Category Archives: EasyLanguage Snippets

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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Using a Dictionary to Create a Trading System

Dictionary Recap

Last month’s post on using the elcollections dictionary was a little thin so I wanted to elaborate on it and also develop a trading system around the best patterns that are stored in the dictionary.  The concept of the dictionary exists in most programming languages and almost all the time uses the (key)–>value model.  Just like a regular dictionary a word or a key has a unique definition or value.  In the last post, we stored the cumulative 3-day rate of return in keys that looked like “+ + – –” or “+ – – +“.  We will build off this and create a trading system that finds the best pattern historically based on average return.  Since its rather difficult to store serial data in a Dictionary I chose to use Wilder’s smoothing average function.

Ideally, I Would Have Liked to Use a Nested Dictionary

Initially, I played around with the idea of the pattern key pointing to another dictionary that contained not only the cumulative return but also the frequency that each pattern hit up.  A dictionary is designed to have  unique key–> to one value paradigm.  Remember the keys are strings.  I wanted to have unique key–> to multiple values. And you can do this but it’s rather complicated.  If someone wants to do this and share, that would be great.  AndroidMarvin has written an excellent manual on OOEL and it can be found on the TradeStation forums.  

Ended Up Using A Dictionary With 2*Keys Plus an Array

So I didn’t want to take the time to figure out the nested dictionary approach or a vector of dictionaries – it gets deep quick.  So following the dictionary paradigm I came up with the idea that words have synonyms and those definitions are related to the original word.  So in addition to having keys like “+ + – -” or “- – + -” I added keys like “0”, “1” or “15”.  For every  + or – key string there exists a parallel key like “0” or “15”.  Here is what it looks like:

–  –  –  –  = “0”
– – – + = “1”
– – + – = “2”

You can probably see the pattern here.  Every “+” represents a 1 and every “0” represent 0 in a binary-based numbering system.  In the + or – key I store the last value of Wilders average and in the numeric string equivalent, I store the frequency of the pattern.

Converting String Keys to Numbers [Back and Forth]

To use this pattern mapping I had to be able to convert the “++–” to a number and then to a string.  I used the numeric string representation as a dictionary key and the number as an index into an array that store the pattern frequency.  Here is the method I used for this conversion.  Remember a method is just a function local to the analysis technique it is written.

//Lets convert the string to unique number
method int convertPatternString2Num(string pattString) 
Vars: int pattLen, int idx, int pattNumber;
begin
	pattLen = strLen(pattString);
	pattNumber = 0;
	For idx = pattLen-1 downto 0 
	Begin
		If MidStr(pattString,pattLen-idx,1) = "+" then pattNumber = pattNumber + power(2,idx);
	end;
	Return (pattNumber);
end;
String Pattern to Number

This is a simple method that parses the string from left to right and if there is a “+” it is raised to the power(2,idx) where idx is the location of “+” in the string.  So “+  +  –  –  ” turns out to be 8 + 4 + 0 + 0 or 12.

Once I retrieve the number I used it to index into my array and increment the frequency count by one.  And then store the frequency count in the correct slot in the dictionary.

patternNumber = convertPatternString2Num(patternString); 
//Keep track of pattern hits
patternCountArray[patternNumber] = patternCountArray[patternNumber] + 1;
//Convert pattern number to a string do use as a Dictionary Key
patternStringNum = numToStr(patternNumber,2);
//Populate the pattern number string key with the number of hits
patternDict[patternStringNum] = patternCountArray[patternNumber] astype double;
Store Value In Array and Dictionary

Calculating Wilder’s Average Return and Storing in Dictionary

Once I have stored an instance of each pattern [16] and the frequency of each pattern[16] I calculate the average return of each pattern and store that in the dictionary as well.

//Calculate the percentage change after the displaced pattern hits
Value1 =  (c - c[2])/c[2]*100;
//Populate the dictionary with 4 ("++--") day pattern and the percent change
if patternDict.Contains(patternString) then
Begin
	patternDict[patternString] = (patternDict[patternString] astype double * 
	(patternDict[patternStringNum] astype double - 1.00) + Value1) / patternDict[patternStringNum] astype double;
end
Else
begin
	patternDict[patternString] = value1;
//	print("Initiating: ",patternDict[patternString] astype double);
end;
(pAvg * (N-1) + return) / N

When you extract a value from a collection you must us an identifier to expresses its data type or you will get an error message : patternDict[patternString] holds a double value {a real number}  as well as patternDict[patternStringNum] – so I have to use the keyword asType.  Once I do my calculation I ram the new value right back into the dictionary in the exact same slot.  If the pattern string is not in the dictionary (first time), then the Else statement inserts the initial three-day rate of return.

Sort Through All of The Patterns and Find the Best!

The values in a dictionary are stored in alphabetic order and the string patterns are arranged in the first 16 keys.  So I loop through those first sixteen keys and extract the highest return value as the “best pattern.”

//  get the best pattern that produces the best average 3 bar return
vars: hiPattRet(0),bestPattString("");
If patternDict.Count > 29 then
Begin
	index = patternDict.Keys;
	values = patternDict.Values; 
	hiPattRet = 0;
	For iCnt = 0 to 15
	Begin
		If values[iCnt] astype double > hiPattRet then
		Begin
			hiPattRet = values[iCnt] astype double ;
			bestPattString = index[iCnt] astype string;
		end;
	end;
//	print(Date," BestPattString ",bestPattString," ",hiPattRet:8:4," CurrPattString ",currPattString);
end;
Extract Best Pattern From All History

If Today’s Pattern Matches the Best Then Take the Trade

// if the current pattern matches the best pattern then bar next bar at open
If currPattString = BestPattString then buy next bar at open;
// cover in three days
If barsSinceEntry > 2 then sell next bar at open;
Does Today Match the Best Pattern?

