SuperTrend is a trading strategy and indicator all built into one entity. There are a couple of versions floating around out there. MultiCharts and Sierra Chart both have slightly different flavors of this combo approach.
Ratcheting Trailing Stop Paradigm
This indic/strat falls into this category of algorithm. The indicator never moves away from your current position like a parabolic stop or chandelier exit. I used the code that was disclosed on Futures.io or formerly known as BigMikesTrading blog. This version differs from the original SuperTrend which used average true range. I like Big Mike’s version so it will discussed here.
Big Mike’s Math
The math for this indicator utilizes volatility in the terms of the distance the market has travelled over the past N days. This is determined by calculating the highest high of the last N days/bars and then subtracting the lowest low of last Ndays/bars. Let’s call this the highLowRange. The next calculation is an exponential moving average of the highLowRange. This value will define the market volatility. Exponential moving averages of the last strength days/bars highs and lows are then calculated and divided by two – giving a midpoint. The volatility measure (multiplied my mult) is then added to this midpoint to calculate an upper band. A lower band is formed by subtracting the volatility measure X mult from the midpoint.
Upper or Lower Channel?
If the closing price penetrates the upper channel and the close is also above the highest high of strength days/bars back (offset by one of course) then the trend will flip to UP. When the trend is UP, then the Lower Channel is plotted. Once the trend flips to DN, the upper channel will be plotted. If the trend is UP the lower channel will either rise with the market or stay put. The same goes for a DN trend – hence the ratcheting. Here is a graphic of the indicator on CL.
Super Trend by Bike Mike
If you plan on using an customized indicator in a strategy it is always best to build the calculations inside a function. The function then can be used in either an indicator or a strategy.
Function Name: SuperTrend_BM
Function Type: Series – we will need to access prior variable values
if trend < 0 and trend[1] > 0 then trendDN = True; if trend > 0 and trend[1] < 0 then trendUP = True;
//ratcheting mechanism if trend > 0 then dn = maxList(dn,dn[1]); if trend < 0 then up = minList(up,up[1]);
// if trend dir. changes then assign // up and down appropriately if trendUP then up = xAvg + mult * xAvgRng; if trendDN then dn = xAvg - mult * xAvgRng;
if trend = 1 then ST = dn else ST = up;
STrend = trend;
SuperTrend_BM = ST;
SuperTrend ala Big Mike
The Inputs to the Function
The original SuperTrend did include the Strength input. This input is a Donchian like signal. Not only does the price need to close above/below the upper/lower channel but also the close must be above/below the appropriate Donchian Channels to flip the trend, Also notice we are using a numericRef as the type for STrend. This is done because we need the function to return two values: trend direction and the upper or lower channel value. The appropriate channel value is assigned to the function name and STrend contains the Trend Direction.
A Function Driver in the Form of an Indicator
A function is a sub-program and must be called to be utilized. Here is the indicator code that will plot the values of the function using: length(9), mult(1), strength(9).
// SuperTrend indicator // March 25 2010 // Big Mike https://www.bigmiketrading.com inputs: length(9), mult(1), strength(9);
vars: strend(0), st(0);
st = SuperTrend_BM(length, mult,strength,strend);
if strend = 1 then Plot1(st,"SuperTrendUP"); if strend = -1 then Plot2(st,"SuperTrendDN");
Function Drive in the form of an Indicator
This should be a fun indicator to play with in the development of a trend following approach. My version of Big Mike’s code is a little different as I wanted the variable names to be a little more descriptive.
Update Feb 28 2022
I forgot to mention that you will need to make sure your plot lines don’t automatically connect.
Plot Style Setting
Can You Do This with Just One Plot1?
An astute reader brought it to my attention that we could get away with a single plot and he was right. The reason I initially used two plot was to enable the user to chose his/her own plot colors by using the Format dialog.
//if strend = 1 then Plot1(st,"SuperTrendUP"); //if strend = -1 then Plot2(st,"SuperTrendDN");
if strend = 1 then SetPlotColor(1,red); if strend = -1 then SetPlotColor(1,green);
In writing the Hi-Res edition of Easing Into EasyLanguage I should have included this sample program. I do point out the limitations of the EntryPrice keyword/function in the book. But recently I was tasked to create a pyramiding scheme template that used minute bars and would initiate a position with N Shares and then pyramid up to three times by adding on N Shares at the last entry price + one 10 -Day ATR measure as the market moves in favor of the original position. Here is an example of just such a trade.
Pyramid 3 Times After Initial Trade Entry. Where’s the EntryPrice?
EntryPrice only contains the original entry price. So every time you add on a position, the EntryPrice doesn’t reflect this add on price. I would like to be able to index into this keyword/function and extract any EntryPrice. If you enter at the market, then you can keep track of entry prices because a market order is usually issued from an if-then construct:
//Here I can keep track of entry prices because I know //exactly when and where they occur.
if c > c[1] and value1 > value2 then begin buy("MarketOrder") next bar at market; lastEntryPrice = open of next bar; end;
Last Entry Price tracking is easy if using Market Orders
But what if you are using a stop or limit order. You don’t know ahead of time where one of these types of orders will hit up. It could be the next bar or it could be five bars later or who knows.
