# Welles Wilder’s smoothing = XAVG(PeriodLen*2-1)

I was referred to a very excellent blog http://etfhq.com/ and wanted to confirm that Welles Wilder’s trick (ease of calculating) smoothing algorithm was indeed equivalent to an exponential moving average but twice the length – 1.  This blog by Derry Brown is worth taking a look at.

Here is my TS code for verify the length difference between WellesSmooth and Exp. Smooth:

`{Test for equivelance}`

``` if currentBar = 1 then begin value1 = average(c,14); end; if currentBar > 1 then begin value1 = (13*value1+c)/14; //Wells Wilder Smoothing end; ```

```plot1(value1,"WSMA",red); plot2(xaverage(c,14),"XMA",blue); plot3(xaverage(c,27),"2X-1XMA",green); ```

# Having Data Problems – Clear Cache

Don’t forget to periodically delete the Cache folder inside TS 9.x.  Remember this is inside C:\Program Files\TradeStation 9.1\Program…

# Volatility Break Out Day Trader

Here is a nice template to use when testing a volatility break out system to daytade. Note I haven’t yet finished the filter coding.

``` ```
``````{OPEN RANGE BREAK OUT with Trade Management}
{:data1 = 5 minbars
:data2 = daily bars}

{tradeFilterNum indicates how you want to
filter #1 : prior day was a narrow range
filter #2 : prior day was a NR4
filter #3 : buy/sell day only base on today's open
filter #4 : combo of filter #1 and filter #3
filter #5 : combo of filter #2 and filter #3
}

vars: trailLong(false),trailShort(false),trailLongStop(0),trailShortStop(999999);
begin
canSell = false;
if range of data2 < avgTrueRange(atrLookBack) of data2 and time < endTradeEntryTime then
begin
canSell = true;
end;
end;

if date <> date[1] then
begin
todaysOpen = open; {Capture Today's Open}
trailLongStop = 0;
trailShortStop = 9999999;
mySellsToday = 0;
end;

if marketPosition = 1 then myBuysToday = 1;
if marketPosition = -1 then mySellsToday = -1;

atrVal = avgTrueRange(atrLookBack) of data2;

if  canBuy and myBuysToday = 0 and marketPosition <> 1 then buy("BBO") next bar at todaysOpen + atrVal * brkOutAmt stop;
if canSell and mySellsToday = 0 and marketPosition <>-1 then sellshort("SBO") next bar at todaysOpen - atrVal *brkOutAmt stop;

if marketPosition <> 1 then trailLong = false;
if marketPosition <> -1 then trailShort = false;

if marketPosition = 1 then
begin
sell("LongExit") next bar at entryPrice - initProtStop\$/bigPointValue stop;
if h > entryPrice + profitThresh\$/bigPointValue then trailLong = true;
if trailLong then
begin
trailLongStop = maxList(trailLongStop,h - (h - entryPrice)*percentTrail);
sell("LongTrail") next bar at trailLongStop stop;
end;
end;

if marketPosition = -1 then
begin
buyToCover("ShrtExit") next bar at entryPrice + initProtStop\$/bigPointValue stop;
if l < entryPrice - profitThresh\$/bigPointValue then trailShort = true;
if trailShort then
begin
trailShortStop = minList(trailShortStop,l + (entryPrice - l)*percentTrail);
buyToCover("ShortTrail") next bar at trailShortStop stop;
end;
end;