If today matches the best pattern then buy and cover after the second day.

Conclusion

I didn’t know if this code was worth proffering up but I decided to posit it because it contained a plethora of programming concepts: dictionary, method, string manipulation, and array.  I am sure there is a much better way to write this code but at least this gets the point across.

Contents of Dictionary at End of Run

++++    0.06
+++-   -0.08
++-+    0.12
++--   -0.18
+-++    0.08
+-+-    0.40
+--+   -0.46
+---    0.34
-+++    0.20
-++-    0.10
-+-+    0.23
-+--    0.31
--++    0.02
--+-    0.07
---+    0.22
----    0.46
0.00  103.00
1.00  128.00
10.00  167.00
11.00  182.00
12.00  146.00
13.00  168.00
14.00  163.00
15.00  212.00
2.00  157.00
3.00  133.00
4.00  143.00
5.00  181.00
6.00  151.00
7.00  163.00
8.00  128.00
9.00  161.00
Contents of Dictionary

Example of Trades

Pattern Dictionary System

 

Code in Universum

//Dictionary based trading sytem
//Store pattern return
//Store pattern frequency
// by George Pruitt
Using elsystem.collections; 

vars: string keystring("");
vars: dictionary patternDict(NULL),vector index(null), vector values(null);
array: patternCountArray[100](0);

input: patternTests(8);
  
var: patternTest(""),tempString(""),patternString(""),patternStringNum("");
var: patternNumber(0);
var: iCnt(0),jCnt(0);
//Lets convert the string to unique number
method int convertPatternString2Num(string pattString) 
Vars: int pattLen, int idx, int pattNumber;
begin
	pattLen = strLen(pattString);
	pattNumber = 0;
	For idx = pattLen-1 downto 0 
	Begin
		If MidStr(pattString,pattLen-idx,1) = "+" then pattNumber = pattNumber + power(2,idx);
	end;
	Return (pattNumber);
end;


once begin 
   clearprintlog; 
   patternDict = new dictionary; 
   index = new vector;
   values = new vector;
end;   

//Convert 4 day pattern displaced by 2 days
patternString = ""; 
for iCnt = 5 downto 2
begin
    if(close[iCnt]> close[iCnt+1]) then
    begin
        patternString = patternString + "+";
    end
    else
    begin
        patternString = patternString + "-";
    end;
end;

//What is the current 4 day pattern
vars: currPattString("");
currPattString = "";

for iCnt = 3 downto 0
begin
    if(close[iCnt]> close[iCnt+1]) then
    begin
        currPattString = currPattString + "+";
    end
    else
    begin
        currPattString = currPattString + "-";
    end;
end;

//Get displaced pattern number
patternNumber = convertPatternString2Num(patternString); 
//Keep track of pattern hits
patternCountArray[patternNumber] = patternCountArray[patternNumber] + 1;
//Convert pattern number to a string do use as a Dictionary Key
patternStringNum = numToStr(patternNumber,2);
//Populate the pattern number string key with the number of hits
patternDict[patternStringNum] = patternCountArray[patternNumber] astype double;
//Calculate the percentage change after the displaced pattern hits
Value1 =  (c - c[2])/c[2]*100;
//Populate the dictionary with 4 ("++--") day pattern and the percent change
if patternDict.Contains(patternString) then
Begin
	patternDict[patternString] = (patternDict[patternString] astype double * 
	(patternDict[patternStringNum] astype double - 1.00) + Value1) / patternDict[patternStringNum] astype double;
end
Else
begin
	patternDict[patternString] = value1;
//	print("Initiating: ",patternDict[patternString] astype double);
end;
//  get the best pattern that produces the best average 3 bar return
vars: hiPattRet(0),bestPattString("");
If patternDict.Count > 29 then
Begin
	index = patternDict.Keys;
	values = patternDict.Values; 
	hiPattRet = 0;
	For iCnt = 0 to 15
	Begin
		If values[iCnt] astype double > hiPattRet then
		Begin
			hiPattRet = values[iCnt] astype double ;
			bestPattString = index[iCnt] astype string;
		end;
	end;
//	print(Date," BestPattString ",bestPattString," ",hiPattRet:8:4," CurrPattString ",currPattString);
end;
// if the current pattern matches the best pattern then bar next bar at open
If currPattString = BestPattString then buy next bar at open;
// cover in three days
If barsSinceEntry > 2 then sell next bar at open;
Pattern Dictionary Part II

 

 

 

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Using A Dictionary to Store Chart Patterns in EasyLanguage

Dictionary – Another Cool Collection Object

The dictionary object in EasyLanguage works just like a real dictionary.  It stores values that referenced by a key.  In a real-life dictionary, the keys would be words and the values would be the definitions of those words.

An Introduction

This little bit of code just barely skims the surface of the dictionary object, but it gives enough to get a nice introduction to such a powerful tool.  I am piggybacking off of my Pattern Smasher code here, so you might recognize some of it.

Object Delcaration

Like any of the objects in EasyLanguage a dictionary must be declared initially.

Using elsystem.collections; 
vars: dictionary patternDict(NULL),vector index(null), vector values(null);
input: patternTests(8);
var: patternTest(""),tempString(""),patternString("");
var: iCnt(0),jCnt(0);

once begin 
   clearprintlog; 
   patternDict = new dictionary; 
   index = new vector;
   values = new vector;
end; 
Declaring Objects

Here I tell the editor that I am going to be using the elsystem.collections and then a declare/define a dictionary named patterDict and two vectors:  index and values.  In the Once block, I create instances of the three objects.  This is boilerplate stuff for object instantiation.