AvgEntryPrice Makes Up for the Weakness of EntryPrice
AvgEntryPrice is a keyword/function that returns the average of the entries when pyramiding. Assume you buy at 42.00 and pyramid the same number of shares at 46.50 – AvgEntryPrice will be equal to (42.00 + 46.50) / 2 = 44.25. With this information you can determine the two entry prices. You already know the original price. Take a look at this code.
// remember currentShares and avgEntryPrice ARE EasyLanguage Keywords/Functions if mp[1] = mp and mp = -1 and currentShares > curShares then begin totShorts = totShorts + 1; if currentShares > initShares then begin lastEntryPrice = totShorts * avgEntryPrice - entryPriceSums; entryPriceSums = entryPriceSums + lastEntryPrice; print(d," Short addon ",lastEntryPrice," ",totShorts," ",avgEntryPrice," ",entryPriceSums); end; end;
Calculating the true LastEntryPrice
Remember currentShares is a keyword/function and it is immediately updated when more shares are added or taken off. CurShares is my own variable where I keep track of the prior currentShares , so if currentShares (real number of shares) is greater than the prior curShares (currentShares) then I know 100%, a position has been pyramided as long the the mp stays the same. If currentShares increases and mp stays constant, then you can figure out the last entry price where the pyramid takes place. First you tick totShorts up by 1. If currentShares > initShares, then you know you are pyramiding so
Don’t believe me. Let’s test it. Remember original entry was 42.00 and the add on was at 46.50. TotShorts now equals 2.
Initial entryPrice = 42.00 so entryPriceSums is set to 42.00
After pyramiding avgEntryPrice is set to 44.25
lastEntryPrice = 2 * 44.25 – 42.00 = 46.50
entryPriceSums is then set to 42.00 + 46.50 or 88.50
So every time you add on a position, then you flow through this logic and you can keep track of the actual last entry price even if it is via a limit or stop order.
But wait there is more. This post is also a small glimpse into what I will be writing about in the Easing Into EasyLanguage: Advanced Topics. This system definitely falls into what I discussed in the Hi-Res Edition. Here is where we tip over into Advanced Topics. The next book is not about creating dialogs or trading apps using OOEL (object oriented EasyLanguage), but we do use some of those topics to do some rather complicated back testing things.
Now that we know how to calculate the lastEntryPrice wouldn’t it be really cool if we could keep track of all of the entryPrices during the pyramid stream. If I have pyramided four times, I would like to know entryPrice 1, entryPrice 2, entryPrice 3 and entryPrice 4.
EntryPrice Vector
Dr. VectorLove or How I Learned to Stop Worrying and Love Objects
I have discussed vectors before but I really wanted to discuss them more. Remember Vectors are just lists or arrays that don’t need all the maintenance. Yes you have to create them which can be a pain, but once you learn and forget it twenty times it starts to sink in. Or just keep referring back to this web page.
Using elsystem.collections;
vars: Vector entryPriceVector(Null);
once Begin entryPriceVector = new Vector; end;
The Bare Minimum to Instantiate a Vector
Type – “Using elsystem.collections; “
Declare entryPriceVector as a Vector and set it equal to Null
Use Once and instantiate entryPriceVector by using the keyword new < object type>;
A Vector is part of elsystem’s collection objects. Take a look at this updated code,
if mp[1] = mp and mp = -1 and currentShares > curShares then begin totShorts = totShorts + 1; if currentShares > initShares then begin lastEntryPrice = totShorts * avgEntryPrice - entryPriceSums; entryPriceVector.push_back(lastEntryPrice); entryPriceSums = entryPriceSums + lastEntryPrice; print(d," Short addon ",lastEntryPrice," ",entryPrice," ",entryPrice(1)," ",totShorts," ",avgEntryPrice," ",entryPriceSums," ",entryPriceVector.back() astype double," ",entryPriceVector.count asType int); if not(entryPriceVector.empty()) then begin for m = 0 to entryPriceVector.count-1 begin print(entryPriceVector.at(m) astype double); end; end; end; end;
LastEntryPrice and Pushing It onto the Vector and Then Printing Out the Vector
After the lastEntryPrice is calculated it is pushed onto the entryPriceVector using the function (method same thing but it is attached to the Vector class).push_back(lastEntryPrice);
entryPriceVector.push_back(lastEntryPrice);
So every time a new lastEntryPrice is calculated it is pushed onto the Vector at the back end. Now if the entryPriceVector is not empty then we can print its contents by looping and indexing into the Vector.
if not(entryPriceVector.empty()) then begin for m = 0 to entryPriceVector.count-1 begin print(entryPriceVector.at(m) astype double); end; end;
Looping through a Vector and Printing Out its Contents
Remember if you NOT a boolean value then it turns it to off/on or just the opposite of the boolean value. If entryPriceVector is not empty then proceed. entryPriceVector.count holds the number of values stuffed into the vector. You can index into the Vector by using .at(m), If you want to print out the value of the Vector .at(m), then you will need to typecast the Vector object as what ever it is holding. We know we are pushing numbers with decimals (double type) onto the Vector so we know we can evaluate them as a double type. Just remember you have to do this when printing out the values of the Vector.
Okay you can see where we moved into an Advanced Topics area with this code. But it really becomes useful when trying to overcome some limitations of EasyLanguage. Remember keep an eye open for Advanced Topics sometime in the Spring.
