I had to wrap up Part -1 rather quickly and probably didn’t get my ideas across, completely. Here is what we did in Part – 1.
used my function to locate the First Notice Date in crude
used the same function to print out exact EasyLanguage syntax
chose to roll eight days before FND and had the function print out pure EasyLanguage
the output created array assignments and loaded the calculated roll points in YYYMMDD format into the array
visually inspected non-adjusted continuous contracts that were spliced eight days before FND
appended dates in the array to match roll points, as illustrated by the dip in open interest
Step 6 from above is very important, because you want to make sure you are out of a position on the correct rollover date. If you are not, then you will absorb the discount between the contracts into your profit/loss when you exit the trade.
Step 2 – Create the code that executes the rollover trades
Here is the code that handles the rollover trades.
...
...
...
...
rollArr[118]=20220314;
rollArr[119]=20220411;
rollArr[120]=20220512;
rollArr[121]=20220613;
rollArr[122]=20220712;
rollArr[123]=20220812;
// If in a position and date + 1900000 (convert TS date format to YYYYMMDD),
// then exit long or short on the current bar's close and then re-enter
// on the next bar's open
if d+19000000 = rollArr[arrCnt] then
begin
condition1 = true;
arrCnt = arrCnt + 1;
if marketPosition = 1 then
begin
sell("LongRollExit") this bar on close;
buy("LongRollEntry") next bar at open;
end;
if marketPosition = -1 then
begin
buyToCover("ShrtRollExit") this bar on close;
sellShort("ShrtRollEntry") next bar at open;
end;
end;
Code to rollover open position
This code gets us out of an open position during the transition from the old contract to the new contract. Remember our function created and loaded the rollArr for us with the appropriate dates. This simulation is the best we can do – in reality we would exit/enter at the same time in the two different contracts. Waiting until the open of the next bar introduces slippage. However, in the long run this slippage cost may wash out.
Step 3 – Create a trading system with entries and exits
The system will be a simple Donchian where you enter on the close when the bar’s high/low penetrates the highest/lowest low of the past 40 bars. If you are long, then you will exit on the close of the bar whose low is less than the lowest low of the past 20 bars. If short, get out on the close of the bar that is greater than the highest high of the past twenty bars. The first test will show the result of using an adjusted continuous contract rolling 8 days prior to FND
Nice Trade. Around August 2014
This test will use the exact same data to generate the signals, but execution will take place on a non-adjusted continuous contract with rollovers. Here data2 is the adjusted continuous contract and data1 is the non-adjusted.
Same Trade but with rollovers
Still a very nice trade, but in reality you would have to endure six rollover trades and the associated execution costs.
Conclusion
Here is the mechanism of the rollover trade.
Roll out of old contract and roll into new contract
And now the performance results using $30 for round turn execution costs.
No-Rollovers
No Rollovers?
Now with rollovers
Many more trades with the rollovers!
The results are very close, if you take into consideration the additional execution costs. Since TradeStation is not built around the concept of rollovers, many of the trade metrics are not accurate. Metrics such as average trade, percent wins, average win/loss and max Trade Drawdown will not reflect the pure algorithm based entries and exits. These metrics take into consideration the entries and exits promulgated by the rollovers. The first trade graphic where the short was held for several months should be considered 1 entry and 1 exit. The rollovers should be executed in real time, but the performance metrics should ignore these intermediary trades.
I will test these rollovers with different algorithms, and see if we still get similar results, and will post them later. As you can see, testing on non-adjusted data with rollovers is no simple task. Email me if you would like to see some of the code I used in this post.
When I worked at Futures Truth, we tested everything with our Excalibur software. This software used individual contract data and loaded the entire history (well, the part we maintained) of each contract into memory and executed rollovers at a certain time of the month. Excalibur had its limitations as certain futures contracts had very short histories and rollover dates had to be predetermined – in other words, they were undynamic. Over the years, we fixed the short history problem by creating a dynamic continuous contract going back in time for the number of days required for a calculation. We also fixed the database with more appropriate rollover frequency and dates. So in the end, the software simulated what I had expected from trading real futures contracts. This software was originally written in Fortran and for the Macintosh. It also had limitations on portfolio analysis as it worked its way across the portfolio, one complete market at a time. Even with all these limitations, I truly thought that the returns more closely mirrored what a trader might see in real time. Today, there aren’t many, if any, simulation platforms that test on individual contracts. The main reasons for this are the complexity of the software, and the database management. However, if you are willing to do the work, you can get close to testing on individual contract data with EasyLanguage.
