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.

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");

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.

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

Backtesting with [Trade Station,Python,AmiBroker, Excel]. Intended for informational and educational purposes only!

Get All Four Books in the Easing Into EasyLanguage Series - The Day Trade Edition is now Available!

Announcement – A Day Trade Edition will be added to my Easing Into EasyLanguage Series this year! This edition will be the fourth installment and will utilize concepts discussed in the Hi-Res and Advanced Topics editions. I will show how to develop and program algorithms that will enter after the open of the day and get out before the market closes. Hence, no overnight exposure. Most examples will be carried out on the mini Dow, Nasdaq, S&P500 and Russel. The programming skills that you will learn can be carried to any market that provides enough bang for the buck to day trade. Look for this edition later this year. But get geared up for it by reading the first three editions in the series now. Get your favorite QUANT the books they need!

Hello to All! The Easing Into EasyLanguage Series is now complete with the publication of the Advanced Topics Edition. This series includes three educational editions. Start out with the Foundation Edition. It is designed for the new user of EasyLanguage or for those you would like to have a refresher course. There are 13 tutorials ranging from creating Strategies to PaintBars. Learn how to create your own functions or apply stops and profit objectives. Ever wanted to know how to find an inside day that is also a Narrow Range 7 (NR7?) Now you can, and the best part is you get over 4 HOURS OF VIDEO INSTRUCTION – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.

This book is for those that have read the Foundation Edition or have some experience working with EasyLanguage and the various functions that help make a trading decision. This book’s audience will be those programmers that want to take an idea, that requires an observation of intraday market movements to make a trading decision, and program it accurately. If you have programmed daily bar systems, and you want to drill down and add some components that require additional market information (like what came first – the high or the low), then you have come to the right place. If you want to buy and sell short in the same day and use trade management principles such as profit targets and stop losses then The Hi-Res Edition is the book you need. There are two paradigms that EasyLanguage covers: daily and intraday bar programming. It’s the same language, but the move from daily to intraday programming can be quite difficult. Learn all the essentials and shortcuts with this edition. 5 HOURS OF VIDEO INSTRUCTION in this Hi-Res edition – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.

Advanced Topics (AT) could cover a vast amount of ideas and concepts and be the length of “War and Peace” on steroids. Since this book is part of the series, I wanted to cover a handful of concepts that included the follow programming constructs. Arrays and their manipulation. Buffers (fixed length arrays) and the tools to maintain buffer elements with formulas for extraction and sorting. Finite State Machines using the switch-case construct and range based case values. Using original text graphic objects and retrieving and analyzing their properties to determine X and Y coordinate values of text location. Seasonality: The Ruggiero/Barna Universal Seasonal and the Sheldon Knight Seasonal methods. In AT, you will also find an introduction to EasyLanguage’s Project Concept and the steps to create one by adding/deleting component files. TradeStation now provides access to fundamental data such as Commitment of Traders – learn how to convert the Net Change indicator into a strategy utilizing the FundValue functionality. If you wanted to find out how to merge multiple time frames into a single indicator, you are in luck! Create a MTF indicator for yourself.

Day Trading (DT) – This is a surprise installment in my Easing into EasyLanguage Series, as I had only intended on three books. However, I think it will fit well with the other books. Daytrading is a very popular approach as overnight risk is eliminated. Don’t worry there is plenty of risk during the day too! However, it can be very difficult to accurately program a trading idea on higher resolution data such as five- or one-minute bars. Like my other books, there is no “Holy Grail” included. And if you are looking for a book that gets in and out of a trade in a few seconds, this is not the one for you. I discourage trading more than a handful of trades per day – this is best left up to the professionals. But, if you want to learn about volatility-based break outs, pyramiding, scaling out, zone-based trading, accurate trade accounting and having a peek at algorithms that once ruled the systematic daytrading industry, then this is the book for you. A beginner might have a little difficulty in following along with the tutorials. If you have read the first two books (Foundation and Hi-Res) in this series, you are good to go. Or if you have some experience working with EasyLanguage and minute data, you will be OK as well.

Pick up your copies today – e-Book or paperback format – at Amazon.com