Category Archives: Must Know

The Complete Turtle EasyLanguage [Well About as Close as You Can Get]

The Complete Turtle EasyLanguage – Almost!

I have seen a plethora of posts on the Turtle trading strategies where the rules and code are provided.  The codes range from a mere Donchian breakout to a fairly close representation.  Without dynamic portfolio feedback its rather impossible to program the portfolio constraints as explained by Curtis Faith in his well received “Way Of The Turtle.”  But the other components can be programmed rather closely to Curtis’ descriptions.   I wanted to provide this code in a concise manner to illustrate some of EasyLanguage’s esoteric constructs and some neat shortcuts.  First of all let’s take a look at how the system has performed on Crude for the past 15 years.

Turtle Performance on Crude past 15 years

If a market trends, the Turtle will catch it.  Look how the market rallied in 2007 and immediately snapped back in 2008, and look at how the Turtle caught the moves – impressive.  But see how the system stops working in congestion.  It did take a small portion of the 2014 move down and has done a great job of catching the pandemic collapse and bounce.  In my last post, I programmed the LTL (Last Trader Loser) function to determine the success/failure of the Turtle System 1 entry.  I modified it slightly for this post and used it in concert with Turtle System 2 Entry and the 1/2N AddOn pyramid trade to get as close as possible to the core of the Turtle Entry/Exit logic.

Can Your Program This – sure you CAN!

Can You Program This?

I will provide the ELD so you can review at your leisure, but here are the important pieces of the code that you might not be able to derive without a lot of programming experience.

If mp[1] <> mp and mp <> 0 then 
begin
	if mp = 1 then
	begin	
		origEntry = entryPrice;
		origEntryName = "Sys1Long";
		If ltl = False and h >= lep1[1] then origEntryName = "Sys2Long";
	end;
	if mp =-1 then
	begin	
		origEntry = entryPrice;
		origEntryName = "Sys1Short";
		If ltl = False and l <= sep1[1] then origEntryName = "Sys2Short";
	end;
end;
Keeping Track Of Last Entry Signal Price and Name

This code determines if the current market position is not flat and is different than the prior bar’s market position.  If this is the case then a new trade has been executed.  This information is needed so that you know which exit to apply without having to forcibly tie them together using EasyLanguage’s from Entry keywords.  Here I just need to know the name of the entry.  The entryPrice is the entryPrice.  Here I know if the LTL is false, and the entryPrice is equal to or greater/less  than (based on current market position) than System 2 entry levels, then I know that System 2 got us into the trade.

If mp = 1 and origEntryName = "Sys1Long" then Sell currentShares shares next bar at lxp stop;
If mp =-1 and origEntryName = "Sys1Short" then buyToCover currentShares shares next bar at sxp stop;

//55 bar component - no contingency here
If mp = 0 and ltl = False then buy("55BBO") next bar at lep1 stop;
If mp = 1 and origEntryName = "Sys2Long" then sell("55BBO-Lx") currentShares shares next bar at lxp1 stop;

If mp = 0 and ltl = False then sellShort("55SBO") next bar at sep1 stop;
If mp =-1 and origEntryName = "Sys2Short" then buyToCover("55SBO-Sx") currentShares shares next bar at sxp1 stop;
Entries and Exits

The key to this logic is the keywords currentShares shares.  This code tells TradeStation to liquidate all the current shares or contracts at the stop levels.  You could use currentContracts contracts if you are more comfortable with futures vernacular.

AddOn Pyramiding Signal Logic

Before you can pyramid you must turn it on in the Strategy Properties.

Turn Pyramiding ON
If mp = 1 and currentShares < 4 then buy("AddonBuy") next bar at entryPrice + (currentShares * .5*NValue) stop;
If mp =-1 and currentShares < 4 then sellShort("AddonShort") next bar at entryPrice - (currentShares * .5*NValue) stop;

This logic adds positions on from the original entryPrice in increments of 1/2N.  The description for this logic is a little fuzzy.  Is the N value the ATR reading when the first contract was put on or is it dynamically recalculated?  I erred on the side of caution and used the N when the first contract was put on.  So to calculate the AddOn long entries you simply take the original entryPrice and add the currentShares * .5N.  So if currentShares is 1, then the next pyramid level would be entryPrice + 1* .5N.  If currentShares is 2 ,then entryPrice + 2* .5N and so on an so forth.  The 2N stop trails from the latest entryPrice.  So if you put on 4 contracts (specified in Curtis’ book), then the trailing exit would be 2N from where you added the 4th contract.  Here is the code for that.

Liquidate All Contracts at Last Entry –  2N

vars: lastEntryPrice(0);
If cs <= 1 then lastEntryPrice = entryPrice;
If cs > 1 and cs > cs[1] and mp = 1 then lastEntryPrice = entryPrice + ((currentShares-1) * .5*NValue);
If cs > 1 and cs > cs[1] and mp =-1 then lastEntryPrice = entryPrice - ((currentShares-1) * .5*NValue);

//If mp = -1 then print(d," ",lastEntryPrice," ",NValue);

If mp = 1 then sell("2NLongLoss") currentShares shares next bar at lastEntryPrice-2*NValue stop;
If mp =-1 then buyToCover("2NShrtLoss") currentShares shares next bar at lastEntryPrice+2*NValue Stop;
Calculate Last EntryPrice and Go From There

I introduce a new variable here: cs.  CS stands for currentShares and I keep track of it from bar to bar.  If currentShares or cs is less than or equal to1 I know that the last entryPrice was the original entryPrice.  Things get a little more complicated when you start adding positions – initially I couldn’t remember if EasyLanguage’s entryPrice contained the last entryPrice or the original – turns out it is the original – good to know.  So, if currentShares is greater than one and the current bar’s currentShares is greater than the prior bar’s currentShares, then I know I added on another contract and therefore must update lastEntryPrice.  LastEntryPrice is calculated by taking the original entryPrice and adding (currentShares-1) * .5N.  Now this is the theoretical entryPrice, because I don’t take into consideration slippage on entry.  You could make this adjustment.  So, once I know the lastEntryPrice I can determine 2N from that price.