This is my second book in the Easing Into EasyLanguage [EZNGN2EZLANG] series of books. Here are the table of contents.
Contents
Introduction
About Website Computer Code and Fonts In Print Version
Using EasyLanguage to Program on Minute Intervals?
Tutorial 14 – Why Do I Need to Use Intraday Data
Tutorial 15 – An Algorithm Template that Uses Minute Bars to Trade a Daily Bar Scheme
Tutorial 16 – Using Data2 as a Daily Bar
Tutorial 17 – Let’s Day Trade!
Tutorial 18 – Moving From Discrete Day-Trade Strategy to a Framework
Tutorial 19 – Day-Trading Continued: Volatility Based Open Range Break Out with Pattern Recognition
Tutorial 20 – Pyramiding with Camarilla
Tutorial 21 – Programming a Scale Out Scheme
Tutorial 22- Crawling Like A Bug on a Five Minute Chart
Tutorial 23 – Templates For Further Research
Appendix A-Source Code
Appendix B-Links to Video Instruction
I have included five hours of video instruction which is included via links in the book and in the supplemental resource download.
What’s In This Book
If you are not a Trend Follower, then in most cases, you will not be able to properly or accurately code and backtest your trading algorithm without the use of higher resolution data (minute bars). A very large portion of the consulting I have done over the years has dealt with converting a daily bar system to one that uses intraday data such as a 5-minute bar. Coding a daily bar system is much more simple than taking the same concept and adding it to a higher resolution (Hi-Res) chart. If you use a 100 day moving average and you apply it to a 5-minute chart you get a 100 five minute bar moving average – a big difference.
Why Do I Need To Use Hi-Res Data?
If all you need to do is calculate a single entry or exit on a daily basis and can manually execute the trades, then you can stick with daily bars. Many of the famous Trend-Following systems such as Turtle, Aberration, Aberration Plus, Andromeda, and many others fall into this category. Most CTAs use these types of systems and spend most of their efforts on accurate execution and portfolio management. These systems, until the genesis of the COVID pandemic, have struggled for many years. Some of the biggest and brightest futures fund managers had to shut their doors due to their lagging performance and elevated levels of risk in comparison to the stock market. However, if you need to know the ebb and flow of the intraday market movement to determine accurate trade entry, then intraday data is an absolute necessity. Also, if you want to automate, Hi-Res data will help too! Here is an example of a strategy that would need to know what occurs first in chronological order.
Example of a Simple Algorithm that Needs Intraday Data
If the market closes above the prior day’s close, then buy the open of the next day plus 20% of today’s range andsellShort the open of the next day minus 40% of today’s range. Use a protective stop of $500 and a profit objective of $750. If the market closes below the prior day’s close then sellShort the open of the next day minus 20% of today’s range andbuy the open of the next day plus 40% of todays range. The same trade management of profit and loss is applied as well. From the low resolution of a daily bar the computer cannot determine if the market moves up 20% or down 40% first. So the computer cannot accurately determine if a long or short is established first. And to add insult to injury, if the computer could determine the initial position accurately from a daily bar, it still couldn’t determine if the position is liquidated via a profit or a loss if both conditions could have occurred.
What About “Look Inside Bar”?
There is evidence that if the bar closes near the high and the open near the low of a daily bar, then there is a higher probability that the low was made first. And the opposite is true as well. If the market opens near the middle of the bar, then all bets are off. When real money is in play you can’t count on this type of probability or the lack thereof . TradeStation allows you to use your daily bar scheme and then Look Inside Bar to see the overall ebb and flow of the intraday movement. This function allows you to drill down to one minute bars, if you like. This helps a lot, but it still doesn’t allow you to make intraday decisions, because you are making trading decisions from the close of the prior day.
if c > c[1] then begin buy next day at open of next day + 0.2 * range stop; sellShort next day at open of next day - 0.4 * range stop; end;
setProfitTarget(750); setStopLoss(500);
Next Day Order Placement
Using setProfitTarget and setStopLoss helps increase testing accuracy, but shouldn’t you really test on a 5-minute bar just to be on the safe side.
DayTrading in Most Cases Needs Hi-Res Data
If I say buy tomorrow at open of next day and use a setStopLoss(500), then I don’t need Hi-Res data. I execute the open which is the first time stamp in the chronological order of the day. Getting stopped out will happen later and any adverse move from the open that equates to $500 will liquidate the position or the position will be liquidated at the end of the day.
However, if I say buy the high of the first 30 minutes and use the low of the first 30 minutes as my stop loss and take profits if the position is profitable an hour later or at $750, then intraday data is absolute necessity. Most day trading systems need to react to what the market offers up and only slightly relies on longer term daily bar indicators.
If Intraday Data is So Important then Why ” The Foundation Edition?”
You must learn to crawl before you can walk. And many traders don’t care about the intraday action – all they care about is where the market closed and how much money should be allocated to a given trade or position. Or how an open position needs to be managed. The concepts and constructs of EasyLanguage must be learned first from a daily bar framework before a new EL programmer can understand how to use that knowledge on a five minute bar. You cannot just jump into a five minute bar framework and start programming accurately unless you are a programmer from the start or you have a sound Foundation in EasyLanguage.