setExitOnClose;``````

{finished}

# Zone Analysis System

I posted some research on zone analysis at www.futurestruth/wordpress.com.  Based on this research I created a very simple system framework.  Here is some trade examples and performance results for the past four years.

``` //Zone Program by George Pruitt // Buy when market opens in zone 1 and dips into zone 3 // Sell when market opens in zone 4 and rises into zone 2 vars: myZone1B(0),myZone2T(0),myZone2B(0),myZone3T(0),myZone3B(0),myzone4T(0); vars:oz1cz1(0),oz1cz2(0),oz1cz3(0),oz1cz4(0); vars:oz2cz1(0),oz2cz2(0),oz2cz3(0),oz2cz4(0); vars:oz3cz1(0),oz3cz2(0),oz3cz3(0),oz3cz4(0); vars:oz4cz1(0),oz4cz2(0),oz4cz3(0),oz4cz4(0); vars:myBarCount(0),buysToday(0),sellsToday(0); inputs: profitAmt\$(1000),riskAmt\$(500),stopEntryTime(1300); if date <> date[1] then begin buysToday = 0; sellsToday = 0; myBarCount = 1; end; if(marketPosition = 1) then buysToday = 1; if(marketPosition =-1) then sellsToday = 1; if date<> date[1] then myBarCount = myBarCount + 1; myZone1B = highD(1) + minMove/PriceScale; myZone2T = highD(1); myZone2B = (highD(1) + lowD(1))/2 + minMove/PriceScale; myZone3T = (highD(1) + lowD(1))/2; myZone3B = lowD(1); myZone4T = lowD(1) - minMove/PriceScale; //if openD(0) > myZone1B and low > myZone1B and myBarCount > 1 and sellsToday = 0 and time <> Sess1endtime then sellshort next bar at low stop; //if openD(0) < myZone4T and high < myZone4T and myBarCount > 1 and buysToday = 0 and time <> Sess1endtime then buy next bar at high stop; if openD(0) > myZone1B and low < myZone2B and myBarCount > 1 and buysToday = 0 and time < stopEntryTime then buy next bar at low limit; if openD(0) < myZone4T and high > myZone3T and myBarCount > 1 and sellsToday = 0 and time < stopEntryTime then sellshort next bar at high limit; myBarCount = myBarCount + 1; //print(date," ",time," ",buysToday," ",openD(0) > myZone1B and low > myZone1B and myBarCount > 1 and buysToday = 0); setProfitTarget(profitAmt\$); setStopLoss(riskAmt\$); setExitOnClose; ```

# Check out Futures Truth Blog

Futures Truth has started a new blog. Check it out at www.futurestruth.wordpress.com.

I have had a few emails stating the link in the book wasn’t working correctly so here is the one I use and it seems to work fine. Please let me know if you have any problems. The password is in the back of the book.

http://www.wiley.com/WileyCDA/Section/id-813170.html

# King Keltner Source Code

Looking for a trend follower – give this one a try!

``` [LegacyColorValue = true];

{King Keltner Program
King Keltner by George Pruitt -- based on trading system presented by Chester Keltner
-- an example of a simple, robust and effective strategy}

Inputs: avgLength(40),atrLength(40);
Vars: upBand(0),dnBand(0),liquidPoint(0),movAvgVal(0);

movAvgVal = Average((High + Low + Close)/3.0,avgLength);
upBand = movAvgVal + AvgTrueRange(atrLength);
dnBand = movAvgVal - AvgTrueRange(atrLength);

{Remember buy stops are above the market and sell stops are below the market
-- if the market gaps above the buy stop, then the order turns into a market order
vice versa for the sell stop}

if(movAvgVal < movAvgVal[1]) then Sell("KKSell")tomorrow at dnBand stop;

liquidPoint = movAvgVal;

if(MarketPosition = 1) then Sell tomorrow at liquidPoint stop;
if(MarketPosition =-1) then BuyTocover tomorrow at liquidPoint stop;```

# Pyramaniac

Code to pyramid up to N contracts on a day trade basis.

```input: maxSize(5),startTime(1000),endTime(1555);
var: stb(0),sts(0),tpAmt(0),lprft(0),sprft(0);

stb = High + minMove/priceScale;
sts = Low - minMove/priceScale;

print(date," ",time," ",stb," ",sts," ",currentShares);

if (time > startTime and time < endTime ) then
begin
tpAmt = average(range,10);
if(high>high[1]) then lprft = highD(0)+1*tpAmt;
if(low < low[1]) then sprft = lowD(0) -1*tpAmt;
if(currentShares < maxSize and c < average(c,9) and low < low[1] and close < close[1]) then buy("pyrabuy")next bar at sts limit;
if(currentShares < maxSize and c < average(c,9) and high >high[1] and close > close[1]) then sellShort("pyrasell") next bar at stb limit;

end;

//if(currentShares >= maxSize and marketPosition = 1) then sell("longmaxliq") next bar sts stop;
//if(currentShares >= maxSize and marketPosition =-1) then buyToCover("shortmaxliq") next bar stb stop;
if(marketPosition = 1) then sell("longProf") next bar lprft limit;
if(marketPosition =-1) then buytoCover("shortProf") next bar at sprft limit;
setexitonclose;```

# Final Version of Geo’s Turtle with Virtual Trading

Final version posted below. A little advanced but if you can follow and make sense of it then you are well along on becoming an EasyLanguage programmer.