Getting Out At 2N Trailing Stop

If mp = 1 then sell("2NLongLoss") currentShares shares next bar at lastEntryPrice-2*NValue stop;
If mp =-1 then buyToCover("2NShrtLoss") currentShares shares next bar at lastEntryPrice+2*NValue Stop;
Get Out At LastEntryPrice +/-2N

That’s all of the nifty code.  Below is the function and ELD for my implementation of the Turtle dual entry system.   You will see some rather sophisticated code when it comes to System 1 Entry and this is because of these scenarios:

  • What if you are theoretically short and are theoretically stopped out for a true loser and you can enter on the same bar into a long trade.
  • What if you are theoretically short and the reversal point would result in a losing trade.  You wouldn’t  record the loser in time to enter the long position at the reversal point.
  • What if you are really short and the reversal point would results in a true loser, then you would want to allow the reversal at that point

There are probably some other scenarios, but I think I covered all bases.  Just let me know if that’s not the case.  What I did to validate the entries was I programmed a 20/10 day breakout/failure with a 2N stop and then went through the list and deleted the trades that followed a non 2N loss (10 bar exit for a loss or a win.)  Then I made sure those trades were not in the output of the complete system.  There was quite a bit of trial and error.  If you see a mistake, like I said, just let me know.

Remember I published the results of different permutations of this strategy incorporating dynamic portfolio feedback at my other site www.trendfollowingsystems.com.  These results reflect the a fairly close portfolio that Curtis suggests in his book.

TURTLELTLFUNCTEST

 

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Implementing Finite State Machine Functionality with EasyLanguage (Last Trade Was Loser Filter a la Turtle)

Last Trade Was a Loser Filter – To Use or Not To Use

Premise

A major component of the Turtle algorithm was to skip the subsequent 20-day break out if the prior was a winner.  I guess Dennis believed the success/failure of a trade had an impact on the outcome of the subsequent trade.  I have written on how you can implement this in EasyLanguage in prior posts, but I have been getting some questions on implementing FSM in trading and thought this post could kill two birds with one stone: 1) provide a template that can be adapted to any LTL mechanism and 2) provide the code/structure of setting up a FSM using EasyLanguage’s Switch/Case structure.

Turtle Specific LTL Logic

The Turtle LTL logic states that a trade is a loser if a 2N loss occurs after entry.  N is basically an exponential-like moving average of TrueRange.  So if the market moves 2N against a long or short position and stops you out, you have a losing trade.  What makes the Turtle algorithm a little more difficult is that you can also exit on a new 10-day low/high depending on your position.  The 10-day trailing exit does not signify a loss.  Well at least in this post it doesn’t.  I have code that says any loss is a loss, but for this explanation let’s just stick to a 2N loss to determine a trade’s failure.

How To Monitor Trades When Skipping Some Of Them

This is another added layer of complexity.  You have to do your own trade accounting behind the scenes to determine if a losing trade occurs.  Because if you have a winning trade you skip the next trade and if you skip it how do you know if it would have been a winner or a loser.  You have to run a theoretical system in parallel with the actual system code.

Okay let’s start out assuming the last trade was a winner.  So we turn real trading off.  As the bars go by we look for a 20-Day high or low penetration.  Assume a new 20-Day high is put in and a long position is established at the prior 20-Day high.  At this point you calculate a 2N amount and subtract if from the theoretical entry price to obtain the theoretical exit price.  So you have a theoMP (marketPosition) and a theoEX (exit price.)  This task seems pretty simple, so you mov on and start looking for a day that either puts in a new 10-Day low or crosses below your theoEX price.  If a new 10-Day low is put in then you continue on looking for a new entry and a subsequent 2N loss.  If a 2N loss occurs, then you turn trading back on and continue monitoring the trades – turning trading off and then back on when necessary.  In the following code I use these variables:

  • state – 0: looking for an entry or 1: looking for an exit
  • lep – long entry price
  • sep– short entry price
  • seekLong – I am seeking a long position
  • seekShort – I am seeking a short position
  • theoMP – theoretical market position
  • theoEX – theoretical exit price
  • lxp – long exit price
  • sxp – short exit price

Let’s jump into the Switch/Case structure when state = 0:

	Switch(state)
	Begin
		Case 0:
			lep = highest(h[1],20) + minMove/priceScale;
			sep = lowest(l[1],20) - minMove/priceScale;
			If seekLong and h >= lep then 
			begin
				theoMP = 1;
				theoEX = maxList(lep,o) - 2 * atr; 
//				print(d," entered long >> exit at ",theoEX," ",atr);
			end;
			If seekShort and l <= sep then 
			begin
				theoMP = -1;
				theoEX = minList(sep,o) + 2 * atr;
			end;
			If theoMP <> 0 then 
			begin
				state = 1;
				cantExitToday = True;
			end;
State 0 (Finite State Set Up)

The Switch/Case is a must have structure in any programming language.  What really blows my mind is that Python doesn’t have it.  They claim its redundant to an if-then structure and it is but its so much easier to read and implement.  Basically you use the Switch statement and a variable name and based on the value of the variable it will flow to whatever case the variable equates to.  Here we are looking at state 0.  In the CASE: 0  structure the computer calculates the lep and sep values – long and short entry levels.  If you are flat then you are seeking a long or a short position.  If the high or low of the bar penetrates it respective trigger levels then theoMP is set to 1 for long or -1 for short.  TheoEX is then calculated based on the atr value on the day of entry.  If theoMP is set to either a 1 or -1, then we know a trade has just been triggered.  The Finite State Machine then switches gears to State 1.  Since State = 1 the next Case statement is immediately evaluated.  I don’t want to exit on the same bar as I entered (wide bars can enter and exit during volatile times) I use a variable cantExitToday.  This variable delays the Case 1: evaluation by one bar.

