# Category Archives: EasyLanguage Function

## Daily Bar Daytrade to 5 Minute Bars — Not So Easy!

Like in the previous post, I designed a simple optimization framework trying to determine the best day of the week to apply a long only volatility based open range break out algorithm on natural gas.  You might first ask why natural gas?  Its a good market that has seasonal tendencies that can actually be day-traded – there is enough volatility and volume.  Anyway, by simply slapping setExitOnClose at the end of your code turns your algorithm into one that exits every day at the settlement (fictional value that is derived via formula) price.  You can always use LIB (look inside bar) to help determine the magnitude of intraday swings and there respective chronological order.  But you are still getting out at the settlement price – which isn’t accurate.  However, if you are trying to get a set of parameters that gets you into the ballpark, then this is a very acceptable approach.  But you will always want to turn you daily bar strategy with LIB intro an intraday version for automation and accuracy purposes.

### Day of Week Analysis On Intraday Data

When you optimize the day of week on daily bars, the first bar of the week is usually Monday.  When testing with intraday bars on futures, the trading actually starts on Sunday evening.  If your daily bar analysis reveals the best day of week is Wedneday, then you must inform TradeStation to take the trade from the opening on Tuesday night through the close on Wenesday.  If you are executing a market order, then you just need to tell TradeStation to execute at Tuesday night’s open (1800 eastern standard time).  The TRICK to allow trading throughout the 24 hour session (1800 to 1700) on just a particular day of the week is to capture the day of the week on the first bar of the trading session.  Here is some bookkeeping you can take care of on the first bar of the trading session.

``if t = sessionstartTime(0,1) + barInterval ThenBegin		todaysOpen = o;	openDOW = dayOfWeek(d);	canBuy = False;	if openDOW = daysOfWeekToTrade then canBuy = True;	if canBuy and d[1] <> date of data2 then 	begin		canBuy = False;		print(d," turning off canBuy");	end;			if mp = 1 then curTradeDays = curTradeDays + 1;	if mp = 0 then curTradeDays = 0;	barsToday = 1;end;``
Bookkeeping on the first bar of trading session

Here, I check to see if the first bar’s time stamp is equal to the sessionStarttime + barInterval.  Remember TradeStation shows the close time of each bar as the time stamp.  If adding a barInterval to the opening time results in a non-time, then use the calcTime function ( 1800 + 60 = 1860 – a non-time.)   I first store the open of the session in my variable todaysOpen.  Why not just use openD(0).  Well openD(0) is great for sessions that don’t span midnight.  If they span midnight then the openD returns the open of the12:00 am bar.  Here is the output from August 9th with the open on August 8th at 1800.  The two other values are midnight on August 8th and August 7th.  So the openD, highD, lowD, and closeD functions involve the 24 hour clock and not the session.

```print(todaysOpen:5:5," ",openD(0):5:5," ",openD(1):5:5);

18:00  midnite[0]   midnite[1]
--------------------------------------
1230808 2.797        2.712      2.588

```

On the first bar of the trading session I also capture the day of the week.  The days of the week, using intraday data on a 24 hour session, range from Sunday to Thursday, instead of Monday thru Friday.  CanBuy is turned on if the day of week equals the input provided by the user.  When using daily bars and you optimize the day of the week, remember if you chose 2 or Tuesday you really mean Wednesday.  If today is Tuesday, then buy next bar at…  This will generate trades only on Wednesdays.  When testing on intraday data you do not need to make a modification for the day of week.  If the first bar of the trading session is Tuesday, then you will actually trade what is considered the Wednesday session that starts on Tuesday evening at 18:00.

Here is a quick trick to not trade on Holidays.  The daily bar does not include preempted sessions in its database, whereas intraday data does.  So, if at 18:00 the date of the prior bar does not match the date of the daily bar located in the Data2 slot, then you know that the prior day was preempted and you should not trade today.  In other words, Data2 is missing.  Remember, you only want to trade on days that are included in the daily bar database in your attempt to replicate the daily bar strategy.

```date             close   moving average
1230703.00 data2         2.57382 2.70300
1230704.00 missing data2 2.57382 2.70300 <-- no trade
1230705.00 data2         2.57485 2.65100 <-- matches```

## How to count the daily bars since entry.

Here again you need to do some bookkeeping.  If you are long on the first bar of the day, then you have been in the trade for at least a day.  If you are long on two first bars of the trading session, then you have been long for two days.  I use the variable, curTradeDays, to count the number of days we have been in the trade.  If on the first bar of the trading session we are flat, then I reset curTradeDays to zero.  Otherwise, I increment the variable and this only occurs once a day.  You can optimize the daysInTrade input, but for this post we are just interested in getting out at the close on the day of entry.

#### Controlling one entry per day.

We only want one long entry per day in an attempt to replicate the daily bar system.  There are several ways to do this, but comparing the current bar’s marketPosition to the prior bar’s value will inform you if a position has been transitioned from flat to long.  If the prior bar’s position if flat and the current bar is now long, then we can turn our canBuy off or to false.  If we get stopped out later and the market rallies again to our break out level, we will not execute at that level, because the trade directive will not be issued.  Why not use the entriesToday function?  Again midnight cause this function to reset.  Say you go long at 22:00 and you do not want to enter another position until the tomorrow at 18:00.  EntriesToday will forget you entered the long position at 22:00.

```1220726.00 2350.00 entries today 1.00
1220726.00 2355.00 entries today 1.00
1220727.00 0.00 entries today 0.00 < not true!```

#### Cannot execute on the first bar of the day – does it matter?

Since this is an open range break out, we need to know what the open is prior to our break out calculation.  Could the break out level be penetrated on the first 5 minute bar?  Sure, but I bet it is rare.  I tested this and it only occurred 4 or 5 times.  In a back-test, if this occurs and the subsequent bar’s open is still above the break out level, TradeStation will convert the stop order to a market order and you will buy the open of the 2nd five minute bar.  In real time trading, you must tell TradeStation to wait until the end of the first 5 minute bar before issuing the trade directive to replicate your back testing.  If this is an issue, you can test with 5 minute bars, but execute on 1 minute bars.  In other words, have your testing chart and an additional execution chart.  Skipping the first 5 minute bar may be advantageous.  Many times you will get a surge at the open and then the market falls back.  By the time the first 5 minute bar concludes the market may be trading back below your break out level.  You might bypass the bulge. But your still in the game.  Here is how you can test the significance of this event.

``	if canBuy and h > todaysOpen + volAmt *volMult then 	Begin 		print(d," first bar penetration ",value67," ",value68," ",(c - (todaysOpen + volAmt *volMult))*bigPointValue );		value67 = value67 + 1;		value68 = value68 + (c - (todaysOpen + volAmt *volMult))*bigPointValue;	end;``
Testing for penetration on first 5 minute bar of the day

By the end of the first bar of the day we know the open, high, low and close of the day thus far.  We can test to see if the high would have penetrated the break out level and also calculate the profit or loss of the trade.  In a back-test you will not miss this trade if the next bar’s open is still above the break out level.  If the next bar’s open is below the break out level, then you may have missed a fake out break out.   Again this is a rare event.