 

for iCnt = 5 downto 2
begin
    if(close[iCnt]> close[iCnt+1]) then
    begin
        patternString = patternString + "+";
    end
    else
    begin
        patternString = patternString + "-";
    end;
end;
 
If patternString = "+++-" then Value99 = value99 + (c - c[2])/c[2];

if patternDict.Contains(patternString) then
Begin
//	print("Found pattern: ",patternString," 3-day return is: ", (c - c[2])/c[2]);
	patternDict[patternString] = patternDict[patternString] astype double + (c - c[2])/c[2];
end
Else
	patternDict[patternString] = (c - c[2])/c[2];
Build the Pattern String and Then Store It

 

The keys that index into the dictionary are strings.  In this very simple example, I want to examine all of the different combinations of the last four-bar closing prices.   Once the pattern hits up I want to accumulate the percentage change over the past three days and store that value in the location pointed to by the patternString key.

Notice how I displace the loop by three days (5-2 insteat of 3-0)?  I do this so I can compare the close at the end of the pattern with today’s close, hence gathering the percentage change.  Also, notice that I test to make sure there is an entry in the dictionary with the specific key string.  If there wasn’t already an entry with the key and I tried to reference the value I would get an error message – “unable to cast null object.”

Once I store the keys and values I can regurgitate the entire dictionary very simply.  The keys and values are stored as vectors.  I can simply assign these components of the dictionary to the two vectors I instantiated earlier.

If lastBarOnChart and patternDict.Count > 0 then
Begin
	index = patternDict.Keys;
	values = patternDict.Values; 
	For iCnt = 0 to patternDict.Count-1
	Begin
		print(index[iCnt] astype string," ",values[iCnt] astype double);
	end;
	print("Value99 : ",value99:8:4);
end;
Printing Out the Dictionary

And then I can simply index into the vectors to print out their contents.  I will add some more commentary on this post a little later this week.  I hope you find this useful.  And remember this will not work with MultiCharts.

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Multi-Time Frame – Using Built-in Indicators and Multi Data Charts

A reader of this blog wanted to be able to use different time frames and some built-in indicators and output the information in a similar fashion as I did in the original MTF post.  There are numerous ways to program this but the two easiest are to use data structures such as arrays or vectors or use TradeStation’s own multi data inputs.  The more complicated of the two would be to use arrays and stay compliant with Multicharts.  Or in that same vein use vectors and not stay compliant with Multicharts.  I chose, for this post, the down and dirty yet compliant method.  [NOTE HERE! When I started this post I didn’t realize it was going to take the turn I ended up with.  Read thoroughly before playing around with the code to see that it is what you are really, really looking for.]  I created a multi data chart with five-time frames: 5,10,15,30 and 60 minutes.  I then hid data2 thru data5.  I created an MTF indicator that plots the relationship of the five time frames applied to the ADX indicator with length 14.  If the ADX > 20 then the plot will be green else it will be red.  If all plots align, then the composite plot will reflect the alignment color.

Using the MTF indicator with ADX
{EasyLanguage MultiTime Frame Indicator)
 written by George Pruitt - copyright 2019 by George Pruitt
 }


Inputs:adxLen(14),adxTrendVall(20);

vars: adxData1(0),adxData2(0),adxData3(0),adxData4(0),adxData5(0);


If barNumber > 1 then
Begin
	
	adxData1 = adx(adxLen) of data1;
	adxData2 = adx(adxLen) of data2;
	adxData3 = adx(adxLen) of data3;
	adxData4 = adx(adxLen) of data4;
	adxData5 = adx(adxLen) of data5;
	
	Condition10 = adxData1 > adxTrendVall;
	Condition11 = adxData2 > adxTrendVall;
	Condition12 = adxData3 > adxTrendVall;
	Condition13 = adxData4 > adxTrendVall;
	Condition14 = adxData5 > adxTrendVall;
	 
	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 with 5 data streams and ADX

This code is very similar to the original MTF indicator, but here I simply pass a pointer to the different time frames to the ADX function.  Since the ADX function only requires a length input I had assumed I could use the following format to get the result for each individual time frame:

adxData1 = adx(14) of data1;

adxData2 = adx(14) of data2;

This assumption worked out.

But are we really getting what we really, really want?  I might be putting too much thought into this but of the five-time frame indicator dots, only the 5-minute will change on a 5-minute basis.  The 10-min dot will stay the same for two 5-min bars.  The dots will reflect the closing of the PRIOR time frame and the current 5-min bar is ignored in the calculation.  This may be what you want, I will leave that up to you.  Here is an illustration of the delay in the different time frames.

So when you look at each dot color remember to say to yourself – this is the result of the prior respective time frame’s closing price.  You can say to yourself, “Okay this is the ADX of the current 5-minute bar and this is the ADX of the prior 10-minute close and this is the ADX of the prior 15 minutes close and so on and so on.   We all know that the last 5 minutes will change all of the time frames closing tick, but it may or may not change the price extremes of those larger time frames.   I will show you how to do this in the next post.   If you want to see the impact of the last 5- minutes, then you must build your bars internally and dynamically.

 

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Calculating Position Size with Optimal F

I had a reader of the blog ask how to use Optimal F.  That was really a great question.  A few posts back I provided the OptimalFGeo function but didn’t demonstrate on how to use it for allocation purposes.  In this post, I will do just that.

I Have Optimal F – Now What?

From Ralph Vince’s book, “Portfolio Management Formulas”, he states: “Once the highest f is found, it can readily be turned into a dollar amount by dividing the biggest loss by the negative optimal f.  For example, if our biggest loss is $100 and our optimal f is 0.25, then -$100/ 0.25 = $400.  In other words, we should bet 1 unit for every $400 we have in our stake.”