Excerpt from Hi-Res Edition
From Tutorial 21 – Put 2 Units on, Take Profit on 1 Unit, Pull Stop to Break Even on 2nd Unit
Here is an example of a simple and very popular day trading scheme. Buy 2 units on a break out and take profits on 1 unit at X dollars. Pull stop on 2nd unit to breakeven to provide a free trade. Take profit on 2nd unit or get out at the end of the day.
Conceptually this is easy to see on the chart and to understand. But programming this is not so easy. The code and video for this algorithm is from Tutorial 21 in the Hi-Res edition.
Here are the results of the algorithm on a 5 minute ES.D chart going back five years. Remember these results are the result of data mining. Make sure you understand the limitations of back-testing. You can read those here.
No Execution Costs Included! Please read backtesting disclaimer.
There are a total of 10 Tutorials and over 5 hours of Video Instruction included. If you want to expand your programming capabilities to include intraday algorithm development, including day trading, then get your copy today.
How important is a day of week analysis? Many pundits would of course state that it is very important, especially when dealing with a day trading algorithm. Others would disagree. With the increase in market efficiency maybe this study is not as important as it once was, but it is another peformance metric that can be used with others.
I am currently working on the second book in the Easing into EasyLanguage trilogy (Hi-Res Edition) and I am including this in one of the tutorials on developing a day trading template. The book, like this post, will focus on intraday data such as 5 or less minute bars. I hope to have the book finalized in late November. If you haven’t purchased the Foundation Edition and like this presentation, I would suggest picking a copy up – especially if you are new to EasyLanguage. The code for this analysis is quite simple, but it is pretty cool and can be re-used.
Day Trading Algorithms Make Things Much More Simple
When you enter and exit on the same day and you don’t need to wrap around a 00:00 (midnight) time stamp, things such as this simple snippet of code are very easy to create. The EasyLanguage built-in functions work as you would expect as well. And obtaining the first bar of the day is ultra simple. The idea here is to have five variables, one for each day of the week, and accumulate the profit that is made on each day, and at the end of the run print out the results. Three things must be known on the first bar of the new trading day to accomplish this task:
were trades taken yesterday?
how much profit was made or lost?
what was yesterday – M, T, W, R, or F?
Two Reserved Words and One Function Are Used: Total Trades, NetProfit and the DayOfWeek function.
The reserved word TotalTrades keeps track of when a trade is closed out. The second reserved word, NetProfit keeps track of total profit everytime a trade is closed out. Along with the DayOfWeek(D[1]) function you can capture all the information you need for this analysis. Here is the code. I will show it first and then explain it afterwards.
if date <> date[1] then begin myBarCount = 0; buysToday = 0;sellsToday = 0; zatr = avgTrueRange(atrLen) of data2; if totalTrades > totTrades then begin Print(d," ",t," trade out ",dayOfWeek(d[1])," ",netProfit); switch(dayOfWeek(date[1])) begin Case 1: MProf = MProf + (netProfit - begDayEquity); Case 2: TProf = TProf + (netProfit - begDayEquity); Case 3: WProf = WProf + (netProfit - begDayEquity); Case 4: RProf = RProf + (netProfit - begDayEquity); Case 5: FProf = FProf + (netProfit - begDayEquity); Default: Value1 = Value1 + 1; end; begDayEquity = netProfit; totTrades = totalTrades; end; end;
Snippet To Handle DofW Analysis on DayTrading Algorithm
Code Explanation – Switch and Case
I have used the Switch – Case construct in some of my prior posts and I can’t emphasize enough how awesome it is, and how you can cut down on the use of if – thens. This snippet only takes place on the first bar of the trading day. Since we are using day sessions we can simply compare today’s date to the prior bar’s date, and if they are different then you know you are sitting on the first intraday bar of the day. After some initial housekeeping, the first if – then checks to see if trade(s) were closed out yesterday. If totalTrades is greater than my user defined totTrades, then something happened yesterday. My totTrades is updated to totalTrades after I am done with my calculations. The switch keys off of the DayOfWeek function. Remember you should account for every possible outcome of the variable inside the switch expression. In the case of the DayOfWeek function when know:
Monday
Tuesday
Wednesday
Thursday
Friday
Notice I am passing Date[1] into the function, because I want to know the day of the week of yesterday. After the Switch and its associated expression you have a Begin statement. Each outcome of the expression is preceded withthe keyword Case followed by a colon (:). Any code associated with each distinct result of the expression is sandwiched between Case keywords. So if the day of week of yesterday is 1 or Monday then MProf accumulates the change in the current NetProfit and the begDayEquity (beginning of the yesterday’s NetProfit) variable. So, if the equity at the beginning of yesterday was $10,000 and there was a closed out trade and the current NetProfit is $10,500 then $500 was made by the end of the day yesterday. This exact calculation is used for each day of the week and stored in the appropriate day of the week variable:
MProf – Monday
TProf – Tuesday
WProf – Wednesday
RProf – Thursday
FProf – Friday
You might ask why RProf for Thursday? Well, we have already used TProf for Tuesday and Thursday contains an “R”. This is just my way of doing it, but you will find this often in code dealing with days of the week. Every Switch should account for every possible outcome of the expression its keying off of. Many times you can’t always know ahead of time all the possible outcomes, so a Default case should be used as an exception. It is not necessary and it will not kick an error message if its not there. However, its just good programming to account for everything. Once the Switch is concluded begDayEquity and totTrades are updated for use the following day.