### The rest of the code in its entirety

``inputs: daysOfWeekToTrade(1),mavLen(20),volLen(10),volMult(0.25),volComp(.5),stopLoss(500),profitTarget(1000),daysInTrade(0),llLookBack(2);vars: todaysOpen(0),curTradeDays(0),mp(0),barsToday(0),openDOW(0),canBuy(False),volAmt(0),movAvg(0);mp = marketPosition;if t = sessionstartTime(0,1) + barInterval ThenBegin		todaysOpen = o;	openDOW = dayOfWeek(d);	canBuy = False;	if openDOW = daysOfWeekToTrade then canBuy = True;		if canBuy and d[1] <> date of data2 then 	begin		canBuy = False;	end;			if mp = 1 then curTradeDays =curTradeDays + 1;	if mp = 0 then curTradeDays = 0;	barsToday = 1; 		volAmt = average(range of data2,volLen);	movAvg = average(c,mavLen) of data2;	if canBuy and h > todaysOpen + volAmt *volMult then 	Begin 		print(d," first bar penetration ",value67," ",value68," ",(c - (todaysOpen + volAmt *volMult))*bigPointValue );		value67 = value67 + 1;		value68 = value68 + (c - (todaysOpen + volAmt *volMult))*bigPointValue;	end;end;if mp[1] = 0 and mp = 1 and canBuy then canBuy = False;if canBuy and t <> sessionEndTime(0,1) ThenBegin	if barsToday > 1 and 	close of data2 > movAvg and 	range of data2 > volAmt * volComp then 		 buy("DMIntraBuy") next bar at todaysOpen + volAmt *volMult stop;end;barsToday = barsToday + 1;if daysInTrade = 0 then 	setExitOnClose;	sell("LLxit") next bar at lowest(l of data2,llLookBack) stop;if mp = 1 and daysInTrade > 0 thenbegin	if curTradeDays = daysInTrade then sell("DaysXit") next bar at open;end;setStopLoss(stopLoss);setProfitTarget(profitTarget);``
Intrday system that replicates a daily bar day trader

We are using the setStopLoss and setProfitTarget functions in this code.  But remember, if your continuous contract goes negative, then these functions will not work properly.

This type of programming is tricky, because you must use tricks to get EasyLanguage to do what you want it to do.  You must experiment, debug, and program ideas to test the limitations of EasyLanguage to hone your craft.

# Learn Pyramiding, Scaling In or Out, Camarilla, Break Out and Clear Out techniques in day trading environment.

• Chapter 1 – Open Range Break Out and other Sundries
• Chapter 2 – Improving Our ORBO with Pattern Recognition
• Chapter 3 – Time based Breakout
• Chapter 4 – Trading After the Lunch Break
• Chapter 5 – Extending Our Break Out Technology With Pyramiding and Scaling Out
• Chapter 6 – Scaling Out of Pyramided and multiple Positions
• Chapter 7 – Pyramania
• Chapter 8 – Introduction to Zone Trading with the Camarilla
• Chapter 9 – Day Trading Templates Appendix

## Take a look at this function that spans the entire search space of all the combinations of the days of the week.

``inputs: optimizeNumber(numericSimple);arrays: dowArr[31]("");vars: currDOWStr(""),daysOfWeek("MTWRF");//Once//begin	print(d," ",t," assigning list ");	dowArr[1]="MTWRF";dowArr[2]="MTWR";	dowArr[3]="MTWF";dowArr[4]="MTRF";	dowArr[5]="MWRF";dowArr[6]="TWRF";	dowArr[7]="MTW";dowArr[8]="MTR";	dowArr[9]="MTF";dowArr[10]="MWR";	dowArr[11]="MWF";dowArr[12]="MRF";	dowArr[13]="TWR";dowArr[14]="TWF";	dowArr[15]="TRF";dowArr[16]="WRF";	dowArr[17]="MT";dowArr[18]="MW";	dowArr[19]="MR";dowArr[20]="MF";	dowArr[21]="TW";dowArr[22]="TR";	dowArr[23]="TF";dowArr[24]="WR";	dowArr[25]="WF";dowArr[26]="RF";	dowArr[27]="M";dowArr[28]="T";	dowArr[29]="W";dowArr[30]="R";	dowArr[31]="F";//end;OptimizeDaysOfWeek = False;if optimizeNumber > 0 and optimizeNumber < 32 ThenBegin	currDOWStr = midStr(daysOfWeek,dayOfWeek(d),1);	if inStr(dowArr[optimizeNumber],currDOWStr) <> 0 Then		OptimizeDaysOfWeek = True;end;``
All The Permutations of the Days of the Week

# Williams Awesome Oscillator Indicator and Strategy

## Awesome Oscillator

This is a very simple yet telling analysis.  Here is the EasyLanguage:

``[LegacyColorValue = true];                     Vars:oscVal(0),mavDiff(0);                    mavDiff= Average((h+l)/2,5)-Average((h+l)/2,34);oscVal = mavDiff - average(mavDiff,5);Plot3( 0, "ZeroLine" ) ;if currentbar>=1 then	if oscVal>oscVal[1] then plot1(mavDiff,"+AO")	else plot2(mavDiff,"-AO")``
Williams Awesome Oscillator Source Code

And here is what it looks like:

The code reveals a value that oscillates around 0.  First calculate the difference between the 5-day moving average of the daily midPoint (H+ L)/2 and the 34-day moving average of the midPoint.    A positive value informs us that the market is in a bullish stance whereas a negative represents a bearish tone.  Basically, the positive value is simply stating the shorter-term moving average is above the longer term and vice versa. The second step in the indicator calculation is to subtract the 5-day moving average of the differences from the current difference.  If the second calculation is greater than the prior day’s calculation, then plot the original calculation value as green (AO+).  If it is less (A0-), then paint the first calculation red.  The color signifies the momentum between the current and the five-day smoothed value.

## Awesome Indicator Strategy

``mavDiff= Average((h+l)/2,5)-Average((h+l)/2,34);oscVal = mavDiff - average(mavDiff,5);                                     mp = marketPosition;mavUp = countIf(mavDiff > 0,30);mavDn = countIf(mavDiff < 0,30);value1 = countIf(oscVal > oscVal[1],10);oscRatio = value1/10*100;``
The beginning of an AO based Strategy

Here I am using the very handy countIf function.  This function will tell you how many times a Boolean comparison is true out of the last N days.  Her I use the function twice, but I could have replaced the second function call with mavDn = 30 – mavUp.  So, I am counting the number of occurrences of when the mavDiff is positive and negative over the past 30-days.  I also count the number of times the oscVal is greater than the prior oscVal.  In other words, I am counting the number of green bars.  I create a ratio between green bars and 10.  If there are six green bars, then the ratio equals 60% This indicates that the ratio of red bars would be 40%.  Based on these readings you can create trade entry directives.

``if canShort and mavUp > numBarsAbove and mavDiff > minDiffAmt and oscRatio >= obRatio thensellShort next bar at open;if canBuy and mavDn > numBarsBelow and mavDiff < -1*minDiffAmt and oscRatio <= osRatio Thenbuy next bar at open;       ``

If the number of readings out of the last 30 days is greater than numBarsAbove and mavDiff is of a certain magnitude and the oscillator ratio is greater than buyOSCRatio, then you can go short on the next open.  Here we are looking for the market to converge.  When these conditions are met then I think the market is overbought.  You can see how I set up the long entries.  As you can see from the chart it does a pretty good job.  Optimizing the parameters on the crude oil futures yielded this equity curve.

Not bad, but not statistically significant either.  One way to generate more trades is to install some trade management such as protective stop and profit objective.

Using a wide protective stop and large profit objective tripled the number of trades.  Don’t know if it is any better, but total performance was not derived from just a couple of trades.  When you are working with a strategy like this and overlay trade management you will often run into this situation.

Here we either get stopped out or take a profit and immediately reenter the market.  This occurs when the conditions are still met to short when we exit a trade.  The fix for this is to determine when an exit has occurred and force the entry trigger to toggle off.  But you have to figure out how to turn the trigger back on.  I reset the triggers based on the number of days since the triggers were turned off – a simple fix for this post.  If you want to play with this strategy, you will probably need a better trigger reset.

