Hello to All! I just published the first book in this series. It is the Foundation Edition and is designed for the new user of EasyLanguage or for those you would like to have a refresher course. There are 13 total 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. Each video is created by yours truly and Beau my trustworthy canine companion. I go over every line of code to really bring home the concepts that are laid out in 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.
The Cover of my latest book. The first in the series.
If you like the information on my blog, but find the programming code a little daunting, then go back and build a solid foundation with the Foundation Edition. It starts easy but moves up the Learning Curve at comfortable pace. On sale now for $24.95 at Amazon.com. I am planning on having two more advanced books in the series. The second book, specifically designed for intraday trading and day-trading, will be available this winter. And the third book, Advanced Topics, will be available next spring.
Pick up your copy today – e-Book or Paperback format!
Let me know if you buy either format and I will send you a PDF of the source code – just need proof of purchase. With the PDF you can copy and paste the code. After you buy the book come back here to the Easing Into EasyLanguage Page and download the ELD and workspaces.
The theory behind the code is quite interesting and I haven’t gotten into it thoroughly, but will do so in the next few days. The code was derived from Trade-Signal’s Equilla Programming Language. I looked at the website and it seems to leans heavily on an EasyLanguage like syntax, but unlike EZLang allows you to incorporate indicators right in the Strategy. It also allows you, and I might be wrong, to move forward in time from a point in the past quite easily. The code basically was fed a signal (+1,0,-1) and based on this value progressively moved forward one bar at a time (over a certain time period) and calculated the MAE and MFE (max. adverse/favorable excursion for each bar. The cumulative MAE/MFE were then stored in a BIN for each bar. At the end of the data, a chart of the ratio between the MAE and MFE was plotted.
EasyLanguage Version
I tried to replicate the code to the best of my ability by going back in time and recording a trading signal and then moving Back to The Future thirty bars, in this case, to calculated and store the MAE/MFE in the BINS.
Simple Moving Average Cross Over Test
After 100 bars, I looked back 30 bars to determine if the price was either greater than or less than the 21 day moving average. Let’s assume the close was greater than the 21 day moving average 30 days ago, I then kept going backward until this was not the case. In other words I found the bar that crossed the moving average. It could have been 5 or 18 or whatever bars further back. I stored that close and then started moving forward calculating the MAE/MFE by keeping track of the Highest Close and Lowest Close made during 30 bar holding period. You will see the calculation in the code. Every time I got a signal I accumulated the results of the calculations for each bar in the walk forward period. At the end of the chart or test I divided each bars MFE by its MAE and plotted the results. A table was also created in the Print Log. This code is barely beta, so let me know if you see any apparent errors in logic or calculations.
inputs: ilb(30); //ilb - initial lookback vars: lb(0),signal(0),btf(0),mf(0),ma(0),hh(0),ll(99999999),arrCnt(0),numSigs(0); arrays : mfe[40](0),mae[40](0); lb = ilb; if barNumber > 100 then begin signal = iff(c[ilb] > average(c[ilb],21),1,-1); // print(d," signal ",signal," ",ilb); if signal <> signal[1] then begin numSigs = numSigs + 1; // keep track of number of signals // print("Inside loop ", date[ilb]," ",c[ilb]," ",average(c[ilb],21)); if signal = 1 then // loop further back to get cross over begin // print("Inside signal = 1 ",date[lb]," ",c[lb]," ",average(c[lb],21)); while c[lb] > average(c[lb],21) begin lb = lb + 1; end; // print("lb = ",lb); end;