Convert Optimal F to dollars and then to number of shares

In my example strategy, I start out with an initial capital of $50,000 and allow reinvestment of profit or loss.  The protective stop is set as 3 X ATR(10).  A fixed $2000 profit objective is also utilized.  The conversion form Optimal F to position size is illustrated by the following lines of code:

//keep track of biggest loss
biggestLoss = minList(positionProfit(1),biggestLoss);
//calculate the Optimal F with last 10 trades.
OptF = OptimalFGeo(10);
//reinvest profit or loss
risk$ = initCapital$ + netProfit;
//convert Optimal F to $$$
if OptF <> 0 then numShares = risk$ / (biggestLoss / (-1*OptF));
Code snippet - Optimal F to Position Size
  1. Keep track of biggest loss
  2. Calculate optimal F with OptimalFGeo function – minimum 10 trades
  3. Calculate Risk$ by adding InitCapital to current NetProfit (Easylanguage keyword)
  4. Calculate position size by dividing Risk$  by the quotient of biggest loss and (-1) Optimal F

I applied the Optimal F position sizing to a simple mean reversion algorithm where you buy on a break out in the direction of the 50-day moving average after a lower low occurs.

Code listing:

vars: numShares(0),initCapital$(50000),biggestLoss(0),OptF(0),risk$(0);


//keep track of biggest loss
biggestLoss = minList(positionProfit(1),biggestLoss);
//calculate the Optimal F with last 10 trades.
OptF = OptimalFGeo(10);
//reinvest profit or loss
risk$ = initCapital$ + netProfit;
//convert Optimal F to $$$
if OptF <> 0 then numShares = risk$ / (biggestLoss / (-1*OptF));
numShares =  maxList(1,numShares);
//if Optf <> 0 then print(d," ",t," ",risk$ / (biggestLoss / (-1*OptF))," ",biggestLoss," ",optF);

if c > average(c,50) and low < low[1] then Buy numShares shares next bar at open + .25* range stop;

setStopPosition;
setProfitTarget(2000);

setStopLoss(3*avgTrueRange(10)*bigPointValue);
Strategy Using Optimal F

I have included the results below.  At one time during the testing the number of contracts jumped up to 23.  That is 23 mini Nasdaq futures ($20 * 7,300) * 23.  That’s a lot of leverage and risk.  Optimal doesn’t  always mean the best risk mitigation.  Please let me know if you find any errors in the code or in the logic.

 

Here is the ELD that incorporates the Strategy and the Function.USINGOPTIMALF

 

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What’s Our Vector Victor – Tiptoeing in the EL Collections

Tired of Manipulating Arrays – Try a Vector and a Queue

Vectors:

An array like structure but are dynamic and have a plethora of tools at your disposal.  Arrays are cool and can be multi-dimensional and can be easily manipulated.  But they require a lot of forethought as to how much size to reserve for their implementation.  Now don’t think this is going to be an advanced EasyLanguage tutorial, because it’s really not.  Most of us TRS-80, Ti-99/4A, Vic-20 and Commodore 64 trained programmers of the early ’80s have not welcomed objects with open arms and that is really a mistake.  In this sense we are like cavemen – we have all of the rudimentary tools at our disposal and can create some really cool stuff and we can really understand what we are doing.  With time and effort, we can get to the same place as object-oriented programmers.  We just don’t like the concept of using other’s tools as much as we like using ours.  So if you aren’t classically trained in programming you may have an advantage when tieing into the objects of a programming language.  This little tutorial is a very brief glimpse into a whole different world of programming.  The beauty is you can combine “old school” programming with objects – even if you don’t understand how the objects are truly constructed.    I want to introduce the concept of the Vector and the Queue-  truly cool Swiss Army knives.  First the vector.  Let’s just jump into some of the code – it really is simple.

Object Instantiation – a long word for declaring variable:
Using elsystem.collections;

Vars: Vector opVector(NULL),
      Vector hiVector(Null),
      Vector loVector(Null),
      Vector clVector(Null),
      Vector barVector(Null),
      Queue timeStampQue(Null);
Once
Begin
	barVector = new Vector;
	opVector = new Vector;
	hiVector = new Vector;
	loVector = new Vector;
	clVector = new Vector;
	timeStampQue = new Queue;
end;
Instantiating and Declaring Vectors and Queue

You have to tell EasyLanguage you want to use some of the tools in the elsystem.collections.  You do this by simply tell it you are Using elsystem.collections.  The word collections is a catch-all for a bunch of different types of data structures.  Remember data structures are just programming constructs used to hold data – like an array.  All the variables that you declare in EasyLanguage are arrays – you just aren’t really aware of it.   When you index into them to get prior values then you become slightly aware of it.  In this portion of code, I create five vectors and one queue and assign them the Null or an empty value.  I just finished a programming gig where I had to build dynamically sized bars from the base data.  Kind of like creating 15, 30, 60-minute bars from a 5-minute bar chart or stream.   I did this using arrays because I wanted to be able to index into them to go back in time and I didn’t how far I wanted to go back.  So I declared some arrays with large dimensions to be safe.  This really takes a bite out of your resources which costs space and time.  I had played with Vector like objects in Python, so I thought I would post about them here and show how cool they are.  Remember this is a rudimentary program and could be streamlined and cleaned up.  Each vector will store their respective time, open, high, low and close values of the combined bar.  In a later post, I would like to do this with a Dictionary.  So the opVector will hold the open price, the hiVector will hold the high price and so on.

Build a Queue – why the extra ue?