I am using the setStopLoss and setProfitTarget functionality via their own strategies – Stop Loss and Profit Target.  These functions allow exit on the same as entry, which can be useful.  Since we are executing on the open of the bar, the market could definitely move either in the direction of the stop or the profit.  Since we are using wide values, the probability of both would be minimal.  So how do you determine when you have exited a trade.  You could look the current bar’s marketPosition and compare it with the prior bar’s value, but this doesn’t work 100% of the time.  We could be flat at yesterday’s close, enter long on today’s open and get stopped out during the day and yesterday’s marketPosition would be flat and today’s marketPosition would be flat as well.  It would be as if nothing occurred when in fact it did.

Take a look at this code and see if it makes sense to you.

``if mp[1] = 1 and totalTrades > totTrades then	canBuy = False;		if mp[1] = -1 and totalTrades > totTrades then 	canShort = False;if mp[1] = 0 and totalTrades > totTrades thenBegin	if mavDiff[1] < 0 then canBuy = False;		if mavDiff[1] > 0 then canShort = False;end;totTrades = totalTrades;``
Watch for a change in totalTrades.

If we were long yesterday and totalTrades (builtin keyword/function) increases above my own totTrades, then we know a trade was closed out – a long trade that is.  A closed out short position is handled in the same manner.  What about when yesterday’s position is flat and totalTrades increases.  This means an entry and exit occurred on the current bar.  You have to investigate whether the position was either long or short.  I know I can only go long when mavDiff is less than zero and can only go short when mavDiff is greater than zero.  So, all you need to do is investigate yesterday’s mavDiff  to help you determine what position was entered and exited on the same day.  After you determine if an exit occurred, you need to update totTrades with totalTrades.  Once you determine an exit occurred you turn canBuy or canShort off.  They can only be turned back on after N bars have transpired since they were turned off.   I use my own barsSince function to help determine this.

``if  not(canBuy) Then	if barsSince(canBuy=True,100,1,0) = 6 then		canBuy = True;if  not(canShort) Then	if barsSince(canShort=True,100,1,0) = 6 then		canShort = True;``

Complete strategy code:

``inputs:numBarsAbove(10),numBarsBelow(10),buyOSCRatio(60),shortOSRatio(40),minDiffAmt(2),numBarsTrigReset(6);Vars:canBuy(True),canShort(True),mp(0),totTrades(0),oscVal(0),mavDiff(0),oscRatio(0),mavUp(0),mavDn(0),stopLoss\$(1000);	                    mavDiff= Average((h+l)/2,5)-Average((h+l)/2,34);oscVal = mavDiff - average(mavDiff,5);                                     mp = marketPosition;mavUp = countIf(mavDiff > 0,30);mavDn = countIf(mavDiff < 0,30);value1 = countIf(oscVal > oscVal[1],10);oscRatio = value1/10*100; if  not(canBuy) Then	if barsSince(canBuy=True,100,1,0) = numBarsTrigReset then		canBuy = True;if  not(canShort) Then	if barsSince(canShort=True,100,1,0) = numBarsTrigReset then		canShort = True;if mp[1] = 1 and totalTrades > totTrades then	canBuy = False;		if mp[1] = -1 and totalTrades > totTrades then 	canShort = False;if mp[1] = 0 and totalTrades > totTrades thenBegin	if mavDiff[1] < 0 then canBuy = False;		if mavDiff[1] > 0 then canShort = False;end;if canShort and mavUp > numBarsAbove and mavDiff > minDiffAmt and oscRatio >= buyOSCRatio thensellShort next bar at open;if canBuy and mavDn > numBarsBelow and mavDiff < -1*minDiffAmt and oscRatio <= shortOSRatio Thenbuy next bar at open;       		totTrades = totalTrades;                           ``

# Week Of Month

I could be wrong, but I couldn’t find this functionality in EasyLanguage.  I was testing a strategy that didn’t want to trade a specific week of the month.   If it’s not built-in, then it must be created.   I coded this functionality in Sheldon Knight’s Seasonality indicator but wanted to create a simplified universal version.  I may have run into one little snag.  Before discussing the snag, here is a Series function that returns my theoretical week of the month.

``vars: weekCnt(0),cnt(0);vars: newMonth(False),functionSeed(False);if month(d) <> month(d[1]) ThenBegin	weekCnt = 1;end;if dayOfWeek(d)<dayOfWeek(d[1]) and month(d) = month(d[1]) Thenbegin	weekCnt = weekCnt + 1;end;if weekCnt = 1 and dayofMonth(d) = 2 and dayOfWeek(D) = Sunday Then	print("Saturday was first day of month"," ",d);WeekOfMonth = weekCnt;``
Series Function to Return Week Rank

This function is of type Series because it has to remember the prior output of the function call – weekCnt.  This function is simple as it will not provide the week count accurately (at the very beginning of a test) until a new month is encountered in your data.  It needs a ramp up (at least 30 days of daily or intraday data) to get to that new month.  I could have used a while loop the first time the function was called and worked my way back in time to the beginning of the month and along the way calculate the week of the month.  I decided against that, because if you are using tick data then that would be a bunch of loops and TradeStation can get caught in an infinite loop very easily.

This code is rather straightforward.  If the today’s month is not equal to yesterday’s month, then weekCnt is set to one.  Makes sense, right.  The first day of the month should be the first week of the month.  I then compare the day of week of today against the day of week of yesterday.  If today’s day of week is less than the prior day’s day of week, then it must be a Sunday (futures markets open Sunday night to start the week) or Monday (Sunday = 0 and Monday = 1 and Friday = 5.)  If this occurs and today’s month is the same as yesterday’s month, weekCnt is incremented.  Why did I check for the month?  What if the first trading day was a Sunday or Monday?  Without the month comparison I would immediately increment weekCnt and that would be wrong.  That is all there is to it?  Or is it?  Notice I put some debug code in the function code.

## Is There a Snag?

April 2023 started the month on Saturday which is the last day of the week, but it falls in the first week of the month.  The sun rises on Sunday and it falls in the second week of the month.  If you think about my code, this is the first trading day of the month for futures:

month(April 2nd) = April or 4

month(March 31st) = March or 3

They do not equal so weekCnt is set to 1.  The first trading day of the month is Sunday or DOW=0 and the prior trading day is Friday or DOW=5.  WeekCnt is NOT incremented because month(D) doesn’t equal month(D[1]).  Should WeekCnt be incremented?  On a calendar basis it should, but on a trading calendar maybe not.  If you are searching for the first occurrence of a certain day of week, then my code will work for you.  On April 2nd, 2023, it is the second week of the month, but it is the first Sunday of April.

Thoughts???  Here are a couple of screenshots of interest.

This function is an example of where we let the data tell us what to do.  I am sure there is calendar functions, in other languages, that can extract information from just the date.  However, I like to extract from what is actually going to be traded.

Email me if you have any questions, concerns, criticism, or a better mouse trap.

# The EasyLanguage Function: A Thing of Beauty

The concept of Scope when it comes to a programming language can get very confusing very quickly. If you are new to programming and you think Scope is a mouthwash, no worries here. I will give a full explanation of Scope in terms of programming with the help of ChatGPT. Its response is italicized.

I recently chatted with ChatGPT about Scope in terms of the Python programing language.

In Python, the scope of a variable refers to the region of the program where that variable can be accessed or referenced. There are two types of scopes in Python: global scope and local scope.

Here’s an example that demonstrates the concept of scope in Python:

``# global variablex = 10def my_func():    # local variable    y = 5    print("x inside my_func:", x)  # x is accessed from the global scope    print("y inside my_func:", y)  # y is accessed from the local scopemy_func()print("x outside my_func:", x)  # x is accessed from the global scopeprint("y outside my_func:")  # y is not defined in the global scope, so this will raise a NameError``
Example of Scope as demonstrated by Chat-GPT

In this example, we define a global variable `x` with a value of `10`.