if signal = -1 then // loop further back to get cross over begin // print("Inside signal = -1 ",date[lb]," ",c[lb]," ",average(c[lb],21)); while c[lb] < average(c[lb],21) begin lb = lb + 1; end; end; lb = lb - 1;
hh = 0; ll = 999999999;
arrCnt = 0; for btf = lb downto (lb - ilb) //btf BACK TO FUTURE INDEX begin mf=0; ma=0; hh=maxList(c[btf],hh); // print("inside inner loop ",btf," hh ",hh," **arrCnt ",arrCnt); ll=minList(c[btf],ll); if signal>0 then begin mf=iff(hh>c[lb],(hh-c[lb])/c[lb],0); // mf long signal ma=iff(ll<c[lb],(c[lb]-ll)/c[lb],0); // ma long signal end; if signal<0 then begin ma=iff(hh>c[lb],(hh-c[lb])/c[lb],0); // ma after short signal mf=iff(ll<c[lb],(c[lb]-ll)/c[lb],0); // mf after short signal end; // print(btf," signal ",signal," mf ",mf:0:5," ma ",ma:0:5," hh ",hh," ll ",ll," close[lb] ",c[lb]); mfe[arrCnt]=mfe[arrCnt]+absValue(signal)*mf; mae[arrCnt]=mae[arrCnt]+absValue(signal)*ma; arrCnt = arrCnt + 1; end; end; end;
if lastBarOnChart then begin print(" ** MFE / MAE ** "); for arrCnt = 1 to 30 begin print("Bar # ",arrCnt:1:0," mfe / mae ",(mfe[arrCnt]/mae[arrCnt]):0:5); end;
for arrCnt = 30 downto 1 begin plot1[arrCnt](mfe[31-arrCnt]/mae[31-arrCnt]," mfe/mae "); end; end;
Back to The Future - going backward then forward
Here is an output at the end of a test on Crude Oil
** MFE / MAE ** Bar # 1 mfe / mae 0.79828 Bar # 2 mfe / mae 0.81267 Bar # 3 mfe / mae 0.82771 Bar # 4 mfe / mae 0.86606 Bar # 5 mfe / mae 0.87927 Bar # 6 mfe / mae 0.90274 Bar # 7 mfe / mae 0.93169 Bar # 8 mfe / mae 0.97254 Bar # 9 mfe / mae 1.01002 Bar # 10 mfe / mae 1.03290 Bar # 11 mfe / mae 1.01329 Bar # 12 mfe / mae 1.01195 Bar # 13 mfe / mae 0.99963 Bar # 14 mfe / mae 1.01301 Bar # 15 mfe / mae 1.00513 Bar # 16 mfe / mae 1.00576 Bar # 17 mfe / mae 1.00814 Bar # 18 mfe / mae 1.00958 Bar # 19 mfe / mae 1.02738 Bar # 20 mfe / mae 1.01948 Bar # 21 mfe / mae 1.01208 Bar # 22 mfe / mae 1.02229 Bar # 23 mfe / mae 1.02481 Bar # 24 mfe / mae 1.00820 Bar # 25 mfe / mae 1.00119 Bar # 26 mfe / mae 0.99822 Bar # 27 mfe / mae 1.01343 Bar # 28 mfe / mae 1.00919 Bar # 29 mfe / mae 0.99960 Bar # 30 mfe / mae 0.99915
Ratio Values over 30 Bins
Using Arrays for Bins
When newcomers start to program EasyLanguage and encounter arrays it sometimes scares them away. They are really easy and in many cases necessary to complete a project. In this code I used two 40 element or bins arrays MFE and MAE. I only use the first 30 of the bins to store my information. You can change this to 30 if you like, and when you start using a fixed array it is best to define them with the exact number you need, so that TradeStation will tell you if you step out of bounds (assign value to a bin outside the length of the array). To learn more about arrays just search my blog. The cool thing about arrays is you control what data goes in and what you do with that data afterwards. Anyways play with the code, and I will be back with a more thorough explanation of the theory behind it.
I didn’t say a very good Free System! This code is really cool so I thought I would share with you. Take a look at this rather cool picture.
Six Bar Break Out with Volatility Buffer and Volatility Trailing Stop
Thanks to a reader of this blog (AG), I got this idea and programmed a very simple day trading system that incorporated a volatility trailing stop. I wanted to make sure that I had it programmed correctly and always wanted to draw a box on the chart – thanks to (TJ) from MC forums for getting me going on the graphic aspect of the project.
Since I have run out of time for today – need to get a haircut. I will have to wait till tomorrow to explain the code. But real quickly the system.