I want to build 15-minute bars from 5-minute bars so I need to know when to sample the data to properly collect the corresponding data.  If I start at 9:30 then I want to sample the data at 9:45 and look back three bars to get the open and the highest high and the lowest low.  The close will simply be the close of the 9:45 bar.  I want to do this at 9:45, 10:00. 10:15 and so on.  I could manipulate the time and use the modulus function to see if the minutes are multiples of 15 and I tried this but it didn’t work too well.  So I thought since I was already in the collections why not build a list or a queue with all the timestamps I would need.  This is how I did it.

vars: hrs(0),mins(0),barMult(3),combBarTimeInterval(0),totBarsInHour(0),startTime(930),endTime(1615),cnt(0);

Once
Begin
	mins = fracPortion(t/100);
	combBarTimeInterval = barInterval*barMult;
	While value1 < endTime
	Begin
		cnt = cnt + 1;
		Value1 = calcTime(startTime,cnt*combBarTimeInterval);
//		print("Inside queue : ",Value1," ",cnt*combBarTimeInterval);
		timeStampQue.Enqueue(Value1);
	end;	
end;
Populating A Queue With Time Stamps

I simply use the CalcTime function to add 15-minute intervals to the start time and then I add them to the queue:  timeStampQue.Enqueue(Value1);  You access the methods or tools to a class by using the dot (” . “) notation.  Once I instantiated or created the timeStampQue I gained access to all the tools that belong to that object.  The Enqueue method simply appends the list the value that you pass it.  I would have preferred the method to be labeled simply add.  How did I figure out the right method name you ask?  I accessed the Dictionary from the View menu in the TDE.  Here is a picture to help:

Dictionary:

I use the keyword Once to just execute the code one time.  You could have said if BarNumber = 1, but why not use the tools at your disposal,   I figured out the combBarTimeInterval by using the 5-minute bar multiplier (3).  I then looped from startTime to endTime in 15-minute intervals and stored the timeStamps in the queue.  So every time stamp I need is in the timeStampQue.  All I need now is to compare the time of the 5-minute bar to the time stamps inside the queue.  This is where using object really come in handy.

Queue Methods:

Old school would have looped through all of the elements in the list and compared them to the value I was seeking and if found it would return true.  In the object world, I can simply ask the object itself to see if the value is in it:

condition1 = timeStampQue.Contains(t);

Cool!  If condition1 is true then I know I am sitting on the 5-minute bar that shares the same timestamp as a 15-minute bar.  If the time stamps are the same then I can start building the large timeframe from the lower timeframe.  You add elements to a vector by using the insert method.  I simply looked it up in the dictionary.   I had to specify where to insert the value in the vector.  I simply inserted each value into the [0] location.  Remember we are inserting so everything else in the vector is moved down.

Vector Methods:

 

If condition1 then
Begin
	barVector.insert(0,t);
	opVector.insert(0,open[2]);
	hiVector.insert(0,highest(h[0],3)); 
	loVector.insert(0,lowest(l[0],3));
	clVector.insert(0,close[0]);
end;
Inserting Values at Vector Location 0

I only need to keep track of the last 10 15-minute bars, so once the vector count exceeded 10, I simply popped off the value at the back end – pop_back().  I figured this out by looking at Martin Whittaker’s awesome website – www.markplex.com. 

 

If opVector.Count > 10 then 
begin
    barVector.pop_back();
	opVector.pop_back();
	hiVector.pop_back();
	loVector.pop_back(); 
	clVector.pop_back();
end;
Popping the Back-End

To check my work I printed the 15-minute bars on each 5-minute bar to make sure the bars were being built properly.  These data structures expect an object to be inserted, added, popped so when you print out one of their values you have to tell the print statement what the object should be translated as.  Here the keyword asType comes into play.  Take a look at my code, and you will see what I mean.  I hope this gets you excited about objects because the collections class can save you a ton of time and is really cool.  Use it and you can brag that you are an OOP programmer at your next cocktail party.

Code Listing:
Using elsystem.collections;

Vars: Vector opVector(NULL),
      Vector hiVector(Null),
      Vector loVector(Null),
      Vector clVector(Null),
      Vector barVector(Null),
      Queue timeStampQue(Null);
Once
Begin
	barVector = new Vector;
	opVector = new Vector;
	hiVector = new Vector;
	loVector = new Vector;
	clVector = new Vector;
	timeStampQue = new Queue;
end;

vars: hrs(0),mins(0),barMult(3),combBarTimeInterval(0),totBarsInHour(0),startTime(930),endTime(1615),cnt(0);

Once
Begin
	mins = fracPortion(t/100);
	combBarTimeInterval = barInterval*barMult;
	While value1 < endTime
	Begin
		cnt = cnt + 1;
		Value1 = calcTime(startTime,cnt*combBarTimeInterval);
//		print("Inside queue : ",Value1," ",cnt*combBarTimeInterval);
		timeStampQue.Enqueue(Value1);
	end;	
end;	
	
	
	
condition1 = timeStampQue.Contains(t);

Print(d," ",t," ",condition1);

If condition1 then
Begin
	barVector.insert(0,t);
	opVector.insert(0,open[2]);
	hiVector.insert(0,highest(h[0],3)); 
	loVector.insert(0,lowest(l[0],3));
	clVector.insert(0,close[0]);
end;
 
If opVector.Count > 10 then 
begin
    barVector.pop_back();
	opVector.pop_back();
	hiVector.pop_back();
	loVector.pop_back(); 
	clVector.pop_back();
end;

vars:vectCnt(0);
print(d," ",t);
If opVector.Count > 9 then
Begin
	For vectCnt = 0 to 9 
	begin
		print(vectCnt," ",barVector.at(vectCnt) astype int," ",opVector.at(vectCnt) astype double," ",hiVector.at(vectCnt) astype double," ",loVector.at(vectCnt) astype double," ",clVector.at(vectCnt) astype double);
	end;
end;
Program in its Entirety

 

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Python Script To Import List of Trades into TradeStation’s EasyLanguage – Sort of

Converting A List of Trades, Dates and Prices Into EasyLanguage Arrays:

As the old saying goes “a picture is worth a thousand words!”  Have you ever been given a list of trades like this:

Sell Short,20010622,1178.50 
Buy to Cover,20010626,1159.75 
Sell Short,20010801,1150.00 
Buy to Cover,20010807,1139.75 
Sell Short,20010814,1129.00 
Buy to Cover,20010816,1117.25 
Sell Short,20011001,976.75 
Buy to Cover,20011004,1016.75 
Sell Short,20011107,1053.00 
Buy to Cover,20011123,1069.50 
Sell Short,20011219,1076.25 
Buy to Cover,20020102,1075.00 
Sell Short,20020129,1067.25 
Buy to Cover,20020131,1046.75 
Sell Short,20020131,1046.75 
Buy to Cover,20020205,1026.75 
Sell Short,20020520,1033.25 
Buy to Cover,20020522,1011.50 
Sell Short,20020731,832.00 
Buy to Cover,20020805,792.50 
Sell Short,20020812,834.00 
Buy to Cover,20020814,811.75 
Sell Short,20020911,838.50 
Buy to Cover,20020913,816.75 
List of Trades : Order, Date, Price

But really wanted to see this:

I have created a small Python script that will take a list of trades like those listed in table above and create the following EasyLanguage:

arrays: DateArr[500](0),TradeArr[500](""),PriceArr[500](0);
DateArr[0]=1010622;TradeArr[0]="SS";PriceArr[0]=1178.5;
DateArr[1]=1010626;TradeArr[1]="SX";PriceArr[1]=1159.75;
DateArr[2]=1010801;TradeArr[2]="SS";PriceArr[2]=1150.0;
DateArr[3]=1010807;TradeArr[3]="SX";PriceArr[3]=1139.75;
DateArr[4]=1010814;TradeArr[4]="SS";PriceArr[4]=1129.0;
DateArr[5]=1010816;TradeArr[5]="SX";PriceArr[5]=1117.25;
DateArr[6]=1011001;TradeArr[6]="SS";PriceArr[6]=976.75;
DateArr[7]=1011004;TradeArr[7]="SX";PriceArr[7]=1016.75;
DateArr[8]=1011107;TradeArr[8]="SS";PriceArr[8]=1053.0;
DateArr[9]=1011123;TradeArr[9]="SX";PriceArr[9]=1069.5;
DateArr[10]=1011219;TradeArr[10]="SS";PriceArr[10]=1076.25;
DateArr[11]=1020102;TradeArr[11]="SX";PriceArr[11]=1075.0;
DateArr[12]=1020129;TradeArr[12]="SS";PriceArr[12]=1067.25;
DateArr[13]=1020131;TradeArr[13]="SX";PriceArr[13]=1046.75;
DateArr[14]=1020131;TradeArr[14]="SS";PriceArr[14]=1046.75;
DateArr[15]=1020205;TradeArr[15]="SX";PriceArr[15]=1026.75;
DateArr[16]=1020520;TradeArr[16]="SS";PriceArr[16]=1033.25;
DateArr[17]=1020522;TradeArr[17]="SX";PriceArr[17]=1011.5;
Converting list of trades to EasyLanguage

This just creates the arrays that you can use to graph the trades on a chart.  If you are using exact prices you got to make sure your data aligns with the prices in the list of trades.  If you are only entering on the open or the close of the bar then the price array isn’t necessary.

The following Python script will also be helpful if you want to learn how to open a file in csv format, read it into lists, convert it and then save the output to a file.

#-------------------------------------------------------------------------------
# Name:        Read csv file via askOpen and save txt file via askSave
# Purpose:     Read the trade metrics from a TradeStation csv format
#              and build arrays from the information to display on charts in
#              TradeStation
# Author:      georg
#
# Created:     29/08/2018
# Copyright:   (c) georg 2018
#-------------------------------------------------------------------------------
import csv
import tkinter as tk
import os.path
from tkinter.filedialog import askopenfilenames
from tkinter.filedialog import asksaveasfilename

tradeType = list()
tradeDate = list()
tradePrice = list()

def main():
    root = tk.Tk()
    root.withdraw()
    files = askopenfilenames(filetypes=(('CSV files', '*.csv'),
                                       ('TXT files', '*.txt')),
                                       title='Select CSV format only!')
    fileList = root.tk.splitlist(files)
    fileListLen = len(fileList)


# make sure you know the format ahead of time
# I know "Buy",20180828,2745.75
#
    cnt = 0
    for files in range(0,fileListLen):
        head,tail = os.path.split(fileList[files])
        with open(fileList[files]) as f:
            f_csv = csv.reader(f)
            for row in f_csv:
                numCols = len(row)
                tradeType.append(row[0])
                tradeDate.append(int(row[1]))
                tradePrice.append(float(row[2]))
                cnt += 1
        f.close


    filename = asksaveasfilename(title="Will Save File with '.txt'",defaultextension=".txt")
#    filename = filename + '.txt'
    target1 = open(filename,'w')
    outString = 'arrays: DateArr[500](0),TradeArr[500](0),PriceArr[500](0);\n'
    target1.write(outString)
    for x in range(0,cnt):
        if tradeType[x] == "Sell Short": tradeType[x] = "SS"
        if tradeType[x] == "Buy": tradeType[x] = "B"
        if tradeType[x] == "Buy to Cover": tradeType[x] = "SX"
        if tradeType[x] == "Sell": tradeType[x] = "LX"
        outString = 'DateArr['+str(x)+']='+str(tradeDate[x]-19000000)+';TradeArr['+str(x)+']="'+tradeType[x]+'";PriceArr['+str(x)+']='+str(tradePrice[x])+';\n'
        target1.write(outString)
    target1.close


if __name__ == '__main__':
    main()
Python Script Open, Read, Convert and Write A File Using TK Dialogs