We then define a function `my_func` that has a local variable `y` with a value of `5`. Inside the function, we print the values of `x` and `y`. The variable `x` is accessed from the global scope, which means it can be referenced from anywhere in the program.

The variable `y`, on the other hand, is only accessible within the function, which is the local scope. Outside the function, we print the value of `x` again, which is still accessible from the global scope. However, when we try to print the value of `y`, we get a NameError because `y` is not defined in the global scope.

Okay that was pretty formal. In simpler terms, a variable declared inside a function can only be seen inside that function, unless it is declared globally. Another thing about Scope, is that the variables have amnesia. Once you step out of the function the variable forgets what it was, and you can’t refer to its prior value upon return to the function.

Unless you are an EasyLanguage function. Scope is still constrained by an EasyLanguage function, because it is a separate piece of code held within the library of Analysis Techniques. Most of the time you can’t see what’s in the function unless you open it with the ELEditor. However, the variables that are defined inside the function do not suffer from amnesia. If you need to refer to a prior value of a locally declared variable, you can. This type of function is what EasyLanguage calls a Serial function. The only downside to this function is it slows processing down quite a bit.

Okay. To make a long story short I wanted to show the magic of EasyLanguage function that I have been working with on a project. This project includes some of Ehlers’ cycle analysis functions. The one I am going to discuss today is the HighRoof function – don’t worry I am not going to go into detail of what this function does. If you want to know just GOOGLE it or ask ChatGPT. I developed a strategy that used the function on the last 25 days of closing price data. I then turned around and fed the output of the first pass of the HighRoof function right back into the HighRoof function. Something similar to embedding functions.

doubleSmooth = average(average(c,20),20);

Sort of like a double smoothed moving average. After I did this, I started thinking does the function remember the data from its respective call? The first pass used closing price data, so its variables and their history should be in terms of price data. The second pass used the cyclical movements data that was output by the initial call to the HighRoof function. Everything turned out fine, the function remembered the correct data. Or seemed like it did. This is how you learn about any programming language – pull out your SandBox and do some testing. First off, here is my conversion of Ehlers’ HighRoof function in EasyLanguage.

``//Ehlers HiRoof Inputs: dataSeries(numericseries),cutPeriod(Numeric);  Vars:   a1(0), b1(0), c1(0), c2(0), c3(0), Filt(0), Filt2(0),         alpha1(0),oneMinusAlpha1(0), highPass(0),myhp(0),degrees(0); Vars: numTimesCalled(0);   //Highpass filter cyclic components whose periods are shorter than 48 barsnumTimesCalled = numTimesCalled + 1;print(d," numTimesCalled ",numTimesCalled," highPass[1] ",highPass[1]," highPass[2] ",highPass[2]," highPass[3] ",highPass[3]);degrees = .707*360 / CutPeriod;alpha1 = (Cosine(degrees) + Sine(degrees) - 1) / Cosine(degrees);oneMinusAlpha1 = 1-alpha1; highPass = square(oneMinusAlpha1/2)*(dataSeries-2*dataSeries[1]+dataSeries[2]) +  2*(oneMinusAlpha1)*highPass[1]-square(oneMinusAlpha1)*highPass[2];   EhlersHighRoof=highPass;``
Ehlers High Roof Function

This function requires just two inputs – the data (with a history) and a simple length or cut period. The first input is of type numericSeries and the second input is of type numericSimple. You will see the following line of code

`` print(d," numTimesCalled ",numTimesCalled," highPass[1] ",highPass[1]," highPass[2] ",highPass[2]," highPass[3] ",highPass[3]);``

This code prints out the last three historic values of the HighPass variable for each function call. I am calling the function twice for each bar of data in the Crude Oil futures continuous contract.

``1230206.00 numTimesCalled  494.00 highPass[1]   -0.78 highPass[2]   -0.51 highPass[3]   -0.601230206.00 numTimesCalled  494.00 highPass[1]   -0.05 highPass[2]   -0.02 highPass[3]   -0.061230207.00 numTimesCalled  495.00 highPass[1]   -0.38 highPass[2]   -0.78 highPass[3]   -0.511230207.00 numTimesCalled  495.00 highPass[1]    0.04 highPass[2]   -0.05 highPass[3]   -0.021230208.00 numTimesCalled  496.00 highPass[1]    0.31 highPass[2]   -0.38 highPass[3]   -0.781230208.00 numTimesCalled  496.00 highPass[1]    0.16 highPass[2]    0.04 highPass[3]   -0.051230209.00 numTimesCalled  497.00 highPass[1]    0.49 highPass[2]    0.31 highPass[3]   -0.381230209.00 numTimesCalled  497.00 highPass[1]    0.15 highPass[2]    0.16 highPass[3]    0.041230210.00 numTimesCalled  498.00 highPass[1]    0.30 highPass[2]    0.49 highPass[3]    0.311230210.00 numTimesCalled  498.00 highPass[1]    0.07 highPass[2]    0.15 highPass[3]    0.161230213.00 numTimesCalled  499.00 highPass[1]    0.52 highPass[2]    0.30 highPass[3]    0.491230213.00 numTimesCalled  499.00 highPass[1]    0.08 highPass[2]    0.07 highPass[3]    0.151230214.00 numTimesCalled  500.00 highPass[1]    0.44 highPass[2]    0.52 highPass[3]    0.301230214.00 numTimesCalled  500.00 highPass[1]    0.04 highPass[2]    0.08 highPass[3]    0.07``
Output of calling HighRoof twice per bar

Starting at the top of the output you will see that on 1230206 the function was called twice with two different sets of data. As you can see the output of the first two lines is of a different magnitude. The first line is approximately an order or magnitude of 10 of the second line. If you go to lines 3 and 4 you will see the highPass[1] of lines 1 and 2 moves to highPass[2] and then onto highPass[3]. I think what happens internally is for every call on per bar basis, the variables for each function call are pushed into a queue in memory. The queue continues to grow for whatever length is necessary and then either maintained or truncated at some later time.

## Why Is This So Cool?

In many languages the encapsulation of data with the function requires additional programming. The EasyLanguage function could be seen as an “object” like in object-oriented programming. You just don’t know you are doing it. EasyLanguage takes care of a lot of the behind-the-scenes data management. To do the same thing in Python you would need to create a class of Ehlers Roof that maintain historic data in class members and the calculations would be accomplished by a class method. In the case of calling the function twice, you would instantiate two classes from the template and each class would act independent of each other.

## Here is my SandBox for Indicator

``Value1 = EhlersHighRoof(close,25);plot1(Value1,"EhlersHiRoof");Value2 = EhlersHighRoof(value1,25);plot2(Value2,"EhlersHiRoof2");``
Sandbox Playground for Ehlers Function

One last nugget of information. If you are going to be working with trigonometric functions such as Cosine, Sine or Tangent, make sure your arguments are in degrees not radians. In Python, you must use radians.

# Complete Strategy based on Sheldon Knight and William Brower Research

In my Easing Into EasyLanguage:  Hi-Res Edition, I discuss the famous statistician and trader Sheldon Knight and his  K-DATA Time Line.  This time line enumerated each day of the year using the following nomenclature:

First Monday in December = 1stMonDec

Second Friday in April = 2ndFriApr

Third Wednesday in March = 3rdWedMar

This enumeration or encoding was used to determine if a certain week of the month and the day of week held any seasonality tendencies.  If you trade index futures you are probably familiar with Triple Witching Days.

Four times a year, contracts for stock options, stock index options, and stock index futures all expire on the same day, resulting in much higher volumes and price volatility. While the stock market may seem foreign and complicated to many people, it is definitely not “witchy”, however, it does have what is known as “triple witching days.”