Buy x% above first y bar high and then set up a trailing stop z% of y bar average range – move to break-even when profits exceed $w. Opposite goes for the short side. One long and one short only allowed during the day and exit all at the close.
if barCount >= startTradeBars then begin volAmt = average(range,startTradeBars); if barCount = startTradeBars then begin longStop = highToday + breakOutVolPer * volAmt; shortStop = lowToday - breakOutVolPer * volAmt; end; if t < endTradeTime then begin if longsToday = 0 then buy("volOrboL") next bar at longStop stop; if shortsToday = 0 then sellShort("volOrboS") next bar shortStop stop; end;
trailVolAmt = volAmt * trailVolPer; if mp = 1 then begin longsToday +=1; if c > entryPrice + breakEven$/bigPointValue then longTrail = maxList(entryPrice,longTrail); longTrail = maxList(c - trailVolAmt,longTrail); sell("L-TrlX") next bar at longTrail stop; end; if mp = -1 then begin shortsToday +=1; if c < entryPrice - breakEven$/bigPointValue then shortTrail = minList(entryPrice,shortTrail); shortTrail = minList(c + trailVolAmt,shortTrail); buyToCover("S-TrlX") next bar at shortTrail stop; end; end; setExitOnClose;
if barCount >= startTradeBars then begin volAmt = average(range,startTradeBars); if barCount = startTradeBars then begin longStop = highToday + breakOutVolPer * volAmt; shortStop = lowToday - breakOutVolPer * volAmt; for iCnt = 0 to startTradeBars-1 begin plot1[iCnt](longStop,"BuyBO",default,default,default); plot2[iCnt](shortStop,"ShrtBo",default,default,default); end;
end; if t < endTradeTime then begin if longsToday = 0 and h >= longStop then begin mp = 1; mEntryPrice = maxList(o,longStop); longsToday += 1; end; if shortsToday = 0 and l <= shortStop then begin mp = -1; mEntryPrice = minList(o,shortStop); shortsToday +=1; end; plot3(longStop,"BuyBOXTND",default,default,default); plot4(shortStop,"ShrtBOXTND",default,default,default); end;
trailVolAmt = volAmt * trailVolPer;
if mp = 1 then begin if c > mEntryPrice + breakEven$/bigPointValue then longTrail = maxList(mEntryPrice,longTrail);
longTrail = maxList(c - trailVolAmt,longTrail); plot5(longTrail,"LongTrail",default,default,default); end; if mp = -1 then begin if c < mEntryPrice - breakEven$/bigPointValue then shortTrail = minList(mEntryPrice,shortTrail); shortTrail = minList(c + trailVolAmt,shortTrail); plot6(shortTrail,"ShortTrail",default,default,default); end; end;
Cool code for the indicator
Very Important To Set Indicator Defaults Like This
For the BO Box use these settings – its the first 4 plots:
Use these colors and bar high and bar low and set opacity
The box is created by drawing thick semi-transparent lines from the BuyBo and BuyBOXTND down to ShrtBo and ShrtBOXTND. So the Buy components of the 4 first plots should be Bar High and the Shrt components should be Bar Low. I didn’t specify this the first time I posted. Thanks to one of my readers for point this out!
Use bar low for ShrtBo and ShrtBOXTND plots
Also I used different colors for the BuyBo/ShrtBo and the BuyBOXTND/ShrtBOXTND. Here is that setting:
The darker colored line on the last bar of the break out is caused by the overlap of the two sets of plots.
Here is how you set up the trailing stop plots:
Make Dots and Make Then Large – I have Red and Blue Set
I was recently testing the idea of a short term VBO strategy on the ES utilizing very tight stops. I wanted to see if using a tight ATR stop in concert with the entry day’s low (for buys) would cut down on losses after a break out. In other words, if the break out doesn’t go as anticipated get out and wait for the next signal. With the benefit of hindsight in writing this post, I certainly felt like my exit mechanism was what was going to make or break this system. In turns out that all pre conceived notions should be thrown out when volatility enters the picture.
System Description
If 14 ADX < 20 get ready to trade
Buy 1 ATR above the midPoint of the past 4 closing prices
Place an initial stop at 1 ATR and a Profit Objective of 1 ATR
Trail the stop up to the prior day’s low if it is greater than entryPrice – 1 ATR initially, and then trail if a higher low is established
Wait 3 bars to Re-Enter after going flat – Reversals allowed
That’s it. Basically wait for a trendless period and buy on the bulge and then get it out if it doesn’t materialize. I knew I could improve the system by optimizing the parameters but I felt I was in the ball park. My hypothesis was that the system would fail because of the tight stops. I felt the ADX trigger was OK and the BO level would get in on a short burst. Just from past experience I knew that using the prior day’s price extremes as a stop usually doesn’t fair that well.