And here is the EasyLanguage code that will step through the arrays and place the trades accordingly.  I noticed that sometimes two trades could occur on the same bar, but only two and you will notice in the code where I programmed this occurrence.

vars: cnt(0);

If date of tomorrow = DateArr[cnt] then
Begin
	print("Inside: ",d," ",dateArr[cnt]);
	If tradeArr[cnt] = "B" then
	begin
		buy next bar at PriceArr[cnt] stop;
	end;
	If tradeArr[cnt] = "LX" then
	begin
		sell next bar at PriceArr[cnt] stop;
	end;
		If tradeArr[cnt] = "SS" then
	begin
		sellShort next bar at PriceArr[cnt] stop;
	end;
	If tradeArr[cnt] = "SX" then
	begin
		buyToCover next bar at PriceArr[cnt] stop;
	end;
	cnt = cnt + 1;
	If DateArr[cnt] = DateArr[cnt-1] then
	Begin
		print("two trades same day ",d," ",dateArr[cnt]);
		If tradeArr[cnt] = "B" then
		begin
			buy next bar at PriceArr[cnt] stop;
		end;
		If tradeArr[cnt] = "LX" then
		begin
			sell next bar at PriceArr[cnt] stop;
		end;
		If tradeArr[cnt] = "SS" then
		begin
	    	print("looking to go short at ",PriceArr[cnt]);
			sellShort next bar at PriceArr[cnt] stop;
		end;
		If tradeArr[cnt] = "SX" then
		begin
			buyToCover next bar at PriceArr[cnt] stop;
		end;
		cnt = cnt + 1;
	end;	
end;
EasyLanguage Snippet To Execute Trades Stored in Arrays

 

 

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Updated Pattern Smasher in EasyLanguage

Update To Original Pattern Smasher

What will you learn : string manipulation, for-loops, optimization

Before proceeding I would suggest reading my original post on this subject.    If you believe the relationship of the last few bars of data can help determine future market direction, then this post will be in you wheel house.  Another added benefit is that you will also learn some cool EasyLanguage.

Original post was limited to four day patterns!

This version is limitless (well not really, but pretty close).  Let’s stick with the original string pattern nomenclature (+ + – – : two up closes followed by two down closes.)  Let’s also stick with our binary pattern representation:

Pattern # 2^3 2^2 2^1 1
3 0 0 1 1
4 0 1 0 0
5 0 1 0 1
6 0 1 1 1

Remember a 0 represents a down close and a 1 represents an up close.  We will deviate from the original post by doing away with the array and stick with only strings (which are really just arrays of characters.)  This way we won’t have to worry about array manipulation.

How to create a dynamic length string pattern

This was the difficult part of the programming.  I wanted to be able to optimize 3, 4 and 5 day patterns and I wanted to control this with using just inputs.  I discovered that pattern three is different in a three day pattern than it is in a four day pattern: in a three day pattern it is 011 or – + + and in a four day pattern it is 0011 or – – + +.  Since I am counting 0’s as down closes, pattern #3 depends on the ultimate size of the pattern string.  No worries I will have eventually have another version where I utilize a different value for down closes and we can then have holes in our string patterns.  But I digress – so to differentiate the patterns based on the pattern length I included a maxPatternLen input.  So if maxPatternLen is three and we are trying to match pattern #3 then we will be looking for 011 and not 0011.  That was an easy fix.  But then I wanted to build a string pattern based on this input and the pattern number dynamically.  Here is some psuedo code on how I figured it out.


{Psuedo code to translate pattern number into binary number}
patternNumber = 3
maxPatternLen = 3

numBits = 0    						// stick with binary representation
testValue = 0						// temporary test value
numBits = maxPatternLen-1  			// how many bits will it take to get to the
									// center of - or numBits to represent max
									// number of patterns or 2^numBits
currentBit =numBits					// start wit current bit as total numBits

value1 = patternOptTest				// value1 represents current pattern number
testString = ""  					// build test string from ground up


for icnt = numBits downto 0			//building string from left to right
begin       						// notice keyword downto
	if power(2,currentBit) > value1 then  // must use power function in EL
	begin							// if the very far left bit value > 
		testString = testString + "-"	  // patten number then plug in a "-"
	end
	else
	begin							// else plug in a "+" and deccrement by
		testString = testString + "+"	 // that bits value - if its the 3rd bit
	value1 = value1 - power(2,currentBit)// then decrement by 8
	end;
	currentBit = currentBit - 1		// move onto the next bit to the right
end;
Pseudocode for Binary Representation of Pattern #

Now if you want to optimize then you must make sure your pattern number search space or range can be contained within maxPatternLen.  For example, if you want to test all the different combinations of a four day pattern, then your maxPatternLen would naturally be four and you would optimize the pattern number from 0 to 15.  Don’t use 1-16 as I use zero as the base.  A five day pattern would include the search space from 0 – 31.  The rest of the code was basically hacked from my original post.   Here is the rest of the code to do optimizations on different length pattern strings.  Notice how I use strings, for-loops and comparisons.

input: buyPattern("+++-"),sellPattern("---+"),patternOptimize(True),patternOptTest(7),maxPatternLen(3),patternOptBuySell(1),
	   stopLoss$(2000),profitTarg$(2000),holdDays(5);
vars: buyPatternString(""),sellPatternString(""),buyPatternMatch(""),sellPatternMatch(""),numBits(0),testValue(0),currentBit(0),
      remainder(0),value(0),icnt(0),testString(""),numCharsInBuyPattern(0),numCharsInSellPattern(0);
vars:okToBuy(false),okToSell(false);

buyPatternMatch = buyPattern;
sellPatternMatch = sellPattern;
numCharsInBuyPattern = strLen(buyPatternMatch);
numCharsInSellPattern = strLen(sellPatternMatch);