Step 1 – Get the rollover dates
This is critical as the dates will be used to roll out of one contract and into another. In this post, I will test a simple strategy on the crude futures. I picked crude because it rolls every month. Some data vendors use a specific date to roll contracts, such as Pinnacle data. In real time trading, I did this as well. We had a calendar for each month, and we would mark the rollover dates for all markets traded at the beginning of each month. Crude was rolled on the 11th or 12th of the prior month to expiration. So, if we were trading the September 2022 contract, we would roll on August 11th. A single order (rollover spread) was placed to sell (if long) the September contract and buy the October contract at the market simultaneously. Sometimes we would leg into the rollover by executing two separate orders – in hopes of getting better execution. I have never been able to find a historic database of when TradeStation performs its rollovers. When you use the default @CL symbol, you allow TradeStation to use a formula to determine the best time to perform a rollover. This was probably based on volume and open interest. TradeStation does allow you to pick several different rollover triggers when using their continuous data.
You can choose type of trigger – (3) Dynamic or (4) Time based.
I am getting ahead of myself, because we can simply use the default @CL data to derive the rollover dates (almost.) Crude oil is one of those weird markets where LTD (last trade days) occurs before FND (first notice day.) Most markets will give you a notice before they back up a huge truck and dump a 1000 barrels of oil at your front door. With crude you have to be Johnny on the spot! Rollover is just a headache when trading futures, but it can be very expensive headache if you don’t get out in time. Some markets are cash settled so rollover isn’t that important, but others result in delivery of the commodity. Most clearing firms will help you unwind an expired contract for a small fee (well relatively small.) In the good old days your full service broker would give you heads up. They would call you and say, “George you have to get out of that Sept. crude pronto!” Some firms would automatically liquidate the offending contract on your behalf – which sounds nice but it could cost you. Over my 30 year history of trading futures I was caught a few times in the delivery process. You can determine these FND and LTD from the CME website. Here is the expiration description for crude futures.
Trading terminates 3 business day before the 25th calendar day of the month prior to the contract month. If the 25th calendar day is not a business day, trading terminates 4 business days before the 25th calendar day of the month prior to the contract month.
You can look this up on your favorite broker’s website or the handy calendars they send out at Christmas. Based on this description, the Sept. 2022 Crude contract would expire on August 20th and here’s why
August 25 is Tuesday
August 24 is Monday- DAY1
August 21 is Friday – DAY2
August 20 is Thursday – DAY3
This is the beauty of a well oiled machine or exchange. The FND will occur exactly as described. All you need to do is get all the calendars for the past ten years and find the 25th of the month and count back three business days. Or if the 25 falls on a weekend count back four business days. Boy that would be chore, would it not? Luckily, we can have the data and an EasyLanguage script do this for us. Take a look at this code and see if it makes any sense to you.
Case "@CL":
If dayOfMonth(date) = 25 and firstMonthPrint = false then
begin
print(date[3]+19000000:8:0);
firstMonthPrint = true;
end;
If(dayOfMonth(date[1]) < 25 and dayOfMonth(date) > 25 ) and firstMonthPrint = false then
begin
print(date[4]+19000000:8:0);
firstMonthPrint = true;
end;
Code to printout all the FND of crude oil.
I have created a tool to print out the FND or LTD of any commodity futures by examining the date. In this example, I am using a Switch-Case to determine what logic is applied to the chart symbol. If the chart symbol is @CL, I look to see if the 25th of the month exists and if it does, I print the date 3 days prior out. If today’s day of month is greater than 25 and the prior day’s day of month is less than 25, I know the 25th occurred on a weekend and I must print out the date four bars prior. These dates are FN dates and cannot be used as is to simulate a rollover. You had best be out before the FND to prevent the delivery process. Pinnacle Date rolls the crude on the 11th day of the prior month for its crude continuous contracts. I aimed for this day of the month with my logic. If the FND normally fell on the 22nd of the month, then I should back up either 9 or 10 business days to get near the 11th of the month. Also I wanted to use the output directly in an EasyLanguage strategy so I modified my output to be exact EasyLanguage.