Here is the code that prints out the results of the DayOfWeek Analysis
if d = 1211027 and t = 1100 then begin print(d," DOW Analysis "); print("Monday : ",MProf); print("Tuesday : ",TProf); print("Wednesday : ",WProf); print("Thursday : ",RProf); print("Friday : ",FProf);
end;
Printing The Results of DofW Analysis
The printout occurs on October 27, 2021 at 11 AM. Here is my analysis of a day trading algorithm I am working on, tested over the last two years on 5 minute bars of the @ES.D
This System Will Be Published in the Hi-Res Edition of Easing into EasyLanguage Trilogy
Looks like it does. These results were derived from one of the Tutorials in The Hi-Res edition of EZ-NG-N2-EZ-LANG trilogy. I should have it availabe at Amazon some time in late November. Of course if you have any questions just email me @ george.p.pruitt@gmail.com.
Before the days of OOEL and more advanced data structures, such as vectors, you had to work with multidimensional arrays.
The problem with arrays is you have to do all the housekeeping whereas with vectors the housekeeping is handled internally. Yes, vectors in many cases would be the most efficient approach, but if you are already using Multi-D arrays, then mixing the two could become confusing. So stick with the arrays for now and progress into vectors at your leisure.
Recreate the CCI indicator with Multi-D Array
This exercise is for demonstration purposes only as the existing CCI function works just fine. However, when you are trying out something new or in this case an application of a different data structure (array) its always great to check your results against a known entity. If your program replicates the known entity, then you know that you are close to a solution. The CCI function accesses data via the globalHigh, Low and Close data streams and then applies a mathematical formula to derive a result. <
Derive Your Function First
Create the function first by prototyping what the function will need in the formal parameter list (funciton header). The first thing the function will need is the data – here is what it will look like.
OHLCArray[1,1] =1210903.00 // DATE
OHLCArray[1,2] = 4420.25 // OPEN
OHLCArray[1,3] = 4490.25 // HIGH
OHLCArray[1,4] = 4410.25 // LOW
OHLCArray[1,5] = 4480.75 // CLOSE
OHLCArray[2,1] =1210904.00 // DATE
OHLCArray[2,2] = 4470.25 // OPEN
OHLCArray[2,3] = 4490.25 // HIGH
OHLCArray[2,4] = 4420.25 // LOW
OHLCArray[2,5] = 4440.75 // CLOSE
Visualize 2-D Array as a Table
Column 1
Column 2
Column 3
Column 4
Column 5
1210903
44202.25
4490.25
4410.25
4480.75
1210904
4470.25
4490.25
4420.25
4440.76
The CCI function is only concerned with H, L, C and that data is in columns 3, 4, 5. If you know the structure of the array before you program the function, then you now which columns or fields you will need to access. If you don’t know the structure beforehand , then that information would need to be passed into the function as well. Let us assume we know the structure. Part of the housekeeping that I mentioned earlier was keeping track of the current row where the latest data is being stored. This “index” plus the length of the CCI indicator is the last two things we will need to know to do a proper calculation.
CCI_2D Function Formal Parameter List
// This function needs data, current data row, and length // Notice how I declare the OHLCArray using the dummy X and Y // Variable - this just tells TradeStation to expect 2-D array // ------------------ // | | // * * inputs: OHLCArray[x,y](numericArray), currentRow(numericSimple), length(numericSimple); // *** // ||| //---------------------------- // Also notice I tell TradeStation that the array is of type numeric // We are not changing the array but if we were, then the type would be // numericArrayRef - the actual location in memory not just a copy
CCI_2D Formal Parameter List
2-D Array Must Run Parallels with Actual Data
The rest of the function expects the data to be just like the H, L, C built-in data – so there cannot be gaps. This is very important when you pack the data and you will see this in the function driver code a.k.a an indicator. The data needs to align with the bars. Now if you are using large arrays this can slow things down a bit. You can also shuffle the array and keep the array size to a minimum and I will post how to do this in a post later this week. The CCI doesn’t care about the order of the H,L,C as long as the last N element is the latest values.
if AvgDev = 0 then CCI_2D = 0 else CCI_2D = ( value1 + value2 + value3 - Mean ) / ( .015 * AvgDev ) ;
CCI-2D Function
This function could be streamlined, but I wanted to show you how to access the different data values with the currentRow variable and columns 3, 4, and 5. I extract these data and store them in Values variables. Notice the highlighted line where I check to make sure there are enough rows to handle the calculation. If you try to access data before row #1, then you will get an out of bounds error and a halt to program execution.
Notice lines 16 and 17 where I am plotting both function results – my CCI_2D and CCI. Also notice how I increment numRows on each bar – this is the housekeeping that keeps that array synched with the chart. In the following graphic I use 14 for CCI_2D and 9 for the built-in CCI.
Two CCI functions with different Lengths
Now the following graphic uses the same length parameters for both functions. Why did just one line show up?
Both CCI Functions with same Lengths – were did second line go to?