State = 1 code:

		Case 1:
			If not(cantExitToday) then
			begin
				lxp = maxList(theoEX,lowest(l[1],10)-minMove/priceScale);
				sxp = minList(theoEX,highest(h[1],10)+minMove/priceScale);	
				If theoMP = 1 and l <= lxp then
				begin
					theoMP = 0;
					seekLong = False;
					if lxp <= theoEX then 
						ltl = True
					Else 
						ltl = False;
				end;
				If theoMP =-1 and h >= sxp then
				begin
					theoMP = 0;
					seekShort = False;
					if sxp >= theoEX then 
						ltl = True
					else 
						ltl = False;
				end;
				If theoMP = 0 then state = 0;
			end;
			cantExitToday = False;	
	end;
State = 1 (Switching Gears)

Once we have a theoretical position, then we only examine the code in the Case 1: module.  On the subsequent bar after entry, the lxp and sxp (long exit and short exit prices) are calculated.  Notice these values use maxList or minList to determine whichever is closer to the current market action – the 2N stop or the lowest/highest low/high for the past 10-daysLxp and sxp are assigned whichever is closer.  Each bar’s high or low is compared to these values.  If theoMP = 1 then the low is compared to lxp.  If the low crosses below lxp, then things are set into motion.  The theoMP is immediately set to  0 and seekLong is turned to False.  If lxp <= a 2N loss then ltl (last trade loser) is set to true.  If not, then ltl is set to False.   If theoMP = 0 then we assume a flat position and switch the FSM back to State 0 and start looking for a new trade.  The ltl variable is then used in the code to allow a real trade to occur.

Strategy Incorporates Our FSM Output

vars:N(0),mp(0),NLossAmt(0);
If barNumber = 1 then n = avgTrueRange(20);
if barNumber > 1 then n = (n*19 + trueRange)/20;

If useLTLFilter then
Begin
	if ltl then buy next bar at highest(h,20) + minMove/priceScale stop;
	if ltl then sellShort next bar at lowest(l,20) -minMove/priceScale stop;
end
Else
Begin
	buy next bar at highest(h,20) + minMove/priceScale stop;
	sellShort next bar at lowest(l,20) -minMove/priceScale stop;
end;

mp = marketPosition;

If mp <> 0 and mp[1] <> mp then NLossAmt = 2 * n;

If mp = 1 then
Begin
	Sell("LL10-LX") next bar at lowest(l,10) - minMove/priceScale stop;
	Sell("2NLS-LX") next bar at entryPrice - NLossAmt stop;
end;
If mp =-1 then
Begin
	buyToCover("HH10-SX") next bar at highest(h,10) + minMove/priceScale stop;
	buyToCover("2NLS-SX") next bar at entryPrice + NLossAmt stop;
end;
Strategy Code Using ltl filter

This code basically replicates what we did in the FSM, but places real orders based on the fact that the Last Trade Was A Loser (ltl.)

Does It Work – Only Trade After a 2N-Loss

Last Trade Loser In Action

Without Filter on the last 10-years in Crude Oil

With Filter on the last 10-years in Crude Oil

I have programmed this into my TradingSimula-18 software and will show a portfolio performance with this filter a little later at www.trendfollowingsystems.com.

I had to do some fancy footwork with some of the code due to the fact you can exit and then re-enter on the same bar.  In the next post on this blog I will so you those machinations .  With this template you should be able to recreate any last trade was a loser mechanism and see if it can help out with your own trading algorithms.  Shoot me an email with any questions.

 

 

 

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A Quant’s ToolBox: Beautiful Soup, Python, Excel and EasyLanguage

Many Times It Takes Multiple Tools to Get the Job Done

Just like a mechanic, a Quant needs tools to accomplish many programming tasks.  In this post, I use a toolbox to construct an EasyLanguage function that will test a date and determine if it is considered a Holiday in the eyes of the NYSE.

Why a Holiday Function?

TradeStation will pump holiday data into a chart and then later go back and take it out of the database.  Many times the data will only be removed from the daily database, but still persist in the intraday database.  Many mechanical day traders don’t want to trade on a shortened holiday session or use the data for indicator/signal calculations.  Here is an example of a gold chart reflecting President’s Day data in the intra-day data and not in the daily.

Holiday Data Throws A Monkey Wrench Into the Works

This affects many stock index day traders.  Especially if automation is turned on.  At the end of this post I provide a link to my youTube channel for a complete tutorial on the use of these tools to accomplish this task.  It goes along with this post.

First Get The Data

I searched the web for a list of historical holiday dates and came across this:

Historic List of Holidays and Their Dates

You might be able to find this in a easier to use format, but this was perfect for this post.

Extract Data with Beautiful Soup

Here is where Python and the plethora of its libraries come in handy.  I used pip to install the requests and the bs4 libraries.  If this sounds like Latin to you drop me an email and I will shoot you some instructions on how to install these libraries.  If you have Python, then you have the download/install tool known as pip.

Here is the Python code.  Don’t worry it is quite short.

# Created:     24/02/2020
# Copyright:   (c) George 2020
# Licence:     <your licence>
#-------------------------------------------------------------------------------

import requests
from bs4 import BeautifulSoup

url = 'http://www.market-holidays.com/'
page = requests.get(url)
soup = BeautifulSoup(page.text,'html.parser')
print(soup.title.text)
all_tables = soup.findAll('table')
#print (all_tables)
print (len(all_tables))
#print (all_tables[0])
print("***")
a = list()
b = list()
c = list()
#print(all_tables[0].find_all('tr')[0].text)
for numTables in range(len(all_tables)-1):
    for rows in all_tables[numTables].find_all('tr'):
        a.append(rows.find_all('td')[0].text)
        b.append(rows.find_all('td')[1].text)

for j in range(len(a)-1):
    print(a[j],"-",b[j])
Using Beautiful Soup to Extract Table Data

As you can see this is very simple code.  First I set the variable url to the website where the holidays are located.  I Googled on how to do this – another cool thing about Python – tons of users.  I pulled the data from the website and stuffed it into the page object.  The page object has several attributes (properties) and one of them  is a text representation of the entire page.  I pass this text to the BeautifulSoup library and inform it to parse it with the html.parser.  In other words, prepare to extract certain values based on html tags.  All_tables contains all of the tables that were parsed from the text file using Soup.  Don’t worry how this works, as its not important, just use it as a tool.  In my younger days as a programmer I would have delved into how this works, but it wouldn’t be worth the time because I just need the data to carry out my objective; this is one of the reasons classically trained programmers never pick up the object concept.  Now that I have all the tables in a list I can loop through each row in each table.  It looked liker there were 9 rows and 2 columns in the different sections of the website, but I didn’t know for sure so I just let the library figure this out for me.  So I played around with the code and found out that the first two columns of the table contained the name of the holiday and the date of the holiday.  So, I simply stuffed the text values of these columns in two lists:  a and b.  Finally I print out the contents of the two lists, separated by a hyphen, into the Interpreter window.  At this point I could simply carry on with Python and create the EasyLanguage statements and fill in the data I need.  But I wanted to play around with Excel in case readers didn’t want to go the Python route.  I could have used a powerful editor such as NotePad++ to extract the data from the website in place of Python.  GREP could have done this.  GREP is an editor tool to find and replace expressions in a text file.