Case "@CL":
If dayOfMonth(date) = 25 and firstMonthPrint = false then
begin
value1 = value1 + 1;
print("rollArr[",value1:1:0,"]=",date[9]+19000000:8:0,";");
firstMonthPrint = true;
end;
If(dayOfMonth(date[1]) < 25 and dayOfMonth(date) > 25 ) and firstMonthPrint = false then
begin
value1 = value1 + 1;
print("rollArr[",value1:1:0,"]=",date[10]+19000000:8:0,";");
// print(date[4]+19000000:8:0);
firstMonthPrint = true;
end;
// example of output
rollArr[103]=20210312;
rollArr[104]=20210412;
rollArr[105]=20210512;
rollArr[106]=20210614;
rollArr[107]=20210712;
rollArr[108]=20210812;
rollArr[109]=20210913;
rollArr[110]=20211012;
rollArr[111]=20211111;
rollArr[112]=20211210;
rollArr[113]=20220111;
rollArr[114]=20220211;
rollArr[115]=20220314;
rollArr[116]=20220411;
rollArr[117]=20220512;
rollArr[118]=20220610;
rollArr[119]=20220712;
rollArr[120]=20220812;
Code to print our 9 or 10 bars prior to FND in actual EasyLanguage
Now. that I had the theoretical rollover dates for my analysis I had to make sure the data that I was going to use matched up exactly. As you saw before, you can pick the rollover date for your chart data. And you can also determine the discount to add or subtract to all prior data points based on the difference between the closing prices at the rollover point. I played around with the number of days prior to FND and selected non adjusted for the smoothing of prior data.
Actual data I simulated rollovers with.
How did I determine 8 days Prior to First Notice Date? I plotted different data using a different number of days prior and determined 8 provided a sweet spot between the old and new contract data’s open interest. Can you see the rollover points in the following chart? Ignore the trades – these were a beta test.
The Open Interest Valley is the rollover date.
The dates where the open interest creates a valley aligned very closely with the dates I printed out using my FND date finder function. To be safe, I compared the dates and fixed my array data to match the chart exactly. Here are two rollover trades – now these are correct.
Using an adjusted continuous contract you would not see these trades.
This post turned out to be a little longer than I thought, so I will post the results of using an adjusted continuous contract with no rollovers, and the results using non-adjusted concatenated contracts with rollovers. The strategy will be a simple 40/20 bar Donchian entry/exit. You maybe surprised by the results – stay tuned.
The last book in the Easing Into EasyLanguage Serieshas finally been put to bed. Unlike the first two books in the series, where the major focus and objective was to introduce basic programming ideas to help get new EasyLanguages users up to speed, this edition introduces more Advanced topics and the code to develop and program them.
Buy this book to learn how to overcome the obstacles that may be holding you back from developing your ideal Analysis Technique. This book could be thousands of pages long because the number of topics could be infinite. The subjects covered in this edition provide a great cross-section of knowledge that can be used further down the road. The tutorials will cover subjects such as:
Arrays – single and multiple dimensions
Functions – creation and communicating via Passed by Value and Passed by Reference
Finite State Machine – implemented via the Switch-Case programming construct
String Manipulation – construction and deconstruction of strings using EasyLanguage functions
Hash Table and Hash Index – a data structure(s) that contains unique addresses of bins that can contain N records
Using Hash Tables – accessing and storing data related to unique Tokens
Token Generation – an individual instance of a type of symbol
Seasonality – in depth analysis of the Ruggiero/Barna and Sheldon Knight Universal Seasonal data
File Manipulation – creating, deleting and writing to external files
Using Projects – organizing Analysis Techniques by grouping support functions and code into a single entity
Text Graphic Objects – extracting text from a chart and storing the object information in arrays for later development into a strategy
Commitment of Traders Report – TradeStation only (not MultiChart compatible) code. Converting the COT indicator and using the FundValue functionality to develop a trading strategy
Multiple Time Frame based indicator – use five discrete time frames and pump the data into a single indicator – “traffic stop light” feel
Once you become a programmer, of any language, you must continually work on honing your craft. This book shows you how to use your knowledge as building blocks to complete some really cool and advanced topics.