Make Your Unique Coding Replicate a Known Entity – If You Can
Here is where your programming is graded. The replication of the CCI using a 2-D Array instead of the built-in H, L, C data streams, if programmed correctly, should create the exact same results and it does, hence the one line. Big Deal right! Why did I go through all this to do something that was already done? Great programming is not supposed to re-invent the wheel. And we just did exactly that. But read between the lines here. We validated code that packed a 2-D array with data and then passed it to a function that then accessed the data correctly and applied a known formula and compared it to a known entity. So now you have re-usable code for passing a 2-D array to a function. All you have to do is use the template and modify the calculations. Re-inventing the wheel is A-Okay if you are using it as a tool for validation.
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.
Methods are wonderful tools that are just like functions, but you can put them right into your Analysis Technique and they can share the variables that are defined outside the Method. Here is an example that I have posted previously. Note: This was in response to a question I got on Jeff Swanson’s EasyLanguage Mastery Facebook Group.
{'(' Expected line 10, column 12 } //the t in tradeProfit. // var: double tradeProfit;
vars: mp(0); array: weekArray[5](0);
method void dayOfWeekAnalysis() {method definition} var: double tradeProfit; begin If mp = 1 and mp[1] = -1 then tradeProfit = (entryPrice(1) - entryPrice(0))*bigPointValue; If mp = -1 and mp[1] = 1 then tradeProfit = (entryPrice(0) - entryPrice(1))*bigPointValue; weekArray[dayOfWeek(entryDate(1))] = weekArray[dayOfWeek(entryDate(1))] + tradeProfit; end;
Buy next bar at highest(high,9)[1] stop; Sellshort next bar at lowest(low,9)[1] stop;
mp = marketPosition; if mp <> mp[1] then dayOfWeekAnalysis(); If lastBarOnChart then Begin print("Monday ",weekArray[1]); print("Tuesday ",weekArray[2]); print("Wednesday ",weekArray[3]); print("Thursday ",weekArray[4]); print("Friday ",weekArray[5]); end;
PowerEditor Cannot Handle Method Syntax
Convert Method to External Function
Sounds easy enough – just remove Method and copy code and put into a new function. This method keeps track of Day Of Week Analysis. So what is the function going to return? It needs to return the performance metrics for Monday, Tuesday, Wednesday, Thursday and Friday. That is five values so you can’t simply assign the Function Name a single value – right?
tradeProfit = -999999999; If mp = 1 and mp[1] = -1 then tradeProfit = (entryPrice(1) - entryPrice(0))*bigPointValue; If mp = -1 and mp[1] = 1 then tradeProfit = (entryPrice(0) - entryPrice(1))*bigPointValue; if tradeProfit <> -999999999 then weekArray[dayOfWeek(entryDate(1))] = weekArray[dayOfWeek(entryDate(1))] + tradeProfit; print(d," ",mp," ",mp[1]," ",dayOfWeek(entryDate(1)),tradeProfit," ",entryDate," ",entryDate(1)," ",entryPrice(0)," ",entryPrice(1));
DayOfWeekAnalysis = 1;
Simple Function - What's the Big Deal
Looks pretty simple and straight forward. Take a look at the first line of code. Notice how I inform the function to expect an array of [n] length to passed to it. Also notice I am not passing by value but by reference. Value versus reference – huge difference. Value is a scalar value such as 5, True or a string. When you pass by reference you are actually passing a pointer to actual location in computer memory – once you change it – it stays changed and that is what we want to do. When you pass a variable to an indicator function you are simple passing a value that is not modified within the body of the function. If you want a function to modify and return more than one value you can pass the variable and catch it as a numericRef. TradeStation has a great explanation of multiple output functions.
Multiple Output Function per EasyLanguage
Some built-in functions need to return more than a single value and do this by using one or more output parameters within the parameter list. Built-in multiple output functions typically preface the parameter name with an ‘o’ to indicate that it is an output parameter used to return a value. These are also known as ‘input-output’ parameters because they are declared within a function as a ‘ref’ type of input (i.e. NumericRef, TrueFalseRef, etc.) which allows it output a value, by reference, to a variable in the EasyLanguage code calling the function.
I personally don’t follow the “O” prefacing, but if it helps you program then go for it.
Series Function – What Is It And Why Do I Need to Worry About It?
A series function is a specialized function that refers to a previous function value within its calculations. In addition, series functions update their value on every bar even if the function call is placed within a conditional structure that may not be true on a given bar. Because a series function automatically stores its own previous values and executes on every bar, it allows you to write function calculations that may be more streamlined than if you had to manage all of the resources yourself. However, it’s a good idea to understand how this might affect the performance of your EasyLanguage code.
Seems complicated, but it really isn’t. It all boils down to SCOPE – not the mouthwash. See when you call a function all the variables inside that function are local to that particular function – in other words it doesn’t have a memory. If it changes a value in the first call to the function, it has amnesia so the next time you call the function it forgets what it did just prior – unless its a series function. Then it remembers. This is why I can do this:
If mp = 1 and mp[1] = -1 then tradeProfit = (entryPrice(1) - entryPrice(0))*bigPointValue; If mp = -1 and mp[1] = 1 then tradeProfit = (entryPrice(0) - entryPrice(1))*bigPointValue;
I Can Refer to Prior Values - It Has A Memory
Did you notice TradeProfit = -99999999 and then if it changes then I accumulate it in the correct Day Bin. If I didn’t check for this then the values in the Day Bin would be accumulated with the values returned by EntryPrice and ExitPrice functions. Remember this function is called on every bar even if you don’t call it. I could have tested if a trade occurred and passed this information to the function and then have the function access the EntryPrice and ExitPrice values. This is up to your individual taste of style. One more parameter for readability, or one less parameter for perhaps efficiency?