Triple witching, typically, occurs on the third Friday of the last month in the quarter. That means the third Friday in March, June, September, and December. In 2022, triple witching Friday are March 18, June 17, September 16, and December 16

Other days of certain months also carry significance.  Some days, such as the first Friday of every month (employment situation), carry even more significance.   In 1996, Bill Brower wrote an excellent article in Technical Analysis of Stocks and Commodities.  The title of the article was The S&P 500 Seasonal Day Trade.  In this article, Bill devised 8 very simple day trade patterns and then filtered them with the Day of Week in Month.  Here are the eight patterns as he laid them out in the article.

1. Pattern 1:  If tomorrow’s open minus 30 points is greater than today’s close, then buy at market.
2. Pattern 2:  If tomorrow’s open plus 30 points is less than today’s close, then buy at market.
3. Pattern 3:  If tomorrow’s open minus 30 points is greater than today’s close, then sell short at market.
4. Pattern 4:  If tomorrow’s open plus 30 points is less than today’s close, then sell short at market.
5. Pattern 5:  If tomorrow’s open plus 10 points is less than today’s low, then buy at market.
6. Pattern 6:  If tomorrow’s open minus 20 points is greater than today’s high, then sell short at today’s close stop.
7. Pattern 7:  If tomorrow’s open minus 40 points is greater than today’s close, then buy at today’s low limit.
8. Pattern 8:  If tomorrow’s open plus 70 points is less than today’s close, then sell short at today’s high limit.

This article was written nearly 27 years ago when 30 points meant something in the S&P futures contract.   The S&P was trading around the 600.00 level.  Today the  e-mini S&P 500 (big S&P replacement) is trading near 4000.00 and has been higher.  So 30, 40 or 70 points doesn’t make sense.  To bring the patterns up to date, I decided to use a percentage of ATR in place of a single point.  If today’s range equals 112.00 handles or in terms of points 11200 and we use 5%, then the basis would equate to 11200 = 560 points or 5.6 handles.  In the day of the article the range was around 6 handles or 600 points.  So. I think using 1% or 5% of ATR could replace Bill’s point values.  Bill’s syntax was a little different than the way I would have described the patterns.  I would have used this language to describe Pattern1 – If tomorrow’s open is greater than today’s close plus 30 points, then buy at market – its easy to see we are looking for a gap open greater than 30 points here.  Remember there is more than one way to program an idea.  Let’s stick with Bills syntax.

• 10 points = 1 X (Mult)  X ATR
• 20 points = 2 X (Mult)  X ATR
• 30 points = 3 X (Mult)  X ATR
• 40 points = 4 X (Mult)  X ATR
• 50 points = 5 X (Mult)  X ATR
• 70 points =7 X (Mult)  X ATR

We can play around with the Mult to see if we can simulate similar levels back in 1996.

``// atrMult will be a small percentage like 0.01 or 0.05atrVal = avgTrueRange(atrLen) * atrMult;//original patterns//use IFF function to either returne a 1 or a 0//1 pattern is true or 0 it is falsepatt1 = iff(open of tomorrow - 3 * atrVal > c,1,0);patt2 = iff(open of tomorrow + 3 * atrVal < c,1,0);patt3 = iff(open of tomorrow - 3 * atrVal > c,1,0);patt4 = iff(open of tomorrow + 3 * atrVal < c,1,0);patt5 = iff(open of tomorrow + 1 * atrVal < l,1,0);patt6 = iff(open of tomorrow - 2 * atrVal > h,1,0);patt7 = iff(open of tomorrow - 4 * atrVal > c,1,0);patt8 = iff(open of tomorrow + 7 * atrVal < c,1,0);``

## William Brower’s DoWInMonth Enumeration

The Day of Week In A Month is represented by a two digit number.  The first digit is the week rank and the second number is day of the week.  I thought this to be very clever, so I decided to program it.    I approached it from a couple of different angles and I actually coded an encoding method that included the week rank, day of week, and month (1stWedJan) in my Hi-Res Edition.   Bill’s version didn’t need to be as sophisticated and since I decided to use TradeStation’s optimization capabilities I didn’t need to create a data structure to store any data.  Take a look at the code and see if it makes a little bit of sense.

``newMonth = False;newMonth = dayOfMonth(d of tomorrow) < dayOfMonth(d of today);atrVal = avgTrueRange(atrLen) * atrMult;if newMonth thenbegin	startTrading = True;	monCnt = 0;	tueCnt = 0;	wedCnt = 0;	thuCnt = 0;	friCnt = 0;	weekCnt = 1;end;if not(newMonth) and dayOfWeek(d of tomorrow) < dayOfWeek(d of today) then	weekCnt +=1;dayOfWeekInMonth = weekCnt * 10 + dayOfWeek(d of tomorrow);	``
Simple formula to week rank and DOW

NewMonth is set to false on every bar.  If tomorrow’s day of month is less than today’s day of month, then we know we have a new month and newMonth is set to true.  If we have a new month, then several things take place: reinitialize the code that counts the number Mondays, Tuesdays, Wednesdays, Thursdays and Fridays to 0 (not used for this application but can be used later,) and set the week count weekCnt to 1.  If its not a new month and the day of week of tomorrow is less than the day of the week today (Monday = 1 and Friday = 5, if tomorrow is less than today (1 < 5)) then we must have a new week on tomorrow’s bar.  To encode the day of week in month as a two digit number is quite easy – just multiply the week rank (or count) by 10 and add the day of week (1-Monday, 2-Tuesday,…)  So the third Wednesday would be equal to 3X10+3 or 33.

## Use Optimization to Step Through 8 Patterns and 25 Day of Week in Month Enumerations

Stepping through the 8 patterns is a no brainer.  However, stepping through the 25 possible DowInAMonth codes or enumerations is another story.  Many times you can use an equation based on the iterative process of going from 1 to 25.  I played around with this using the modulus function, but decided to use the Switch-Case construct instead.  This is a perfect example of replacing math with computer code.  Check this out.

``switch(dowInMonthInc)begin	case 1 to 5:		value2 =  mod(dowInMonthInc,6);		value3 = 10;	case 6 to 10:		value2 = mod(dowInMonthInc-5,6);		value3 = 20;	case 11 to 15:		value2 = mod(dowInMonthInc-10,6);		value3 = 30;	case 16 to 20:		value2 = mod(dowInMonthInc-15,6);		value3 = 40;	case 21 to 25:		value2 = mod(dowInMonthInc-20,6);		value3 = 50;end;``
Switch-Case to Step across 25 Enumerations

Here we are switching on the input (dowInMonthInc).  Remember this value will go from 1 to 25 in increments of 1. What is really neat about EasyLanguage’s implementation of the Switch-Case is that it can handle ranges.  If the dowInMonthInc turns out to be 4 it will fall within the first case block (case 1 to 5).  Here we know that if this value is less than 6, then we are in the first week so I set the first number in the two digit dayOfWeekInMonth representation to 1.  This is accomplished by setting value3 to 10.  Now you need to extract the day of the week from the 1 to 25 loop.  If the dowInMonthInc is less than 6, then all you need to do is use the modulus function and the value 6.

• mod(1,6)  = 1
• mod(2,6) = 2
• mod(3,6) = 3

This works great when the increment value is less than 6.  Remember:

• 1 –> 11 (first Monday)
• 2 –> 12 (first Tuesday)
• 3 –> 13 (first Wednesday)
• 6 –> 21 (second Monday)
• 7 –> 22 (second Tuesday).