```inputs: absEntryChanLen(55),entryChanlen(20),exitChanLen(10),

virtLongLiqPrice(0),virtShortLiqPrice(0),
virtLongLoss(0),virtShortLoss(0),
myFillPrice(0),N(0),N\$(0),dollarRisk(0),lotSize(0),
hh20(0),hh55(0),ll20(0),ll55(0),iCnt(0),initPrice(0),stopLossPts(0),debug(false);

mp = marketPosition;

if mp = 0 then
begin
N = AvgTrueRange(20);
N\$ = N*BigPointValue;
lotSize = IntPortion(DollarRisk/N\$);
if lotSize < 1 then lotSize = 1;
StopLoss = 2 * N\$ * lotSize;
StopLossPts = 2 * N * lotSize;
hh20 = highest(high,entryChanLen);
hh55 = highest(high,absEntryChanLen);
ll20 = lowest(low,entryChanLen);
ll55 = lowest(low,absEntryChanLen);
end;

If mp <> 1 and mp[1] = 1 then
Begin
if debug then
" ExitPrice ",ExitPrice(1):6:6," entryPrice ",entryPrice(1):6:6);
end;
If mp <> -1 and mp[1] = -1 then
Begin
if debug then
" mp ",mp," ",mp[1]);
end;

Begin
if debug then
print(date," In Virtual Section And VirtTmp = ",virTmp);
If(virtmp = 1) then
Begin
virtLongLiqPrice = maxList(lowest(low[1],exitChanLen),virtLongLoss);
if(virtualLongExit(virtLongLiqPrice,1,myFillPrice) =1) then
Begin
virtmp = 0;
if debug then print(" Long Exit @ ",myFillPrice);
end;
end;
If(virtmp = -1) then
Begin
virtShortLiqPrice = minList(highest(high[1],exitChanLen),virtShortLoss);
if(virtualShortExit(highest(high[1],exitChanLen),1,myFillPrice) =1) then
Begin
virtmp = 0;
if debug then print(" ShortExit @ ",myFillPrice);
end;
end;
Begin
if virtmp <> 1 then
begin
virtLongLoss = myFillPrice - 2*N;
virtmp = 1;
if debug then print(" Long @ ",myFillPrice);
end;
end;
if(virtualSell(lowest(low[1],entryChanLen),1,myFillPrice) = 1) then
Begin
if virtmp <> -1 then
begin
virtsellPrice = myFillPrice;
virtShortLoss = myFillPrice + 2*N;
virtmp = -1;
if debug then print(" Short @ ",myFillPrice);
end;
end;
if debug then print("End of Virtual Module : virTmp = ",virTmp);
end;

for iCnt = 0 to 3
begin
begin
if mp <> -1 and currentContracts = iCnt * lotSize then
begin
buyPrice = hh20 + iCnt * N/2;
end;
if mp <> 1 and currentContracts = iCnt * lotSize then
begin
sellPrice = ll20 - iCnt * N/2;
end;
virTmp = 0;
end;

begin
if mp <> -1 and currentContracts = iCnt * lotSize then
begin
buyPrice = hh55 + iCnt * N/2;
end;
if mp <> 1 and currentContracts = iCnt * lotSize then
begin
sellPrice = ll55 - iCnt * N/2;
end;
//		virTmp = 0;
end;
end;

begin
if currentContracts < 4 * lotsize then Sellshort ("Turtle20Sell") lotsize contracts next bar at sellPrice stop;
if currentContracts < 4 * lotsize and debug then print(date," 20sellPrice ",sellPrice:6:6," ",currentContracts);
end;

begin
if currentContracts < 4 * lotsize then Sellshort ("Turtle55Sell") lotsize contracts next bar at sellPrice stop;
if debug then print(date," ",iCnt," 55sellPrice ",sellPrice:6:6);
end;

If mp = 1 then Sell ("TurtleLExit") next bar at lowest(low,exitChanLen) stop;
If mp = -1 then BuyToCover("TurtleSExit") next bar at highest(high,exitChanLen) stop;

If mp = 1 then Sell ("TurtleLExit2N") next bar at entryPrice - stopLossPts stop;
If mp = -1 then BuyToCover("TurtleSExit2N") next bar at entryPrice + stopLossPts stop;```

# Developing Winning Trading Systems…. being translated into Chinese in 2014

Just got word the 2nd edition is being published in Chinese.

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