This Is A Special Function – Array Manipulator and Series Type
When you program a function like this the EasyLanguage Dev. Environment can determine what type of function you are using. But if you need to change it you can. Simply right click inside the editor and select Properites.
Function Properties – AutoDetect Selected
How Do You Call Such a “Special” Function?
The first thing you need to do is declare the array that you will be passing to the function. Use the keyword Array and put the number of elements it will hold and then declare the values of each element. Here I create a 5 element array and assign each element zero. Here is the function wrapper.
Buy next bar at highest(high,9)[1] stop; Sellshort next bar at lowest(low,9)[1] stop; mp = marketPosition; newTrade = False; //if mp <> mp[1] then newTrade = true;
value1 = dayOfWeekAnalysis(weekArray); If lastBarOnChart then Begin print("Monday ",weekArray[1]); print("Tuesday ",weekArray[2]); print("Wednesday ",weekArray[3]); print("Thursday ",weekArray[4]); print("Friday ",weekArray[5]); end;
Wrapper Function - Notice I only Pass the Array to the Function
Okay that’s how you convert a Method from EasyLanguage into a Function. Functions are more re-uasable, but methods are easier. But if you can’t use a method you now know how to convert one that uses Array Manipulation and us a “Series” type.
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
Since this is part 1 we are just going to go over a very simple system: SAR (stop and reverse) at highest/lowest high/low for past 20 days.
A 2D Array in EasyLanguage is Immutable
Meaning that once you create an array all of the data types must be the same. In a Python list you can have integers, strings, objects whatever. In C and its derivatives you also have a a data structure (a thing that stores related data) know as a Structure or Struct. We can mimic a structure in EL by using a 2 dimensional array. An array is just a list of values that can be referenced by an index.
array[1] = 3.14
array[2] = 42
array[3] = 2.71828
A 2 day array is similar but it looks like a table
array[1,1], array[1,2], array[1,3]
array[2,1], array[2,2], array[2,3]
The first number in the pair is the row and the second is the column. So a 2D array can be very large table with many rows and columns. The column can also be referred to as a field in the table. To help use a table you can actually give your fields names. Here is a table structure that I created to store trade information.
trdEntryPrice (0) – column zero – yes we can have a 0 col. and row
trdEntryDate(1)
trdExitPrice (2)
trdExitDate(3)
trdID(4)
trdPos(5)
trdProfit(6)
trdCumuProfit(7)
So when I refer to tradeStruct[0, trdEntryPrice] I am referring to the first column in the first row.
This how you define a 2D array and its associate fields.
In EasyLanguage You are Poised at the Close of a Yesterday’s Bar
This paradigm allows you to sneak a peek at tomorrow’s open tick but that is it. You can’t really cheat, but it also limits your creativity and makes things more difficult to program when all you want is an accurate backtest. I will go into detail, if I haven’t already in an earlier post, the difference of sitting on Yesterday’s close verus sitting on Today’s close with retroactive trading powers. Since we are only storing trade information when can use hindsight to gather the information we need.
Buy tomorrow at highest(h,20) stop;
SellShort tomorrow at lowest(l,20) stop;
These are the order directives that we will be using to execute our strategy. We can also run a Shadow System, with the benefit of hindsight, to see where we entered long/short and at what prices. I call it a Shadow because its all the trades reflected back one bar. All we need to do is offset the highest and lowest calculations by 1 and compare the values to today’s highs and lows to determine trade entry. We must also test the open if a gap occurred and we would have been filled at the open. Now this code gets a bit hairy, but stick with it.
if mPos <> 1 then begin if h >= stb1 then begin if mPos < 0 then // close existing short position begin mEntryPrice = tradeStruct[numTrades,trdEntryPrice]; mExitPrice = maxList(o,stb1); tradeStruct[numTrades,trdExitPrice] = mExitPrice; tradeStruct[numTrades,trdExitDate] = date; mProfit = (mEntryPrice - mExitPrice) * bigPointValue - mCommSlipp; cumuProfit += mProfit; tradeStruct[numTrades,trdCumuProfit] = cumuProfit; tradeStruct[numTrades,trdProfit] = mProfit; print(d+19000000:8:0," shrtExit ",mEntryPrice:4:5," ",mExitPrice:4:5," ",mProfit:6:0," ",cumuProfit:7:0); print("-------------------------------------------------------------------------"); end; numTrades +=1; mEntryPrice = maxList(o,stb1); tradeStruct[numTrades,trdID] = 1; tradeStruct[numTrades,trdPOS] = 1; tradeStruct[numTrades,trdEntryPrice] = mEntryPrice; tradeStruct[numTrades,trdEntryDate] = date; mPos = 1; print(d+19000000:8:0," longEntry ",mEntryPrice:4:5); end; end; if mPos <>-1 then begin if l <= sts1 then begin if mPos > 0 then // close existing long position begin mEntryPrice = tradeStruct[numTrades,trdEntryPrice]; mExitPrice = minList(o,sts1); tradeStruct[numTrades,trdExitPrice] = mExitPrice; tradeStruct[numTrades,trdExitDate] = date; mProfit = (mExitPrice - mEntryPrice ) * bigPointValue - mCommSlipp; cumuProfit += mProfit; tradeStruct[numTrades,trdCumuProfit] = cumuProfit; tradeStruct[numTrades,trdProfit] = mProfit; print(d+19000000:8:0," longExit ",mEntryPrice:4:5," ",mExitPrice:4:5," ",mProfit:6:0," ",cumuProfit:7:0); print("---------------------------------------------------------------------"); end; numTrades +=1; mEntryPrice =minList(o,sts1); tradeStruct[numTrades,trdID] = 2; tradeStruct[numTrades,trdPOS] =-1; tradeStruct[numTrades,trdEntryPrice] = mEntryPrice; tradeStruct[numTrades,trdEntryDate] = date; mPos = -1; print(d+19000000:8:0," ShortEntry ",mEntryPrice:4:5); end; end;
Shadow System - Generic forany SAR System
Notice I have stb and stb1. The only difference between the two calculations is one is displaced a day. I use the stb and sts in the EL trade directives. I use stb1 and sts1 in the Shadow System code. I guarantee this snippet of code is in every backtesting platform out there.