So, you have to get a little creative with your code.  Assume the iterative value is 8.  We need to get 8 to equal 23 (second Wednesday).  This value falls into the second case, so Value3 = 20 the second week of the month.  That is easy enough.  Now we need to extract the day of week – remember this is just one solution, I guarantee there are are many.

mod(dowInMonthInc – 5, 6) – does it work?

value2 = mod(8-5,6) = 3 -> value3 = value1  +  value2 -> value3 = 23.  It worked.   Do you see the pattern below.

• case   6 to 10 – mod(dowInMonthInc –  5, 6)
• case 11 to 15 – mod(dowInMonthInc – 10, 6)
• case 16 to 20- mod(dowInMonthInc – 15, 6)
• case 21 to25 – mod(dowInMonthInc – 20, 6)

Save Optimization Report as Text and Open with Excel

Here are the settings that I used to create the following report.  If you do the math that is a total of 200 iterations.

I opened the Optimization Report and saved as text.  Excel had no problem opening it.

I created the third column by translating the second column into our week of month and day of week vernacular.  These results were applied to 20 years of ES.D (day session data.)  The best result was Pattern #3 applied to the third Friday of the month (35.)  Remember the 15th DowInMonthInc  equals the third (3) Friday (5).  The top patterns predominately occurred on a Thursday or Friday.

Here is the complete code for you to play with.

``inputs: atrLen(10),atrMult(.05),patternNum(1),dowInMonthInc(1);vars: patt1(0),patt2(0),patt3(0),patt4(0),patt5(0),patt6(0),patt7(0),patt8(0);vars: atrVal(0),dayOfWeekInMonth(0),startTrading(false),newMonth(False);;vars: monCnt(0),tueCnt(0),wedCnt(0),thuCnt(0),friCnt(0),weekCnt(0);newMonth = False;newMonth = dayOfMonth(d of tomorrow) < dayOfMonth(d of today);atrVal = avgTrueRange(atrLen) * atrMult;if newMonth thenbegin	startTrading = True;	monCnt = 0;	tueCnt = 0;	wedCnt = 0;	thuCnt = 0;	friCnt = 0;	weekCnt = 1;end;if not(newMonth) and dayOfWeek(d of tomorrow) < dayOfWeek(d of today) then	weekCnt +=1;dayOfWeekInMonth = weekCnt * 10 + dayOfWeek(d of tomorrow);	//print(date," ", dayOfMonth(d)," " ,dayOfWeek(d)," ",weekCnt," ",monCnt," ",dayOfWeekInMonth);//original patternspatt1 = iff(open of tomorrow - 3 * atrVal > c,1,0);patt2 = iff(open of tomorrow + 3 * atrVal < c,1,0);patt3 = iff(open of tomorrow - 3 * atrVal > c,1,0);patt4 = iff(open of tomorrow + 3 * atrVal < c,1,0);patt5 = iff(open of tomorrow + 1 * atrVal < l,1,0);patt6 = iff(open of tomorrow - 2 * atrVal > h,1,0);patt7 = iff(open of tomorrow - 4 * atrVal > c,1,0);patt8 = iff(open of tomorrow + 7 * atrVal < c,1,0);switch(dowInMonthInc)begin	case 1 to 5:		value2 =  mod(dowInMonthInc,6);		value3 = 10;	case 6 to 10:		value2 = mod(dowInMonthInc-5,6);		value3 = 20;	case 11 to 15:		value2 = mod(dowInMonthInc-10,6);		value3 = 30;	case 16 to 20:		value2 = mod(dowInMonthInc-15,6);		value3 = 40;	case 21 to 25:		value2 = mod(dowInMonthInc-20,6);		value3 = 50;end;value1 = value3 + value2 ;//print(d," ",dowInMonthInc," ",dayOfWeekInMonth," ",value1," ",value2," ",value3," ",mod(dowInMonthInc,value2));if value1 = dayOfWeekInMonth thenbegin	if patternNum = 1 and patt1 = 1 then buy("Patt1") next bar at open;	if patternNum = 2 and patt2 = 1 then buy("Patt2") next bar at open;	if patternNum = 3 and patt3 = 1 then sellShort("Patt3") next bar at open;	if patternNum = 4 and patt4 = 1 then sellShort("Patt4") next bar at open;	if patternNum = 5 and patt5 = 1 then buy("Patt5") next bar at low limit;	if patternNum = 6 and patt6 = 1 then sellShort("Patt6") next bar at close stop;	if patternNum = 7 and patt7 = 1 then buy("Patt7") next bar at low limit;	if patternNum = 8 and patt8 = 1 then sellShort("Patt8") next bar at high stop;end;setExitOnClose;``
The Full Monty of the ES-Seasonal-Day Trade

I think this could provide a means to much more in-depth analysis.  I think the Patterns could be changed up.  I would like to thank William (Bill) Brower for his excellent article, The S&P Seasonal Day Trade in Stocks and Commodities, August 1996 Issue, V.14:7 (333-337).  The article is copyright by Technical Analysis Inc.  For those not familiar with Stocks and Commodities check them out at https://store.traders.com/

Please email me with any questions or anything I just got plain wrong.  George

# Can Futures Traders Trust Continuous Contracts? [Part – 2]

## Recap from Part -1

I had to wrap up Part -1 rather quickly and probably didn’t get my ideas across, completely.  Here is what we did in Part – 1.

1. used my function to locate the First Notice Date in crude
2. used the same function to print out exact EasyLanguage syntax
3. chose to roll eight days before FND and had the function print out pure EasyLanguage
4. the output created array assignments and loaded the calculated roll points in YYYMMDD format into the array
5.  visually inspected non-adjusted continuous contracts that were spliced eight days before FND
6. appended dates in the array to match roll points, as illustrated by the dip in open interest

Step 6 from above is very important, because you want to make sure you are out of a position on the correct rollover date.  If you are not, then you will absorb the discount between the contracts into your profit/loss when you exit the trade.

## Step 2 – Create the code that executes the rollover trades

Here is the code that handles the rollover trades.

``............rollArr[118]=20220314;rollArr[119]=20220411;rollArr[120]=20220512;rollArr[121]=20220613;rollArr[122]=20220712;rollArr[123]=20220812;//  If in a position and date + 1900000 (convert TS date format to YYYYMMDD),//  then exit long or short on the current bar's close and then re-enter//  on the next bar's openif d+19000000 = rollArr[arrCnt] thenbegin	condition1 = true; 	arrCnt = arrCnt + 1;	if marketPosition = 1 then	begin		sell("LongRollExit") this bar on close;		buy("LongRollEntry") next bar at open;	end;	if marketPosition = -1 then	begin		buyToCover("ShrtRollExit") this bar on close;		sellShort("ShrtRollEntry") next bar at open;	end;	end;``
Code to rollover open position

This code gets us out of an open position during the transition from the old contract to the new contract.  Remember our function created and loaded the rollArr for us with the appropriate dates.  This simulation is the best we can do – in reality we would exit/enter at the same time in the two different contracts.  Waiting until the open of the next bar introduces slippage.  However, in the long run this slippage cost may wash out.

## Step 3 – Create a trading system with entries and exits

The system will be a simple Donchian where you enter on the close when the bar’s high/low penetrates the highest/lowest low of the past 40 bars.  If you are long, then you will exit on the close of the bar whose low is less than the lowest low of the past 20 bars.  If short, get out on the close of the bar that is greater than the highest high of the past twenty bars.  The first test will show the result of using an adjusted continuous contract rolling 8 days prior to FND

This test will use the exact same data to generate the signals, but execution will take place on a non-adjusted continuous contract with rollovers.  Here data2 is the adjusted continuous contract and data1 is the non-adjusted.

Still a very nice trade, but in reality you would have to endure six rollover trades and the associated execution costs.

## Conclusion

Here is the mechanism of the rollover trade.

And now the performance results using \$30 for round turn execution costs.