Use Excel to Create Actual EasyLanguage – Really!

I created a new spreadsheet.  I used Excel, but you could use any spreadsheet software.   I first created a prototype of the code I would need to encapsulate the data into array structures.  Here is what I want the code to look like:

Arrays: holidayName[300](""),holidayDate[300](0);

holidayName[1]="New Year's Day ";	holidayDate[1]=19900101;
Code Prototype

This is just the first few lines of the function prototype.  But you can notice a repetitive pattern.  The array names stay the same – the only values that change are the array elements and the array indices.  Computers love repetitiveness.  I can use this information a build a spreadsheet – take a look.

Type EasyLanguage Into the Columns and Fill Down!

I haven’t copied the data that I got out of Python just yet.  That will be step 2.  Column A has the first array name holidayName (notice I put the left square [ bracket in the column as well).  Column B will contain the array index and this is a formula.  Column C contains ]=”.  Column D will contain the actual holiday name and Column E contains theThese columns will build the holidayName array.  Columns G throuh K will build the holidayDates array.    Notice column  H  equals column B.  So whatever we do to column B (Index) will be reflected in Column H (Index).  So we have basically put all the parts of the EasyLanguage into  Columns A thru K. 

Excel provides tools for manipulating strings and text.  I will use the Concat function to build my EasyLanguageBut before I can use Concat all the stuff I want to string together must be in a string or text format.  The only column in the first five that is not a string is Column B.  So the first thing I have to do is convert it to text.  First copy the column and paste special as values.  Then go to your Data Tab and select Text To Columns. 

Text To Columns

It will ask if fixed width or delimited – I don’t think it matters which you pick.  On step 3 select text.

Text To Columns – A Powerful Tool

The Text To Columns button will solve 90% of your formatting issues in Excel.    Once you do this you will notice the numbers will be left justified – this signifies a text format.  Now lets select another sheet in the workbook and past the holiday data.

Copy Holiday Data Into Another Spreadsheet

New Year's Day - January 1, 2021
Martin Luther King, Jr. Day - January 18, 2021
Washington's Birthday (Presidents' Day) - February 15, 2021
Good Friday - April 2, 2021
Memorial Day - May 31, 2021
Independence Day - July 5, 2021
Labor Day - September 6, 2021
Thanksgiving - November 25, 2021
Christmas - December 24, 2021
New Year's Day - January 1, 2020
Martin Luther King, Jr. Day - January 20, 2020
Washington's Birthday (Presidents' Day) - February 17, 2020
Good Friday - April 10, 2020
Memorial Day - May 25, 2020
Holiday Output

 

Data Is In Column A

Text To Columns to the rescue.  Here I will separate the data with the “-” as delimiter and tell Excel to import the second column in Date format as MDY.  

Text To Columns with “-” as the delimiter and MDY as Column B Format

Now once the data is split accordingly into two columns with the correct format – we need to convert the date column into a string.

Convert Date to a String

Now the last couple of steps are really easy.  Once you have converted the date to a string, copy Column A and past into Column D from the first spreadsheet.  Since this is text, you can simply copy and then paste.  Now go back to Sheet 2 and copy Column C and paste special [values] in Column J on Sheet 1.  All we need to do now is concatenate the strings in Columns A thru E for the EasyLanguage for the holidayName array.  Columns G thru K will be concatenated for the holidayDate array.  Take a look.

Concatenate all the strings to create the EasyLanguage

Now create a function in the EasyLanguage editor and name it IsHoliday and have it return a boolean value.  Then all you need to do is copy/paste Columns F and L and the data from the website will now be available for you use.   Here is a portion of the function code.  Notice I declare the holidayNameStr as a stringRef?  I did this so I could change the variable in the function and pass it back to the calling routine.

Inputs : testDate(numericSeries),holidayNameStr(stringRef);

Arrays: holidayName[300](""),holidayDate[300](0);

holidayNameStr = "";

holidayName[1]="New Year's Day ";	holidayDate[1]=19900101;
holidayName[2]="Martin Luther King, Jr. Day ";	holidayDate[2]=19900115;
holidayName[3]="Washington's Birthday (Presidents' Day) ";	holidayDate[3]=19900219;
holidayName[4]="Good Friday ";	holidayDate[4]=19900413;
holidayName[5]="Memorial Day ";	holidayDate[5]=19900528;
holidayName[6]="Independence Day ";	holidayDate[6]=19900704;
holidayName[7]="Labor Day ";	holidayDate[7]=19900903;
holidayName[8]="Thanksgiving ";	holidayDate[8]=19901122;
holidayName[9]="New Year's Day ";	holidayDate[9]=19910101;
holidayName[10]="Martin Luther King, Jr. Day ";	holidayDate[10]=19910121;
holidayName[11]="Washington's Birthday (Presidents' Day) ";	holidayDate[11]=19910218;

// There are 287 holiays in the database.
// Here is the looping mechanism to compare the data that is passed
// to the database

vars: j(0);
IsHoliday = False;
For j=1 to 287
Begin
	If testDate = holidayDate[j] - 19000000 then
	Begin
		holidayNameStr = holidayName[j] + " " + numToStr(holidayDate[j],0);
		IsHoliday = True;
	end;
end;
A Snippet Of The Function - Including Header and Looping Mechanism

This was a pretty long tutorial and might be difficult to follow along.  If you want to watch my video, then go to this link.

