Category Archives: Must Know EasyLanguage

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

 

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

 

 

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.

 

 

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.