### Now with rollovers

The results are very close, if you take into consideration the additional execution costs.  Since TradeStation is not built around the concept of rollovers, many of the trade metrics are not accurate.  Metrics such as average trade, percent wins, average win/loss and max Trade Drawdown will not reflect the pure algorithm based entries and exits.  These metrics take into consideration the entries and exits promulgated by the rollovers.  The first trade graphic where the short was held for several months should be considered 1 entry and 1 exit.  The rollovers should be executed in real time, but the performance metrics should ignore these intermediary trades.

I will test these rollovers with different algorithms, and see if we still get similar results, and will post them later.  As you can see, testing on non-adjusted data with rollovers is no simple task.  Email me if you would like to see some of the code I used in this post.

# Can Futures Traders Trust Continuous Contracts? [Part – 1]

## Well You Have To, Don’t You?

When I worked at Futures Truth, we tested everything with our Excalibur software.  This software used individual contract data and loaded the entire history (well, the part we maintained) of each contract into memory and executed rollovers at a certain time of the month.  Excalibur had its limitations as certain futures contracts had very short histories and rollover dates had to be predetermined – in other words, they were undynamic.  Over the years, we fixed the short history problem by creating a dynamic continuous contract going back in time for the number of days required for a calculation.  We also fixed the database with more appropriate rollover frequency and dates.  So in the end, the software simulated what I had expected from trading real futures contracts.  This software was originally written in Fortran and for the Macintosh.  It also had limitations on portfolio analysis as it worked its way across the portfolio, one complete market at a time.   Even with all these limitations, I truly thought that the returns more closely mirrored what a trader might see in real time.  Today, there aren’t many, if any, simulation platforms that test on individual contracts.  The main reasons for this are the complexity of the software, and the database management.  However, if you are willing to do the work, you can get close to testing on individual contract data with EasyLanguage.

## Step 1 – Get the rollover dates

This is critical as the dates will be used to roll out of one contract and into another.  In this post, I will test a simple strategy on the crude futures.  I picked crude because it rolls every month.   Some data vendors use a specific date to roll contracts, such as Pinnacle data.  In real time trading, I did this as well.  We had a calendar for each month, and we would mark the rollover dates for all markets traded at the beginning of each month.  Crude was rolled on the 11th or 12th of the prior month to expiration.  So, if we were trading the September 2022 contract, we would roll on August 11th.  A single order (rollover spread) was placed to sell (if long) the September contract and buy the October contract at the market simultaneously.  Sometimes we would leg into the rollover by executing two separate orders – in hopes of getting better execution.  I have never been able to find a historic database of when TradeStation performs its rollovers.  When you use the default @CL symbol, you allow TradeStation to use a formula to determine the best time to perform a rollover.  This was probably based on volume and open interest.  TradeStation does allow you to pick several different rollover triggers when using their continuous data.

I am getting ahead of myself, because we can simply use the default @CL data to derive the rollover dates (almost.)  Crude oil is one of those weird markets where LTD (last trade days) occurs before FND (first notice day.)  Most markets will give you a notice before they back up a huge truck and dump a 1000 barrels of oil at your front door.   With crude you have to be Johnny on the spot!  Rollover is just a headache when trading futures, but it can be very expensive headache if you don’t get out in time.  Some markets are cash settled so rollover isn’t that important, but others result in delivery of the commodity.  Most clearing firms will help you unwind an expired contract for a small fee (well relatively small.)  In the good old days your full service broker would give you heads up.  They would call you and say, “George you have to get out of that Sept. crude pronto!”  Some firms would automatically liquidate the offending contract on your behalf – which sounds nice but it could cost you.  Over my 30 year history of trading futures I was caught a few times in the delivery process.   You can determine these FND and LTD from the CME website.  Here is the expiration description for crude futures.

Trading terminates 3 business day before the 25th calendar day of the month prior to the contract month. If the 25th calendar day is not a business day, trading terminates 4 business days before the 25th calendar day of the month prior to the contract month.

You can look this up on your favorite broker’s website or the handy calendars they send out at Christmas.  Based on this description, the Sept. 2022 Crude contract would expire on August 20th and here’s why

• August 25 is Tuesday
• August 24 is Monday- DAY1
• August 21 is Friday – DAY2
• August 20 is Thursday – DAY3

This is the beauty of a well oiled machine or exchange.  The FND will occur exactly as described.  All you need to do is get all the calendars for the past ten years and find the 25th of the month and count back three business days.  Or if the 25 falls on a weekend count back four business days.  Boy that would be chore, would it not?  Luckily, we can have the data and an  EasyLanguage script do this for us.  Take a look at this code and see if it makes any sense to you.

``Case "@CL":	If dayOfMonth(date) = 25 and firstMonthPrint = false then	begin		print(date[3]+19000000:8:0);		firstMonthPrint = true;	end;	If(dayOfMonth(date[1]) < 25 and dayOfMonth(date) > 25 ) and firstMonthPrint = false then	begin		print(date[4]+19000000:8:0);		firstMonthPrint = true;	end;``
Code to printout all the FND of crude oil.

I have created a tool to print out the FND or LTD of any commodity futures by examining the date.  In this example, I am using a Switch-Case to determine what logic is applied to the chart symbol.  If the chart symbol is @CL, I look to see if the 25th of the month exists and if it does, I print the date 3 days prior out.  If today’s day of month is greater than 25 and the prior day’s day of month is less than 25, I know the 25th occurred on a weekend and I must print out the date four bars prior.  These dates are FN dates and cannot be used as is to simulate a rollover. You had best be out before the FND to prevent the delivery process.   Pinnacle Date rolls the crude on the 11th day of the prior month for its crude continuous contracts.  I aimed for this day of the month with my logic.  If the FND normally fell on the 22nd of the month, then I should back up either 9 or 10 business days to get near the 11th of the month.   Also I wanted to use the output directly in an EasyLanguage strategy so I modified my output to be exact EasyLanguage.

``Case "@CL":	If dayOfMonth(date) = 25 and firstMonthPrint = false then 	begin	value1 = value1 + 1;		print("rollArr[",value1:1:0,"]=",date[9]+19000000:8:0,";");		firstMonthPrint = true;	end;	If(dayOfMonth(date[1]) < 25 and dayOfMonth(date) > 25 ) and firstMonthPrint = false then	begin		value1 = value1 + 1;		print("rollArr[",value1:1:0,"]=",date[10]+19000000:8:0,";");//		print(date[4]+19000000:8:0);		firstMonthPrint = true;	end;// example of outputrollArr[103]=20210312;rollArr[104]=20210412;rollArr[105]=20210512;rollArr[106]=20210614;rollArr[107]=20210712;rollArr[108]=20210812;rollArr[109]=20210913;rollArr[110]=20211012;rollArr[111]=20211111;rollArr[112]=20211210;rollArr[113]=20220111;rollArr[114]=20220211;rollArr[115]=20220314;rollArr[116]=20220411;rollArr[117]=20220512;rollArr[118]=20220610;rollArr[119]=20220712;rollArr[120]=20220812;``
Code to print our 9 or 10 bars prior to FND in actual EasyLanguage

Now. that I had the theoretical rollover dates for my analysis I had to make sure the data that I was going to use matched up exactly.  As you saw before, you can pick the rollover date for your chart data.   And you can also determine the discount to add or subtract to all prior data points based on the difference between the closing prices at the rollover point.  I played around with the number of days prior to FND and selected non adjusted for the smoothing of prior data.

How did I determine 8 days Prior to First Notice Date?  I plotted different data using a different number of days prior and determined 8 provided a sweet spot between the old and new contract data’s open interest.  Can you see the rollover points in the following chart?  Ignore the trades – these were a beta test.

The dates where the open interest creates a valley aligned very closely with the dates I printed out using my FND date finder function.  To be safe, I compared the dates and fixed my array data to match the chart exactly.  Here are two rollover trades – now these are correct.