I created this post to demonstrate the need to have several tools at your disposal if you really want to become a Quant programmer.  How you use those tools is up to you.  Also you will be able to take bits and pieces out of this post and use in other ways to get the data you really need.  I could have skipped the entire Excel portion of the post and just did everything in Python.  But I know a lot of Quants that just love spreadsheets.  You have to continually hone your craft in this business.   And you can’t let one software application limit your creativity.  If you have a problem always be on the lookout for alternative platforms and/or languages to help you solve it.

 

 

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Free Trend Following System with Indicator Tracker

Free Trend Following System

Here is a free Trend Following System that I read about on Andreas Clenow’s www.followthetrend.com website and from his book.  This is my interpretation of the rules as they were explained.  However the main impetus behind this post wasn’t to provide a free trading system, but to show how you can program a simple system with a complete input interface and program a tracking indicator.   You might be asking what is a “tracking indicator?”  We use a tracking indicator to help provide insight to what the strategy is doing and what it might do in the near future.  The indicator can let you know that a new signal is imminent and also what the risk is in a graphical form.  The indicator can also plot the indicators that are used in the strategy itself.

Step 1:  Program the Strategy

This system is very simple.  Trade on a 50 day Donchian in the direction of the trend and use a 3 X ATR trailing stop.  So the trend is defined as bullish when the 50-day exponential moving average is greater than the 100-day exponential moving average.  A bearish trend is defined when the 50-day is below the 100-day.  Long positions are initiated on the following day when a new 50 day high has been established and the trend is bullish.  Selling short occurs when the trend is bearish and a new 50 day low is establish.  The initial stop  is set to 3 X ATR below the high of the day of entry.  I tested using a 3 X ATR stop initially from the entryPrice for protection on the day of entry, but it made very little difference.  As the trade moves more into your favor, the trailing stop ratchets up and tracks the higher intra-trade extremes.  Eventually once the market reverses you get stopped out of a long position 3 X ATR from the highest high since you entered the long trade.  Hopefully, with a big winner.   The Clenow model also uses a position sizing equation that uses ATR to determine market risk and $2000 for the allocated amount to risk.  Size= 2000 / ATR – this equation will normalize size across a portfolio of markets.

Here is the code.

//Based on Andreas Clenow's description from www.followingthetrend.com
//This is my interpretation and may or may not be what Andreas intended
//Check his books out at amazon.com
//
inputs: xAvgShortLen(50),xAvgLongLen(100),hhllLen(50),buyTrigPrice(h),shortTrigPrice(l),risk$Alloc(2000);
inputs: atrLen(30),trailATRMult(3);
vars: avg1(0),avg2(0),lXit(0),sXit(0),posSize(0),atr(0);

avg1  = xaverage(c,xAvgShortLen);
avg2  = xaverage(c,xAvgLongLen);

atr = avgTrueRange(atrLen);
posSize = maxList(1,intPortion(risk$Alloc/(atr*bigPointValue)));

If marketPosition <> 1 and avg1 > avg2 and buyTrigPrice = highest(buyTrigPrice,hhllLen) then buy posSize contracts next bar at open;
If marketPosition <> -1 and avg1 < avg2 and shortTrigPrice = lowest(shortTrigPrice,hhllLen) then sellshort posSize contracts next bar at open;

If marketPosition = 0 then
Begin
	lXit = o - trailATRMult * atr ;
	sXit = o + trailATRMult * atr; 
//	if c < lXit then Sell currentcontracts contracts next bar at open;
//	If c > sXit then buyToCover currentcontracts contracts next bar at open;
end;

If marketPosition = 1 then 
begin
	lXit = maxList(lXit,h - trailATRMult * atr);
	If c < lXit then sell currentContracts contracts next bar at open;
end;

If marketPosition = -1 then 
begin
	sXit = minList(sXit,l + trailATRMult * atr);
	If c > sXit then buyToCover currentContracts contracts next bar at open;
end;
Cleanow Simple Trend Following System

What I like about this code is how you can use it as a template for any trend following approach.  All the variables that could be optimized are included as inputs.  Many may not know that you can actually change the data series that you want to use as your signal generator right in the input.  Here I have provided two inputs : buyTrigPrice(H), shortTrigPrice(L).  If you want to use the closing price, then all you need to do is change the H and L to C.  The next lines of code performs the calculations needed to calculate the trend.  PosSize is then calculated next.  Here I am dividing the variable risk$Alloc by atr*bigPointValue.  Basically I am taking $2000 and dividing the average true range over the past 30 days multiplied by the point value of the market being tested.  Always remember when doing calculations with $s you have to convert whatever else you are using into dollars as well.  The ATR is expressed in the form of a price difference.  You can’t divide dollars by a price component, hence the multiplication by bigPointValue.  So now we have the trend calcuation and the position sizing taken care of and all we need now is the trend direction and the entry levels.  If avg1 > avg2 then the market is in a bullish posture, and if today’s High = highest(High,50) days back then initiate a long position with posSize contracts at the next bar’s openNotice how I used the keyword contracts after posSize.  This let’s TS know that I want to trade more than one contract.  If the current position is flat I set the lXit and sXit price levels to the open -/+ 3 X ATR.  Once a position (long or short) is initiated then I start ratcheting the trailing stop up or down.  Assuming a long position, I compare the current lXit and the current bar’s HIGH- 3 X ATR and take the larger of the two valuesSo lXit always moves up and never down.  Notice if the close is less than lXit I used the keyword currentContracts and contracts in the directive to exit a long trade.  CurrentContracts contains the current number of contracts currently long and contracts informs TS that more than one contract is being liquidated.  Getting out of a short position is exactly the same but in a different direction.