Without commission the initial test was a loser: -$1K and -$20K draw down over the past ten years. I thought I would test my hypothesis by optimizing a majority of the parameters:
ADX Len
ADX Trigger Value
ATR Len
ATR BO multiplier
ATR Multiplier for Trade Risk
ATR Multiplier for Profit Objective
Number of bars to trail the stop – used lowest lows for longs
Results
As you can probably figure, I had to use the Genetic Optimizer to get the job done. Over a billion different permutations. In the end here is what the computer pushed out using the best set of parameters.
No Commission or Slippage – Genetic Optimized Parameter Selection
Optimization Report – The Best of the Best
Top Parameters – notice the Wide Stop Initially and the Trailing Stop Look-Back and also the Profit Multiplier – but what really sticks out is the ADX inputs
ADX – Does it Really Matter?
Take a look at the chart – the ADX is mostly in Trigger territory – does it really matter?
A Chart is Worth a 1000 Words
What does this chart tell us?
70% of Profit was made in last 40 trades
Was the parameter selection biased by the heightened level of volatility? The system has performed on the parameter set very well over the past two or three years. But should you use this parameter set going into the future – volatility will eventually settle down.
Now using my experience in trading I would have selected a different parameter set. Here are my biased results going into the initial programming. I would use a wider stop for sure, but I would have used the generic ADX values.
George’s More Common Sense Parameter Selection – wow big difference
I would have used 14 ADX Len with a 20 trigger and risk 1 to make 3 and use a wider trailing stop. With trend neutral break out algorithms, it seems you have to be in the game all of the time. The ADX was supposed to capture zones that predicated break out moves, but the ADX didn’t help out at all. Wider stops helped but it was the ADX values that really changed the complexion of the system. Also the number of bars to wait after going flat had a large impact as well. During low volatility you can be somewhat picky with trades but when volatility increases you gots to be in the game. – no ADX filtering and no delay in re-Entry. Surprise, surprise!
Alogorithm Code
Here is the code – some neat stuff here if you are just learning EL. Notice how I anchor some of the indicator based variables by indexing them by barsSinceEntry. Drop me a note if you see something wrong or want a little further explanation.
If mp <> 1 and adx(adxLen) < adxTrig and BSE > reEntryDelay and open of next bar < BBO then buy next bar at BBO stop; If mp <>-1 and adx(adxLen) < adxTrig AND BSE > reEntryDelay AND open of next bar > SBO then sellshort next bar at SBO stop;
If mp = 1 and mp[1] <> 1 then Begin trailLongStop = entryPrice - tradeRisk; end;
If mp = -1 and mp[1] <> -1 then Begin trailShortStop = entryPrice + tradeRisk; end;
if mp = 1 then sell("L-init-loss") next bar at entryPrice - tradeRisk[barsSinceEntry] stop; if mp = -1 then buyToCover("S-init-loss") next bar at entryPrice + tradeRisk[barsSinceEntry] stop;
if mp = 1 then begin sell("L-ATR-prof") next bar at entryPrice + tradeProf[barsSinceEntry] limit; trailLongStop = maxList(trailLongStop,lowest(l,posMovTrailNumBars)); sell("L-TL-Stop") next bar at trailLongStop stop; end; if mp =-1 then begin buyToCover("S-ATR-prof") next bar at entryPrice -tradeProf[barsSinceEntry] limit; trailShortStop = minList(trailShortStop,highest(h,posMovTrailNumBars)); // print(d, " Short and trailStop is : ",trailShortStop); buyToCover("S-TL-Stop") next bar at trailShortStop stop; end;
EasyLanguage Includes a Powerful String Manipulation Library
I thought I would share this function. I needed to convert a date string (not a number per se) like “20010115” or “2001/01/15” or “01/15/2001” or “2001-01-15” into a date that TradeStation would understand. The function had to be flexible enough to accept the four different formats listed above.
String Functions
Most programming languages have functions that operate strictly on strings and so does EasyLanguage. The most popular are:
Right String (rightStr) – returns N characters from the right side of the string.
