many characters you want returned from the string.  Notice I step through the string with iCnt and only ask for 1 character at a time.  If the character is not a dash or slash I concatenate tempStr with the non dash/slash character.  At the end of the While loop I simply strToNum the string and subtract 19000000.  That’s it!  Remember EasyLanguage is basically a full blown programming language with a unique set of functions that relate directly to trading.

Here is the function and testFunc caller.

STRINGFUNCANDFUNCCALLER

 

How To Program A Ratcheting Stop in EasyLanguage

30 Minute Break Out utilizing a Ratchet Stop [7 point profit with 6 point retention]
I have always been a big fan of trailing stops.  They serve two purposes – lock in some profit and give the market room to vacillate.  A pure trailing stop will move up as the market makes new highs, but a ratcheting stop (my version) only moves up when a certain increment or multiple of profit has been achieved.  Here is a chart of a simple 30 minute break out on the ES day session.  I plot the buy and short levels and the stop level based on whichever level is hit first.

When you program something like this you never know what is the best profit trigger or the best profit retention value.  So, you should program this as a function of these two values.  Here is the code.

inputs: ratchetAmt(6),trailAmt(6);
vars:longMult(0),shortMult(0),myBarCount(0);
vars:stb(0),sts(0),buysToday(0),shortsToday(0),mp(0);
vars:lep(0),sep(0);

If d <> d[1] then
Begin
	longMult = 0;
	shortMult = 0;
	myBarCount = 0;
	mp = 0;
	lep = 0;
	sep = 0;
	buysToday = 0;
	shortsToday = 0;
end;

myBarCount = myBarCount + 1;

If myBarCount = 6 then  // six 5 min bars = 30 minutes
Begin
	stb = highD(0);  //get the high of the day
	sts = lowD(0);   //get low of the day
end;

If myBarCount >= 6 and buysToday + shortsToday = 0 and high >= stb then 
begin
	mp = 1;  //got long - illustrative purposes only
	lep = stb;

end;
If myBarCount >=6 and buysToday + shortsToday = 0 and low <= sts then begin
	mp = -1; //got short
	sep = sts;
end;

If myBarCount >=6 then 
Begin
	plot3(stb,"buyLevel");
	plot4(sts,"shortLevel");
end;
If mp = 1 then buysToday = 1;
If mp =-1 then shortsToday = 1;


// Okay initially you want a X point stop and then pull the stop up
// or down once price exceeds a multiple of Y points
// longMult keeps track of the number of Y point multipes of profit
// always key off of lep(LONG ENTRY POINT)
// notice how I used + 1 to determine profit
// and -  1 to determine stop level
If mp = 1 then 
Begin
	If h >= lep + (longMult + 1) * ratchetAmt then	longMult = longMult + 1;
	plot1(lep + (longMult - 1) *  trailAmt,"LE-Ratchet");
end;

If mp = -1 then 
Begin
	If l <= sep - (shortMult + 1) * ratchetAmt then	shortMult = shortMult + 1;
	plot2(sep - (shortMult - 1) *  trailAmt,"SE-Ratchet");
end;
Ratcheting Stop Code

So, basically I set my multiples to zero on the first bar of the trading session.  If the multiple = 0 and you get into a long position, then your initial stop will be entryPrice + (0 – 1) * trailAmt.  In other words your stop will be trailAmt (6 in this case) below entryPrce.  Once price exceeds or meets 7 points above entry price, you increment the multiple (now 1.)  So, you stop becomes entryPrice + (1-1) * trailAmt – which equals a break even stop.  This logic will always move the first stop to break even.  Assume the market moves 2 multiples into profit (14 points), what would your stop be then?

stop = entryPrice + (2 – 1) * 6 or entryPrice + 6 points.

See how it ratchets.  Now you can optimized the profit trigger and profit retention values.  Since I am keying of entryPrice your first trailing stop move will be a break-even stop.

This isn’t a strategy but it could very easily be turned into one.

Question on Multiple Time Indicator [Discrete Bars]

A reader of this blog proffered an excellent question on this indicator.  I hope this post answers his question and I am always open to any input that might improve my coding!

Because I use BarNumber in my MODULUS calculation the different time frames that I keep track of may not align with the time frames on the chart; your 10-minute bar O, H, L, and C values may not align with the values I am storing in my 10-minute bar container.    Take a look at this snapshot of a spreadsheet.

Here I  print out a 5-minute bar of the ES.D.  Because I use BarNumber in my Modulus calculation, I don’t get to a zero remainder until  9:50 in the 10, 15, and 20 minute time frames.  At 9:50 I start building fresh 10, 15, 20 minute bars by resetting the O, H, L and C to those of the 5-minute bars.  From there I keep track of the highest highs and lowest lows by extracting the data from the 5-minute bar.  I always set the close of the different time frames to the current 5-minute bar’s close.   Once the modulus for the different time frames reaches zero I close out the bar and start fresh again.  The 25-minute bar didn’t reach zero until the 10:05 bar.

I will see if I can come up with some code that will sync with the data on the chart.