Step 2: Program the System Tracking Indicator

Now you can take the exact code and eliminate all the order directives and use it to create a tracking indicator.  Take a look at this code:

//Based on Andreas Clenow's description from www.followingthetrend.com
//This is my interpretation and may or may not be what Andreas intended
//Check his books out at amazon.com
//
inputs: xAvgShortLen(50),xAvgLongLen(100),hhllLen(50),buyTrigPrice(h),shortTrigPrice(l);
inputs: atrLen(30),trailATRMult(3);
vars: avg1(0),avg2(0),lXit(0),sXit(0),posSize(0),atr(0),mp(0);

avg1  = xaverage(c,xAvgShortLen);
avg2  = xaverage(c,xAvgLongLen);

atr = avgTrueRange(atrLen);

plot1(avg1,"stXavg");
plot2(avg2,"ltXavg");

If avg1[1] > avg2[1] and buyTrigPrice[1] = highest(buyTrigPrice[1],hhllLen) then mp = 1;
If avg1[1] < avg2[1] and shortTrigPrice[1] = lowest(shortTrigPrice[1],hhllLen) then mp = -1;

If mp = 0 then
Begin
	lXit = o - trailATRMult * atr ;
	sXit = o + trailATRMult * atr;
end;

If mp = 1 then 
begin
	lXit = maxList(lXit,h - trailATRMult * atr);
	plot3(lXit,"LongTrail");
	If c < lXit then mp = 0;
end;

If mp = -1 then 
begin
	sXit = minList(sXit,l + trailATRMult * atr);
	plot4(sXit,"ShortTrail");
	If c > sXit then mp = 0;
end;

However, you do need to keep track if the underlying strategy is long or short and you can do this by pretending you are the computer and using the mp variable.  You know if yesterdays avg1 > avg2 and HIGH[1] = highestHigh(HIGH[1],50), then a long position should have been initiated.  If this happens just set mp to 1You set mp to -1 by checking the trend and lowestLow(LOW[1],50).  Once you know the mp or implied market position then you can calculate the lXit and sXit.  You will always plot the moving averages to help determine trend direction, but you only plot the lXit and sXit when a position is on.  So plot3 and plot4 should only be plotted when a position is long or short.

Here is a screenshot of the strategy and tracking indicator.

Notice how the Yellow and Cyan plots follow the correct market position.  You will need to tell TS not to connect these plot lines when they are not designed to be plotted.

Turn-Off Auto Plot Line Connection

Do this for Plot3 and Plot4 and you will be good to go.

I hope you found this post useful.  Also don’t forget to check out my new book at Amazon.com.  If you really want to learn programming that will help across different platforms I think it would be a great learning experience.

 

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A Christmas Project for TradeStation Day-Traders

Here is a neat little day trader system that takes advantage of what some technicians call a “CLEAR OUT” trade.  Basically traders push the market through yesterday’s high and then when everybody jumps on board they pull the rug out from beneath you.  This strategy tries to take advantage of this.  As is its OK, but it could be made into a complete system with some filtering.  Its a neat base to start your day-trading schemes from.

But first have you ever encountered this one when you only want to go long once during the day.

I have logic that examines marketPosition, and if it changes from a non 1 value to 1 then I increment buysToday.  Since there isn’t an intervening bar to establish a change in marketPosition, then buysToday does not get incremented and another buy order is issued.  I don’t want this.  Remember to plot on the @ES.D.

Here’s how I fixed it and also the source of the CLEAR-OUT day-trade in its entirety.  I have a $500 stop and a $350 take profit, but it simply trades way too often.  Have fun with this one – let me now if you come up with something.

inputs: clearOutAmtPer(0.1),prot$Stop(325),prof$Obj(500),lastTradeTime(1530);

vars: coBuy(false),coSell(false),buysToday(0),sellsToday(0),mp(0),totNumTrades(0);

If d <> d[1] then
Begin
	coBuy = false;
	coSell = false;
	buysToday = 0;
	sellsToday = 0;
	totNumTrades = totalTrades;
end;

 
mp = marketPosition;
If mp[1] <> mp and mp = 1 then buysToday = buysToday + 1;
If mp[1] <> mp and mp = -1 then sellsToday = sellsToday + 1;

If h > highD(1) + clearOutAmtPer * (highD(1) - lowD(1)) then coSell = true;
If l < lowD(1) - clearOutAmtPer * (highD(1) - lowD(1)) then coBuy = true;

If totNumTrades <> totalTrades and mp = 0 and mp[1] = 0 and positionProfit(1) < 0 and entryPrice(1) > exitPrice(1) then buysToday = buysToday + 1;
If totNumTrades <> totalTrades and mp = 0 and mp[1] = 0 and positionProfit(1) < 0 and entryPrice(1) < exitPrice(1) then sellsToday =sellsToday + 1;

totNumTrades = totalTrades;

If buysToday = 0 and t < lastTradeTime and coBuy = true then buy ("COBuy") next bar at lowD(1) + minMove/priceScale stop;
If sellsToday = 0 and t < lastTradeTime and coSell = true then sellShort ("COSell") next bar at highD(1) - minMove/priceScale stop;

setStopLoss(prot$stop);
Setprofittarget(prof$Obj);
setExitOnClose;
Look at lines 22 and 23 - the entry/exit same bar fix

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Testing Keith Fitschen’s Bar Scoring with Pattern Smasher

Keith’s Book

Thanks to MJ for planting the seed for this post.  If you were one of the lucky ones to get Keith’s “Building Reliable Trading SystemsTradable Strategies that Perform as They Backtest and Meet Your Risk-Reward Goals”  book by John Wiley 2013 at the list price of $75 count yourself lucky.  The book sells for a multiple of that on Amazon.com.  Is there anything earth shattering in the book you might ask?  I wouldn’t necessarily say that, but there are some very well thought out and researched topics that most traders would find of interest.

Bar Scoring

In his book Keith discusses the concept of bar-scoring.  In Keith’s words, “Bar-scoring is an objective way to classify an instrument’s movement potential every bar.  The two parts of the bar-scoring are the criterion and the resultant profit X days hence.”  Keith provides several bar scoring techniques, but I highlight just one.

Keith broke these patterns down into the relationship of the close to the open, and close in the upper half of the range; close greater than the open and close in the lower half of the range.  He extended the total number of types to 8 by adding the relationship of the close of the bar to yesterdays bar.