Left String (leftStr) – returns N character starting from the left side of the string
Mid String (midStr) – returns the middle portion of a string starting at a specific place in the string and advance N characters
String Length (strLen) – returns the number of characters in the string
String To Number (strToNum) – converts the string to a numeric representation. If the string has a character, this function will return 0
In String (inStr) – returns location of a sub string inside a larger string ( a substring can be just one character long)
Unpack the String
If the format is YYYYMMDD format then all you need to do is remove the dashes or slashes (if there are any) and then convert what is left over to a number. But if the format is MM/DD/YYYY format then we are talking about a different animal. So how can you determine if the date string is in this format? First off you need to find out if the month/day/year separator is a slash or a dash. This is how you do this:
If either is a non zero then you know there is a separator. The next thing to do is locate the first “dash or slash” (the search character or string). If it is located within the first four characters of the date string then you know its not a four digit year. But, lets pretend the format is “12/14/2001” so if the first dash/slash is the 3rd character you can extract the month string by doing this:
So if firstSrchStrLoc = 3 then we want to leftStr the date string and extract the first two characters and store them in mnStr. We then store what’s left of the date string in tempStr by using rightStr:
Here I pass dateString and the strLength-firstSrchStrLoc – so if the dateString is 10 characters long and the firstSrchStrLoc is 3, then we can create a tempstring by taking [10 -3 = 7 ] characters from right side of the string:
“12/14/2001” becomes “14/2001” – once that is done we can pull the first two characters from the tempStr and store those into the dyStr [day string.] I do this by searching for the “/” and storing its location in srchStrLoc. Once I have that location I can use that information and leftStr to get the value I need. All that is left now is to use the srchStrLoc and the rightStr function.
Now convert the strings to numbers and multiply their values accordingly.
DateSTrToYYYMMDD = strToNum(yrStr) X 10000-19000000 + strToNum(mnStr) X 100 + strToNum(dyStr)
To get the date into TS format I have to subtract 19000000 from the year. Remember TS represents the date in YYYMMDD format.
Now what do you do if the date is in the right format but simply includes the dash or slash separators. All you need to do here is loop through the string and copy all non dash or slash characters to a new string and then convert to a number. Here is the loop:
tempStr = ""; iCnt = 1; While iCnt <= strLength Begin If midStr(dateString,iCnt,1) <> srchStr then tempStr += midStr(dateString,iCnt,1); iCnt+=1; end; tempDate = strToNum(tempStr); DateStrToYYYMMDD = tempDate-19000000;
Here I use midStr to step through each character in the string. MidStr requires a string and the starting point and how many characters you want returned from the string. Notice I step through the string with iCnt and only ask for 1 character at a time. If the character is not a dash or slash I concatenate tempStr with the non dash/slash character. At the end of the While loop I simply strToNum the string and subtract 19000000. That’s it! Remember EasyLanguage is basically a full blown programming language with a unique set of functions that relate directly to trading.
30 Minute Break Out utilizing a Ratchet Stop [7 point profit with 6 point retention]I have always been a big fan of trailing stops. They serve two purposes – lock in some profit and give the market room to vacillate. A pure trailing stop will move up as the market makes new highs, but a ratcheting stop (my version) only moves up when a certain increment or multiple of profit has been achieved. Here is a chart of a simple 30 minute break out on the ES day session. I plot the buy and short levels and the stop level based on whichever level is hit first.
When you program something like this you never know what is the best profit trigger or the best profit retention value. So, you should program this as a function of these two values. Here is the code.
If d <> d[1] then Begin longMult = 0; shortMult = 0; myBarCount = 0; mp = 0; lep = 0; sep = 0; buysToday = 0; shortsToday = 0; end;
myBarCount = myBarCount + 1;
If myBarCount = 6 then // six 5 min bars = 30 minutes Begin stb = highD(0); //get the high of the day sts = lowD(0); //get low of the day end;
If myBarCount >= 6 and buysToday + shortsToday = 0 and high >= stb then begin mp = 1; //got long - illustrative purposes only lep = stb;
end; If myBarCount >=6 and buysToday + shortsToday = 0 and low <= sts then begin mp = -1; //got short sep = sts; end;
If myBarCount >=6 then Begin plot3(stb,"buyLevel"); plot4(sts,"shortLevel"); end; If mp = 1 then buysToday = 1; If mp =-1 then shortsToday = 1;
// Okay initially you want a X point stop and then pull the stop up // or down once price exceeds a multiple of Y points // longMult keeps track of the number of Y point multipes of profit // always key off of lep(LONG ENTRY POINT) // notice how I used + 1 to determine profit // and - 1 to determine stop level If mp = 1 then Begin If h >= lep + (longMult + 1) * ratchetAmt then longMult = longMult + 1; plot1(lep + (longMult - 1) * trailAmt,"LE-Ratchet"); end;
If mp = -1 then Begin If l <= sep - (shortMult + 1) * ratchetAmt then shortMult = shortMult + 1; plot2(sep - (shortMult - 1) * trailAmt,"SE-Ratchet"); end;
Ratcheting Stop Code
So, basically I set my multiples to zero on the first bar of the trading session. If the multiple = 0 and you get into a long position, then your initial stop will be entryPrice + (0 – 1) * trailAmt. In other words your stop will be trailAmt (6 in this case) below entryPrce. Once price exceeds or meets 7 points above entry price, you increment the multiple (now 1.) So, you stop becomes entryPrice + (1-1) * trailAmt – which equals a break even stop. This logic will always move the first stop to break even. Assume the market moves 2 multiples into profit (14 points), what would your stop be then?