All the variables that start with the letter m, such as mEntryPrice, mExitPrice deal with the Shadow System. Theyare not derived from TradeStation’s back testing engine only our logic. Lets look at the first part of just one side of the Shadow System:
if mPos <> 1 then begin if h >= stb1 then begin if mPos < 0 then // close existing short position begin mEntryPrice = tradeStruct[numTrades,trdEntryPrice]; mExitPrice = maxList(o,stb1); tradeStruct[numTrades,trdExitPrice] = mExitPrice; tradeStruct[numTrades,trdExitDate] = date; mProfit = (mEntryPrice - mExitPrice) * bigPointValue - mCommSlipp; cumuProfit += mProfit; tradeStruct[numTrades,trdCumuProfit] = cumuProfit; tradeStruct[numTrades,trdProfit] = mProfit; print(d+19000000:8:0," shrtExit ",mEntryPrice:4:5," ",mExitPrice:4:5," ",mProfit:6:0," ",cumuProfit:7:0); print("-------------------------------------------------------------------------"); end;
mPos and mEntryPrice and mExitPrice belong to the Shadow System
if mPos <> 1 then the Shadow Systems [SS] is not long. So we test today’s high against stb1 and if its greater then we know a long position was put on. But what if mPos = -1 [short], then we need to calculate the exit and the trade profit and the cumulative trade profit. If mPos = -1 then we know a short position is on and we can access its particulars from the tradeStruct 2D array. mEntryPrice = tradeStruct[numTrades,trdEntryPrice]. We can gather the other necessary information from the tradeStruct [remember this is just a table with fields spelled out for us.] Once we get the information we need we then need to stuff our calculations back into the Structure or table so we can regurgitate later. We stuff date in to the following fields trdExitPrice, trdExitDate, trdProfit and trdCumuProfit in the table.
Formatted Print: mEntryPrice:4:5
Notice in the code how I follow the print out of variables with :8:0 or :4:5? I am telling TradeStation to use either 0 or 5 decimal places. The date doesn’t need decimals but prices do. So I format that so that they will line up really pretty like.
Now that I take care of liquidating an existing position all I need to do is increment the number of trades and stuff the new trade information into the Structure.
The same goes for the short entry and long exit side of things. Just review the code. I print out the trades as we go along through the history of crude. All the while stuffing the table.
If LastBarOnChart -> Regurgitate
On the last bar of the chart we know exactly how many trades have been executed because we were keeping track of them in the Shadow System. So it is very easy to loop from 0 to numTrades.
if lastBarOnChart then begin print("Trade History"); for arrIndx = 1 to numTrades begin value20 = tradeStruct[arrIndx,trdEntryDate]; value21 = tradeStruct[arrIndx,trdEntryPrice]; value22 = tradeStruct[arrIndx,trdExitDate]; value23 = tradeStruct[arrIndx,trdExitPrice]; value24 = tradeStruct[arrIndx,trdID]; value25 = tradeStruct[arrIndx,trdProfit]; value26 = tradeStruct[arrIndx,trdCumuProfit];
print("---------------------------------------------------------------------"); if value24 = 1 then begin string1 = buyStr; string2 = sellStr; end; if value24 = 2 then begin string1 = shortStr; string2 = coverStr; end; print(value20+19000000:8:0,string1,value21:4:5," ",value22+19000000:8:0,string2, value23:4:5," ",value25:6:0," ",value26:7:0); end; end;
Add 19000000 to Dates for easy Translation
Since all trade information is stored in the Structure or Table then pulling the information out using our Field Descriptors is very easy. Notice I used EL built-in valueXX to store table information. I did this to make the print statements a lot shorter. I could have just used tradeStruct[arrIndx, trdEntry] or whatever was needed to provide the right information, but the lines would be hard to read. To translate EL date to a normal looking data just add 19,000,000 [without commas].
If you format your PrintLog to a monospaced font your out put should look like this.
PrintLog OutPut
Why Would We Want to Save Trade Information?
The answer to this question will be answered in Part 2. Email me with any other questions…..
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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