The PatternSmasher code can run through a binary representation

for each pattern and test holding the position for an optimizable number of days.  It can also check for long and short positions.  The original Pattern Smasher code used a for-loop to create patterns that were then compared to the real life facsimile.  In this code it was easier to just manually define the patterns and assign them the binary string.

if c[0]> c[1] and c[0] > o[0] and c[0] > (h[0] + l[0])/2  then patternString = "----";
if c[0]> c[1] and c[0] > o[0] and c[0] < (h[0] + l[0])/2  then patternString = "---+";
if c[0]> c[1] and c[0] < o[0] and c[0] > (h[0] + l[0])/2  then patternString = "--+-";
if c[0]> c[1] and c[0] < o[0] and c[0] < (h[0] + l[0])/2  then patternString = "--++";
if c[0]< c[1] and c[0] > o[0] and c[0] > (h[0] + l[0])/2  then patternString = "-+--";
if c[0]< c[1] and c[0] > o[0] and c[0] < (h[0] + l[0])/2  then patternString = "-+-+";
if c[0]< c[1] and c[0] < o[0] and c[0] > (h[0] + l[0])/2  then patternString = "-++-";
if c[0]< c[1] and c[0] < o[0] and c[0] < (h[0] + l[0])/2  then patternString = "-+++";
Manual Pattern Designations

Please check my code for any errors.  Here I go through the 8 different relationships and assign them to a Patter String.  “-+++”  represents pattern number (7 ) or type (7 + 1 = 8 – my strings start out at 0).  You can then optimize the test pattern and if the test pattern matches the actual pattern, then the Pattern Smasher takes the trade  on the opening of the next bar and holds it for the number of days you specify.  You an also designate long and short positions in the code.  Here I optimized the 8 patterns going long and short and holding from 1-4 days.

Here is the equity curve!  Remember these are Hypothetical Results with $0 commission/slippage and historic performance is not necessarily indicative of future results.  Educational purposes only!  This is tested on ES.D

Play around with the code and let me know if you find any errors or any improvements.

input: patternTests(8),orbAmount(0.20),LorS(1),holdDays(0),atrAvgLen(10),enterNextBarAtOpen(true);
  
var: patternTest(""),patternString(""),tempString("");
var: iCnt(0),jCnt(0);
array: patternBitChanger[4](0);
   
{written by George Pruitt -- copyright 2019 by George Pruitt
 This will test a 4 day pattern based on the open to close
 relationship.  A plus represents a close greater than its
 open, whereas a minus represents a close less than its open.
 The default pattern is set to pattern 14 +++- (1110 binary).
 You can optimize the different patterns by optimizing the
 patternTests input from 1 to 16 and the orbAmount from .01 to
 whatever you like.  Same goes for the hold days, but in this
 case you optimize start at zero.  The LorS input can be
 optimized from 1 to 2 with 1 being buy and 2 being sellshort.}
  
patternString = "";
patternTest = "";
 
patternBitChanger[0] = 0;
patternBitChanger[1] = 0;
patternBitChanger[2] = 0;
patternBitChanger[3] = 0;
 
value1 = patternTests - 1;
 
 
//example patternTests = 0 -- > 0000
//example patternTests = 1 -- > 0001
//example patternTests = 2 -- > 0010
//example patternTests = 3 -- > 0011
//example patternTests = 4 -- > 0100
//example patternTests = 5 -- > 0101
//example patternTests = 6 -- > 0110
//example patternTests = 7 -- > 0111

if(value1 >= 0) then
begin
 
    if(mod(value1,2) = 1) or value1 = 1 then patternBitChanger[0] = 1;
    value2 = value1 - patternBitChanger[0] * 1;
  
    if(value2 >= 7) then begin
        patternBitChanger[3] = 1;
        value2 = value2 - 8;
    end;
 
    if(value2 >= 4) then begin
        patternBitChanger[2] = 1;
        value2 = value2 - 4;
    end;
    if(value2 = 2) then patternBitChanger[1] = 1;
end;

for iCnt = 3 downto 0  begin
    if(patternBitChanger[iCnt] = 1) then
    begin
        patternTest = patternTest + "+";
    end
    else
    begin
        patternTest = patternTest + "-";    
    end;
end;
 
 patternString = "";
  
if c[0]> c[1] and c[0] > o[0] and c[0] > (h[0] + l[0])/2  then patternString = "----";
if c[0]> c[1] and c[0] > o[0] and c[0] < (h[0] + l[0])/2  then patternString = "---+";
if c[0]> c[1] and c[0] < o[0] and c[0] > (h[0] + l[0])/2  then patternString = "--+-";
if c[0]> c[1] and c[0] < o[0] and c[0] < (h[0] + l[0])/2  then patternString = "--++";
if c[0]< c[1] and c[0] > o[0] and c[0] > (h[0] + l[0])/2  then patternString = "-+--";
if c[0]< c[1] and c[0] > o[0] and c[0] < (h[0] + l[0])/2  then patternString = "-+-+";
if c[0]< c[1] and c[0] < o[0] and c[0] > (h[0] + l[0])/2  then patternString = "-++-";
if c[0]< c[1] and c[0] < o[0] and c[0] < (h[0] + l[0])/2  then patternString = "-+++";

 
if(barNumber = 1) then print(elDateToString(date)," pattern ",patternTest," ",patternTests-1);
if(patternString = patternTest) then
 begin
 
//   print(date," ",patternString," ",patternTest); //uncomment this and you can print out the pattern
	if (enterNextBarAtOpen) then
	begin
		if(LorS = 2) then SellShort("PatternSell") next bar on open;
		if(LorS = 1) then buy("PatternBuy") next bar at open;
	end
	else
	begin
		if(LorS = 2) then SellShort("PatternSellBO") next bar at open of tomorrow - avgTrueRange(atrAvgLen) * orbAmount stop;
    	if(LorS = 1) then buy("PatternBuyBO") next bar at open of tomorrow + avgTrueRange(atrAvgLen) * orbAmount stop;
    end;
	

end;
 
if(holdDays = 0 ) then setExitonClose;
if(holdDays > 0) then
begin
    if(barsSinceEntry = holdDays and LorS = 2) then BuyToCover("xbarLExit") next bar at open;
    if(barsSinceEntry = holdDays and LorS = 1) then Sell("xbarSExit") next bar at open;
end;
Bar Scoring Testing Template
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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.

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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
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Programming a Multi-Time Frame Indicator in EasyLanguage

Take a look at this indictor.