See how it ratchets. Now you can optimized the profit trigger and profit retention values. Since I am keying of entryPrice your first trailing stop move will be a break-even stop.
This isn’t a strategy but it could very easily be turned into one.
A reader of this blog proffered an excellent question on this indicator. I hope this post answers his question and I am always open to any input that might improve my coding!
Because I use BarNumber in my MODULUS calculation the different time frames that I keep track of may not align with the time frames on the chart; your 10-minute bar O, H, L, and C values may not align with the values I am storing in my 10-minute bar container. Take a look at this snapshot of a spreadsheet.
Here I print out a 5-minute bar of the ES.D. Because I use BarNumber in my Modulus calculation, I don’t get to a zero remainder until 9:50 in the 10, 15, and 20 minute time frames. At 9:50 I start building fresh 10, 15, 20 minute bars by resetting the O, H, L and C to those of the 5-minute bars. From there I keep track of the highest highs and lowest lows by extracting the data from the 5-minute bar. I always set the close of the different time frames to the current 5-minute bar’s close. Once the modulus for the different time frames reaches zero I close out the bar and start fresh again. The 25-minute bar didn’t reach zero until the 10:05 bar.
I will see if I can come up with some code that will sync with the data on the chart.
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");
A reader of this blog wanted to be able to use different time frames and some built-in indicators and output the information in a similar fashion as I did in the original MTF post. There are numerous ways to program this but the two easiest are to use data structures such as arrays or vectors or use TradeStation’s own multi data inputs. The more complicated of the two would be to use arrays and stay compliant with Multicharts. Or in that same vein use vectors and not stay compliant with Multicharts. I chose, for this post, the down and dirty yet compliant method. [NOTE HERE! When I started this post I didn’t realize it was going to take the turn I ended up with. Read thoroughly before playing around with the code to see that it is what you are really, really looking for.] I created a multi data chart with five-time frames: 5,10,15,30 and 60 minutes. I then hid data2 thru data5. I created an MTF indicator that plots the relationship of the five time frames applied to the ADX indicator with length 14. If the ADX > 20 then the plot will be green else it will be red. If all plots align, then the composite plot will reflect the alignment color.
Using the MTF indicator with ADX
{EasyLanguage MultiTime Frame Indicator) written by George Pruitt - copyright 2019 by George Pruitt }
adxData1 = adx(adxLen) of data1; adxData2 = adx(adxLen) of data2; adxData3 = adx(adxLen) of data3; adxData4 = adx(adxLen) of data4; adxData5 = adx(adxLen) of data5;
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");
This code is very similar to the original MTF indicator, but here I simply pass a pointer to the different time frames to the ADX function. Since the ADX function only requires a length input I had assumed I could use the following format to get the result for each individual time frame:
adxData1 = adx(14) of data1;
adxData2 = adx(14) of data2;
This assumption worked out.
But are we really getting what we really, really want? I might be putting too much thought into this but of the five-time frame indicator dots, only the 5-minute will change on a 5-minute basis. The 10-min dot will stay the same for two 5-min bars. The dots will reflect the closing of the PRIOR time frame and the current 5-min bar is ignored in the calculation. This may be what you want, I will leave that up to you. Here is an illustration of the delay in the different time frames.
So when you look at each dot color remember to say to yourself – this is the result of the prior respective time frame’s closing price. You can say to yourself, “Okay this is the ADX of the current 5-minute bar and this is the ADX of the prior 10-minute close and this is the ADX of the prior 15 minutes close and so on and so on. We all know that the last 5 minutes will change all of the time frames closing tick, but it may or may not change the price extremes of those larger time frames. I will show you how to do this in the next post. If you want to see the impact of the last 5- minutes, then you must build your bars internally and dynamically.