MULTI-TIME FRAME – KEEPING TRACK OF DISCRETE TIME FRAMES

Just a quick post here.  I was asked how to keep track of the opening price for each time frame from our original Multi-Time Frame indicator and I was answering the question when I thought about modifying the indicator.  This version keeps track of each discrete time frame.  The original simply looked back a multiple of the base chart to gather the highest highs and lowest lows and then would do a simple calculation to determine the trend.  So let’s say its 1430 on a five-minute bar and you are looking back at time frame 2.  All I did was get the highest high and lowest low two bars back and stored that information as the high and low of time frame 2.  Time frame 3 simply looked back three bars to gather that information.  However if you tried to compare these values to a 10-minute or 15-minute chart they would not match.

In this version, I use the modulus function to determine the demarcation of each time frame.  If I hit the border of the time frame I reset the open, high, low and carry that value over until I hit the next demarcation.  All the while collecting the highest highs and lowest lows.  In this model, I am working my way from left to right instead of right to left.  And in doing so each time frame is discrete.

Let me know which version you like best.

 

Inputs:tf1Mult(2),tf2Mult(3),tf3Mult(4),tf4Mult(5);



vars: mtf1h(0),mtf1l(0),mtf1o(0),mtf1c(0),mtf1pvt(0),diff1(0),
      mtf2h(0),mtf2l(0),mtf2o(0),mtf2c(0),mtf2pvt(0),diff2(0),
      mtf3h(0),mtf3l(0),mtf3o(0),mtf3c(0),mtf3pvt(0),diff3(0),
      mtf4h(0),mtf4l(0),mtf4o(0),mtf4c(0),mtf4pvt(0),diff4(0),
      mtf0pvt(0),diff0(0);

If barNumber = 1 then
Begin
	mtf1o = o;
	mtf2o = o;
	mtf3o = o;
	mtf4o = o;
end;


If barNumber > 1 then
Begin

	Condition1 =  mod((barNumber+1),tf1Mult) = 0;
	Condition2 =  mod((barNumber+1),tf2Mult) = 0;
	Condition3 =  mod((barNumber+1),tf3Mult) = 0;
	Condition4 =  mod((barNumber+1),tf4Mult) = 0;
	
	mtf1h = iff(not(condition1[1]),maxList(high,mtf1h[1]),high);
	mtf1l = iff(not(condition1[1]),minList(low,mtf1l[1]),low);
	mtf1o = iff(condition1[1],open,mtf1o[1]);
	mtf1c = close;

	
	mtf0pvt = (close + high + low) / 3;
	diff0 = close - mtf0pvt;
	
	mtf2h = iff(not(condition2[1]),maxList(high,mtf2h[1]),high);
	mtf2l = iff(not(condition2[1]),minList(low,mtf2l[1]),low);
	mtf2o = iff(condition2[1],open,mtf2o[1]);
	mtf2c = close;
	
	
	mtf1pvt = (mtf1h+mtf1l+mtf1c) / 3;
	diff1 = mtf1c - mtf1pvt;
		
	mtf2pvt = (mtf2h+mtf2l+mtf2c) / 3;
	diff2 = mtf2c - mtf2pvt;
		
	mtf3h = iff(not(condition3[1]),maxList(high,mtf3h[1]),high);
	mtf3l = iff(not(condition3[1]),minList(low,mtf3l[1]),low);
	mtf3o = iff(condition3[1],open,mtf3o[1]);
	mtf3c = close;
	
	mtf3pvt = (mtf3h+mtf3l+mtf3c) / 3;
	diff3 = mtf3c - mtf3pvt;
	
	mtf4h = iff(not(condition4[1]),maxList(high,mtf4h[1]),high);
	mtf4l = iff(not(condition4[1]),minList(low,mtf4l[1]),low);
	mtf4o = iff(condition4[1],open,mtf4o[1]);
	mtf4c = close;

	mtf4pvt = (mtf4h+mtf4l+mtf4c) / 3;
	diff4 = mtf4c - mtf4pvt;
	
	
	Condition10 = diff0 > 0;
	Condition11 = diff1 > 0;
	Condition12 = diff2 > 0;
	Condition13 = diff3 > 0;
	Condition14 = diff4 > 0;
	 
	If condition10 then setPlotColor(1,Green) else SetPlotColor(1,Red);
	If condition11 then setPlotColor(2,Green) else SetPlotColor(2,Red);
	If condition12 then setPlotColor(3,Green) else SetPlotColor(3,Red);
	If condition13 then setPlotColor(4,Green) else SetPlotColor(4,Red);
	If condition14 then setPlotColor(5,Green) else SetPlotColor(5,Red);
	
	condition6 = condition10 and condition11 and condition12 and condition13 and condition14;
	Condition7 = not(condition10) and not(condition11) and not(condition12) and not(condition13) and not(condition14);

	If condition6 then setPlotColor(7,Green);
	If condition7 then setPlotColor(7,Red);
	
	If condition6 or condition7 then plot7(7,"trend");

	Plot6(5,"line");	
	Plot1(4,"t1");
	Plot2(3,"t2");
	Plot3(2,"t3");
	Plot4(1,"t4");
	Plot5(0,"t5"); 

end;
Multi-Time Frame with Discrete Time Frames