MTF indicator EasyLanguage

This indicator plots five different time frames as a stacked chart. The circles or dots at the bottom represent the difference between the closing price of each time frame and its associated pivot price  [(high + low + close)/3].  The value plotted at 4, in this case, represents the 5 minute time frame.  The 10-minute time frame is represented by the plot at 3 and so on.  The value plotted at 7 represents the composite of all the time frames.  It is only turned on if all times are either red or green.  If there is a disagreement then nothing is plotted.

This indicator is relatively simple even though the plot looks complicated.  You have to make sure the indicator is plotted in a separate pane.  The y – axis has 0 and 8 as its boundaries.  All you have to do is keep track of the highest highs/lowest lows for each time frame.  I use a multiplier of the base time frame to create different time frames.  TimeFrame1Mult = 2 represents 10 minutes and TimeFrame2Mult = 3 and that represents 15 minutes.  The indicator shows how strong the current swing is across five different time frames.  When you start getting a mix of green and red dots this could indicate a short term trend change.  You can use the EasyLanguage to plug in any indicator over the different time frames.  Here’s the code.  Just email me with questions or if you see a mistake in the coding.

{EasyLanguage MultiTime Frame Indicator)
 written by George Pruitt - copyright 2019 by George Pruitt
 }


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
	
	mtf0pvt = (close + high + low) / 3;
	diff0 = close - mtf0pvt;
	
	mtf1h = highest(h,tf1Mult);
	mtf1l = lowest(l,tf1Mult);
	mtf1c = close;
	
	mtf1pvt = (mtf1h+mtf1l+mtf1c) / 3;
	diff1 = mtf1c - mtf1pvt;
	
	mtf2h = highest(h,tf2Mult);
	mtf2l = lowest(l,tf2Mult);
	mtf2c = close;
	
	mtf2pvt = (mtf2h+mtf2l+mtf2c) / 3;
	diff2 = mtf2c - mtf2pvt;
		
	mtf3h = highest(h,tf3Mult);
	mtf3l = lowest(l,tf3Mult);
	mtf3c = close;
	
	mtf3pvt = (mtf3h+mtf3l+mtf3c) / 3;
	diff3 = mtf3c - mtf3pvt;
	
	mtf4h = highest(h,tf4Mult);
	mtf4l = lowest(l,tf4Mult);
	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;
MTF in EasyLanguage

 

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Working Around 0:00 Time in EasyLanguage

Let’s say you want to carve out a special session of data from the 24-hour data session – maybe keep track of the highest high and lowest low from 9:00 p.m. to 4:00 p.m. the next day.  How would you do it?

To start with you would need to reset the highest high and lowest low values each day.  So you could say if the current bars time > StartTime and the prior bars time <= StartTime then you know the first bar of your specialized session has started.  So far so good.  If the time falls outside the boundaries of your special session then you want to ignore that data -right?  What about this:

If t >StartTime and t <= EndTime then…

{Remember EasyLanguage uses the end time stamp for its intraday bars}

Sounds good.  But what happens when time equals 2300 or 11:00 p.m.?  You want to include this time in your session but the if-then construct doesn’t work.    2300 is greater than 2100 but it’s not less than 1600 so it doesn’t pass the test.  The problems arise when the EndTime < StartTime.  It really isn’t since the EndTime is for the next day, but the computer doesn’t know that.  What to do?  Here is a quick little trick to help you solve this problem:  use a special offset if the time falls in a certain range.

EndTimeOffset = 0 ;

If t >=StartTime and t <= 2359 then EndTimeOffset= 2400 – EndTime;

Going back to our example of the current time of 2300 and applying this little bit of code our EndTimeOffset would be equal to 2400 – 1600 or 800.  So if t = 2300, you subtract 800 and get 1500 and that works.

2300 – 800 = 1500 which is less than 1600 –> works

What if t = 300 or 3:00 a.m.  Then EndTimeOffset = 0; 300 – 0 is definitely less than 1600.

That solves the problem with the EndTime.  Or does it?  What if EndTime is like 1503?  So you have 2400 – 1503 which is something like 897.  What if time is 2354 and you subtract 897 you get 1457 and that still works since its less than 1503.  Ok, what about if EndTime = 1859 then you get 2400 – 1859 which equals 541.  If time  = 2354 and you subtract 541 you get 1843 and that still works.

Is there a similar problem with the StartTime?  If t = 3:00 a.m. then it is not greater than our StartTime of 2100, but we want it in our window.  We need another offset.  This time we want to make a StartTime offset equal to 2400 when we cross the 0:00 timeline.  And then reset it to zero when we cross the StartTime timeline.  Let’s see if it works:

t = 2200 : is t > StartTime?  Yes

t=0002 : is t > StartTime?  No, but should be.  We crossed the 0000 timeline so we need to add 2400 to t and then compare to StartTime:

t + 2400 = 2402 and it is greater than StartTime.  Make sense?

Probably not but look at the code:

inputs: StartTime(numericSimple),EndTime(numericSimple),StartTimeOffSet(numericRef),EndTimeOffSet(numericRef);

If t >= StartTime and t[1] < StartTime then StartTimeOffSet = 0;
EndTimeOffSet = 0;
If t >= StartTime and t <= 2359 then EndTimeOffSet = 2400 - EndTime;
If t < t[1] then StartTimeOffSet = 2400;

TimeOffsets = 1; 
Function To Calculate Start and End Time Offsets

Here is an the indicator code that calls the function:

vars: startTimeWindow(2100),endTimeWindow(1600);
vars: startOffSet(0),endOffSet(0);
Value1 = timeOffSets(startTimeWindow,endTimeWindow,startOffSet,endOffSet);

If t+startOffset > startTimeWindow and t-endOffSet <=endTimeWindow then
Begin
	
end
Else
Begin
	print(d," ",t," outside time window ");
end;
Calling TimeOffsets Function

Hope this helps you out.  I am posting this for two reasons: 1) to help out and 2) prevent me from reinventing the wheel every time I have to use time constraints on a larger time frame of data.

StartTimeWindow = 2300

EndTimeWindow = 1400

Time = 2200, FALSE

Time = 2315, TRUE [2315 > 2300 and 2315 – (2400 -1400) <1400)]

This code should work with all times.  Shoot me an email if you find it doesn’t.

 

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