This indicator plots five different time frames as a stacked chart. The circles or dots at the bottom represent the difference between the closing price of each time frame and its associated pivot price [(high + low + close)/3]. The value plotted at 4, in this case, represents the 5 minute time frame. The 10-minute time frame is represented by the plot at 3 and so on. The value plotted at 7 represents the composite of all the time frames. It is only turned on if all times are either red or green. If there is a disagreement then nothing is plotted.
This indicator is relatively simple even though the plot looks complicated. You have to make sure the indicator is plotted in a separate pane. The y – axis has 0 and 8 as its boundaries. All you have to do is keep track of the highest highs/lowest lows for each time frame. I use a multiplier of the base time frame to create different time frames. TimeFrame1Mult = 2 represents 10 minutes and TimeFrame2Mult = 3 and that represents 15 minutes. The indicator shows how strong the current swing is across five different time frames. When you start getting a mix of green and red dots this could indicate a short term trend change. You can use the EasyLanguage to plug in any indicator over the different time frames. Here’s the code. Just email me with questions or if you see a mistake in the coding.
{EasyLanguage MultiTime Frame Indicator) written by George Pruitt - copyright 2019 by George Pruitt }
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");
Backtesting with [Trade Station,Python,AmiBroker, Excel]. Intended for informational and educational purposes only!
Get All Five Books in the Easing Into EasyLanguage Series - The Trend Following Edition is now Available!
Announcement – A Trend Following edition has been added to my Easing into EasyLanguage Series! This edition will be the fifth and final installment and will utilize concepts discussed in the Foundation editions. I will pay respect to the legends of Trend Following by replicating the essence of their algorithms. Learn about the most prominent form of algorithmic trading. But get geared up for it by reading the first four editions in the series now. Get your favorite QUANT the books they need!
The Foundation Edition. The first in the series.
This series includes five editions that covers the full spectrum of the EasyLanguage programming language. Fully compliant with TradeStation and mostly compliant with MultiCharts. 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.
Hi-Res Edition Cover
This book is ideal for those who have completed the Foundation Edition or have some experience with EasyLanguage, especially if you’re ready to take your programming skills to the next level. The Hi-Res Edition is designed for programmers who want to build intraday trading systems, incorporating trade management techniques like profit targets and stop losses. This edition bridges the gap between daily and intraday bar programming, making it easier to handle challenges like tracking the sequence of high and low prices within the trading day. Plus, enjoy 5 hours of video instruction to guide you through each tutorial.
Advanced Topics Cover
The Advanced Topics Edition delves into essential programming concepts within EasyLanguage, offering a focused approach to complex topics. This book covers arrays and fixed-length buffers, including methods for element management, extraction, and sorting. Explore finite state machines using the switch-case construct, text graphic manipulation to retrieve precise X and Y coordinates, and gain insights into seasonality with the Ruggiero/Barna Universal Seasonal and Sheldon Knight Seasonal methods. Additionally, learn to build EasyLanguage projects, integrate fundamental data like Commitment of Traders, and create multi-timeframe indicators for comprehensive analysis.
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The Day Trading Edition complements the other books in the series, diving into the popular approach of day trading, where overnight risk is avoided (though daytime risk still applies!). Programming on high-resolution data, such as five- or one-minute bars, can be challenging, and this book provides guidance without claiming to be a “Holy Grail.” It’s not for ultra-high-frequency trading but rather for those interested in techniques like volatility-based breakouts, pyramiding, scaling out, and zone-based trading. Ideal for readers of the Foundation and Hi-Res editions or those with EasyLanguage experience, this book offers insights into algorithms that shaped the day trading industry.
Trend Following Cover.
For thirty-one years as the Director of Research at Futures Truth Magazine, I had the privilege of collaborating with renowned experts in technical analysis, including Fitschen, Stuckey, Ruggiero, Fox, and Waite. I gained invaluable insights as I watched their trend-following methods reach impressive peaks, face sharp declines, and ultimately rebound. From late 2014 to early 2020, I witnessed a dramatic downturn across the trend-following industry. Iconic systems like Aberration, CatScan, Andromeda, and Super Turtle—once thriving on robust trends of the 1990s through early 2010s—began to falter long before the pandemic. Since 2020 we have seen the familiar trends return. Get six hours of video instruction with this edition.
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