If patternOptimize then
begin
	numBits = 0;
    testValue = 0;
    value = maxPatternLen;
    numBits = maxPatternLen-1;  
    currentBit =numBits;
    remainder = patternOptTest;
    testString = "";
    for icnt = numBits downto 0
    begin       
        if power(2,currentBit) > value1 then
        begin
            testString = testString + "-";
        end
        else
        begin
            testString = testString + "+";
            remainder = remainder - power(2,currentBit);
        end;
        currentBit = currentBit - 1;
	end;
	numCharsInBuyPattern = maxPatternLen;
	numCharsInSellPattern = maxPatternLen;
	if patternOptBuySell = 1 then
	Begin
		buyPatternMatch = testString;
		sellPatternMatch = "0";
	end;
	If patternOptBuySell = 2 then
	Begin
		buyPatternMatch = "0";
		sellPatternMatch = testString;
	end;
end;
	

buyPatternString = "";
sellPatternString = "";

For icnt = numCharsInBuyPattern-1 downto 0
Begin
	If close[icnt] >= close[icnt+1] then buyPatternString = buyPatternString + "+";
	If close[icnt] < close[icnt+1] then buyPatternString = buyPatternString + "-";
end;
For icnt = numCharsInSellPattern-1 downto 0
Begin
	If close[icnt] >= close[icnt+1] then sellPatternString = sellPatternString + "+";
	If close[icnt] < close[icnt+1] then sellPatternString = sellPatternString + "-";
end;


okToBuy = false;
okToSell = false;

if buyPatternMatch <> "" then
	If buyPatternString = buyPatternMatch then okToBuy = true;
If buyPatternMatch = "" then
	okToBuy = true;
If sellPattern <> "" then
	If sellPatternString = sellPatternMatch then okToSell = true;
If sellPatternMatch = "" then
	okToSell = true;
	
If okToBuy then buy next bar at open;
If okToSell then sellshort next bar at open;

If marketPosition = 1 and barsSinceEntry > holdDays then sell next bar at open;
If marketPosition = -1 and barsSinceEntry > holdDays then buytocover next bar at open;

setStopLoss(stopLoss$);
setProfitTarget(profitTarg$);

If lastBarOnChart then print(d," ",buyPatternMatch);
Final Version of New Pattern Smasher

Also see how I incorporate a profit target and protective stop.  I use the built in BarsSinceEntry function to count the number of days I am in a trade so I can utilize a time based exit.  Here is an interesting equity curve I developed using a two day pattern ( – –) to go long.

Register on the website and I will email you an ELD of the improved Pattern Smasher.  Or just shoot me an email.

 

 

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Making Trading Decisions on Current Month’s Profit/Loss

Keeping track of intra-month profit or loss

In real time trading I have noticed that once you reach a certain loss for the month its best, sometimes, to circle the wagons and quit trading until the beginning of the next month.  This concept works best for very short term or day trade algorithms, as its very easy to get started back up.  You can do this with Trend Following, but you must build a logical and replicable process for re-entering existing positions.  Let’s assume a trading algorithm whose averaging losing month is $1500 and you are currently down $2000 – what are the chances that you will revert to the mean or draw down further?  Probably 50/50.  Who knows you might turn around and actually make money by month’s end.  If you review a track record of a hedge fund manager, trader, or algorithm and they show a bar chart of monthly returns and there sticking out like a sore thumb is a big down bar, that kind of makes you think that could happen again.  If you can control the monthly downside without sacrificing the existing Profit:DrawDown ratio, then why not do it.

Sample Code To Monitor IntraMonth $P/L

if month(date) <> month(date[1]) then
Begin
	begMonthProf = netProfit; 
	print(d," ",t," ",begMonthProf);
	canTrade = true;
end;
Capture Beginning Of Month Net Profit

Here I am comparing the month of the current bar against the month of the prior bar.  If they are not equal, then we have a new month.  Store the netProfit in the variable begMonthProf.  All you have to do is compare the current bar’s netProfit to begMonthProf and make a decision.  Here is some code:

Making a Trading Decision Based on Monthly $P/L

		If dayOfMonth(date) > 15 and begMonthProf - netProfit >= intraMonthMaxLoss then canTrade = false;
If Down MaxLoss for Month and Past Mid-Month - Quit Trading

If the day of the month is greater than 15 (month half over) and the difference between the current netProfit and begMonthProfit is greater than a negative intraMonthMaxLoss then quit trading for the month.  Only turn it back on the first bar of the next month.  See how this works for your algos.

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Pyramiding and then Scaling Out at Different Price Levels – EasyLanguage

TOTAL, TOTAL, TOTAL – an important keyword

I just learned something new!  I guess I never programmed a strategy that pyramided at different price levels and scaled out at different price levels.

Initially I thought no problem.  But I couldn’t get it to work – I tried everything and then I came across the keyword Total and then I remembered.  If you don’t specify Total in you exit directives then the entire position is liquidated.  Unless you are putting all your positions on at one time – like I did in my last post.   So remember if you are scaling out of a pyramid position use Total in your logic.

vars: maxPosSize(2);

If currentContracts < maxPosSize - 1 and c > average(c,50) and c = lowest(c,3) then buy("L3Close") 1 contract this bar on close;
If currentContracts < maxPosSize and c > average(c,50) and c = lowest(c,4) then buy("L4Close") 1 contract this bar on close;


If currentContracts = 2 and c = highest(c,5) then sell 1 contract total this bar on close;
If currentContracts = 1 and c = highest(c,10) then sell 1 contract total this bar on close;
Scaling Out Of Pyramid

Why you have to use the Total I don’t know.  You specify the number of contracts in the directive and that is sufficient if you aren’t pyramiding.  The pyramiding throws a “monkey wrench” in to the works.

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