This post turned out to be a little longer than I thought, so I will post the results of using an adjusted continuous contract with no rollovers, and the results using non-adjusted concatenated contracts with rollovers.  The strategy will be a simple 40/20 bar Donchian entry/exit.  You maybe surprised by the results – stay tuned.

# Why It Is Important to Connect Variables with Correct Time Frame

I had a question about data aliasing from a reader of this blog.  Here is the debug code I used in the form of an Indicator.

``//vars: myCloseData1(0),myCloseData2(0),//      myRSIData1(0),myRSIData2(0);      vars: myCloseData1(0),myCloseData2(0,data2),      myRSIData1(0),myRSIData2(0,data2); myCloseData1 = close of data1;myCloseData2 = close of data2;myRSIData1 = rsi(close of data1,14);myRSIData2 = rsi(close of data2,14);Print(d," ",t," --------------- ");print(" myCloseData1[0]: ",myCloseData1[0],"  myCloseData2[0]: ",myCloseData2[0]); print(" myCloseData1[1]: ",myCloseData1[1],"  myCloseData2[1]: ",myCloseData2[1]);print(" myCloseData1[2]: ",myCloseData1[2],"  myCloseData2[2]: ",myCloseData2[2]);print(" myCloseData1[3]: ",myCloseData1[3],"  myCloseData2[3]: ",myCloseData2[3]);print(" myRSIData1[0]: ",myRSIData1[0]," myRSIData2[0]: ",myRSIData2[0]);print(" myRSIData1[1]: ",myRSIData1[1]," myRSIData2[1]: ",myRSIData2[1]);print(" myRSIData1[2]: ",myRSIData1[2]," myRSIData1[2]: ",myRSIData2[2]);print(" myRSIData1[3]: ",myRSIData1[3]," myRSIData1[3]: ",myRSIData2[3]);``
Illustrating Difference Between Data Aliasing and Not Data Aliasing

If you have a higher resolution as Data 1 (5 minute in this case) than Data 2 (15 minute), then you must use Data Aliasing if you are going to use a variable to represent a price or a function output.  With out Data Aliasing all data references are in terms of Data 1.  When the 15 minute bar closes then the current [0] and one bar back[ 1] will be correct – going back further in time will reflect correct data.  During the 15 minute bar only the last value [0] will show the correct reading of the last completed 15 minute bar.  Once you tie the variable to its correct time frame variableName(0, Data2), you can then reference historic bars in the same fashion as if it were Data1.  This includes price references and function output values.

Check this chart out and see if it makes sense to you.  I dedicate a portion of a Tutorial on Data Aliasing in my latest book due out next week – Easing Into EasyLanguage – Advanced Topics.

This is a simple indicator but it does involve some semi-advanced topics.  Just to let you know I am working on the third book in the Easing Into EasyLanguage series.  If you haven’t check out the first two, you might just want to head over to amazon and check those out.  This topic falls in the spectrum of the ideas that I will be covering in the Advanced Topics edition.  Also to let you know I just published the 2nd Edition of Trend Following Systems: A DIY Project – Batteries Included.  Check this out if you want to learn some Python and also see some pretty cool Trend Following algorithms – I include EasyLanguage too!

The code that follows demonstrates how to shade between plots and adjust gradient in terms of the RSI reading.  I compiled this with MultiCharts, so I assume it will work there too – just let me know if it doesnt.  I found this code somewhere on the web when researching shading.  If I knew the original author I would definitely give full credit.   The code is rather simple, setting up the chart is just slightly more difficult.  The Keltner Channel was used to define the shading boundaries.  You could have just as easily used Bollinger Bands or anything that provided a range around the market.  Here’s the code.

``inputs:  KeltnerLength( 90 ), KeltnerWid( 5 ), RSILength( 14 ), overbought( 70 ), oversold( 30 ); var:  Avg( 0 ), Shift( 0 ), LowerBand( 0 ), UpperBand( 0 ), MyRSI( 0 ) ;  // Keltner  Avg = AverageFC( c, KeltnerLength ) ; Shift = KeltnerWid * AvgTrueRange( Keltnerlength ) ; UpperBand = Avg + Shift ; LowerBand = Avg - Shift ;  Plot11( UpperBand, "UpperBand" ) ; Plot12( LowerBand, "LowerBand" ) ; Plot13( Avg, "MidLine" ) ;  // RSI  MyRSI = xaverage(RSI( c, RSILength ), 7) ;  var: projrsi(0); // Get projected RSI in terms of the Upper and Lower Bandsprojrsi = Avg + .01 * (UpperBand - LowerBand) * (MyRSI - 50) * 2.5; if false then plot14( projrsi, "RSI" );  // Gradient background  var: barspacing( getappinfo( aibarspacing ) ); var: gradcolr(0); // Remember how to use the IFF function?gradcolr = iff( MyRSI > 50, GradientColor( projrsi, Avg, UpperBand, black, red),  	GradientColor(projrsi, LowerBand, Avg, green, black) );  plot91( UpperBand, "ugrad", gradcolr, default, barspacing); plot92( LowerBand, "lgrad");  // Show Bar - increase transparency of data to 100% so// shading does not overlap the bar charts plot4( c, "c"); plot5( h, "h"); plot6( l, "l");``

That is a little bit of code that does a lot of work.  Here are the key lines and their explanations.

projrsi = Avg + .01 * (UpperBand – LowerBand) * (MyRSI – 50) * 2.5;

Remember the RSI outputs values between 0 and 100 – oscillates.  Assume RSI is in oversold territory at 24.

UpperBand = 16273 and LowerBand = 15023 and Avg = 15648

Let’s do the math:

1. projrsi = 15468 + 0.01 * (16273 – 15023) * (24 – 50) * 2.5
2. projrsi = 15468 + 0.01 * 1250  * – 26 * 2.5
3. projrsi = 15468 + 12.5 * -65
4. projrsi = 15468 – 165
5. projrsi = 15308

Basically all this math is doing is keeping the RSI reading within the bounds of the Keltner Upper and Lower Channels.  You want a high RSI reading to be near the Upper Channel and a low RSI reading to be near the Lower Channel.   You can change up the formula to make more sense.

projrsi = Avg + (MyRSI – 50)/100 * (UpperBand – LowerBand) * 2.5

I have worked with computer graphics for many years and this is really a very neat formula.  The generic formula to constrain a value within a boundary is;

projrsi = LowerBand + (MyRSI / 100) * (UpperBand – LowerBand)

Here you take the LowerBand and add the percentage of the MyRSI/100 times the range.  This works too.  But the original formula scales or intensifies the RSI reading so you get much wider gradient spectrum.  The AVG is used as the center of gravity and the RSI is converted in terms of the middle 50 line.  A positive number, anything > 50, is then scaled higher in the range and a negative number, anything < 50 is scaled lower in the range.  In other words it makes a prettier and more informative picture.

The other important line in the code is

gradcolr = iff( MyRSI > 50, GradientColor( projrsi, Avg, UpperBand, black, red),
GradientColor(projrsi, LowerBand, Avg, green, black) );

This code uses the IFF function which basically replicates this

If MyRSI > 50 then

else

GradientColor( dValue, dMin, dMax, nFromColor, nToColor )

Return

Returns a specific color from a user defined gradient color range, such as Blue to White

Inputs:

• dValue = value being passed-in that is within the specified Min/Max range of values
• dMin = Starting value for the gradient range, where the nFromColor is displayed
• dMax = Ending value for the gradient range, where the nToColor is displayed
•  nFromColor = Starting color of the gradient
• nToColor = Ending color of the gradient

Since the gradient shading will cover up your bars you will need to plot the bars as well.