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.
variables:
Mean( 0 ),sum1(0),sum2(0),
AvgDev( 0 ),rowNum(0),
Counter( 0 ) ;
AvgDev = 0 ;
if currentRow > length then // make sure enough rows
begin
sum1 = 0;
sum2 = 0;
for rowNum = currentRow - (length-1) to currentRow
begin
value1 = OHLCArray[rowNum,3];
value2 = OHLCArray[rowNum,4];
value3 = OHLCArray[rowNum,5];
sum1 = sum1 + value1 + value2 + value3;
end;
//Mean = Average( H + L + C, Length ) ; { don't have to divide H+L+C by 3, cancels out }
Mean = sum1/length;
print(d," Mean ",mean," ",mean/3);
for rowNum = currentRow - (length-1) to currentRow
begin
value1 = OHLCArray[rowNum,3];
value2 = OHLCArray[rowNum,4];
value3 = OHLCArray[rowNum,5];
sum2 = sum2 + AbsValue((value1 + value2 + value3) - Mean);
end ;
// AvgDev = AvgDev + AbsValue( ( H + L + C )[Counter] - Mean ) ;
AvgDev = sum2 / Length ;
print(d," avgDev ",AvgDev," ",AvgDev/3);
value1 = OHLCArray[currentRow,3];
value2 = OHLCArray[currentRow,4];
value3 = OHLCArray[currentRow,5];
end;
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?
Create A New Function – Call It DayOfWeekAnalysis
inputs: weekArray[n](numericArrayRef);
vars: mp(0);
var: tradeProfit(0);
mp = marketPosition;
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.
array: weekArray[5](0);
vars: mp(0),newTrade(false);
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 $w. Opposite goes for the short side. One long and one short only allowed during the day and exit all at the close.
What the heck here is the code for the Strategy.
inputs: startTradeTime(930),startTradeBars(6),endTradeTime(1530),
breakOutVolPer(0.5),trailVolPer(.25),breakEven$(500);
vars: longsToday(0),shortsToday(0),
longStop(0),shortStop(0),
longTrail(0),shortTrail(0),
trailVolAmt(0),
barCount(0),highToday(0),lowToday(0),
volAmt(0),mp(0);
if t = startTradeTime + barinterval then
begin
longsToday = 0;
shortsToday = 0;
longStop = 0;
shortStop = 0;
longTrail = 0;
shortTrail = 99999999;
barCount = 0;
highToday = 0;
lowToday = 999999999;
end;
highToday = maxList(h,highToday);
lowToday = minList(l,lowToday);
mp = marketPosition;
barCount +=1;
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;
I will comment in a later post!
And the code for the Strategy Tracking Indicator.
inputs: startTradeTime(930),startTradeBars(6),endTradeTime(1530),
breakOutVolPer(0.5),trailVolPer(.25),breakEven$(500);
vars: longsToday(0),shortsToday(0),
longStop(0),shortStop(0),
longTrail(0),shortTrail(0),
trailVolAmt(0),
barCount(0),highToday(0),lowToday(0),
volAmt(0),mp(0);
if t = startTradeTime + barinterval then
begin
longsToday = 0;
shortsToday = 0;
longStop = 0;
shortStop = 0;
longTrail = 0;
shortTrail = 99999999;
barCount = 0;
highToday = 0;
lowToday = 999999999;
mp = 0;
end;
highToday = maxList(h,highToday);
lowToday = minList(l,lowToday);
barCount +=1;
vars: iCnt(0),mEntryPrice(0),myColor(0);
if barCount >= startTradeBars then
begin
volAmt = average(range,startTradeBars);
if barCount = startTradeBars then
begin
longStop = highToday + breakOutVolPer * volAmt;
shortStop = lowToday - breakOutVolPer * volAmt;
for iCnt = 0 to startTradeBars-1
begin
plot1[iCnt](longStop,"BuyBO",default,default,default);
plot2[iCnt](shortStop,"ShrtBo",default,default,default);
end;
end;
if t < endTradeTime then
begin
if longsToday = 0 and h >= longStop then
begin
mp = 1;
mEntryPrice = maxList(o,longStop);
longsToday += 1;
end;
if shortsToday = 0 and l <= shortStop then
begin
mp = -1;
mEntryPrice = minList(o,shortStop);
shortsToday +=1;
end;
plot3(longStop,"BuyBOXTND",default,default,default);
plot4(shortStop,"ShrtBOXTND",default,default,default);
end;
trailVolAmt = volAmt * trailVolPer;
if mp = 1 then
begin
if c > mEntryPrice + breakEven$/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.
Shadow System
stb = highest(h,20);
sts = lowest(l,20);
stb1 = highest(h[1],20);
sts1 = lowest(l[1],20);
buy("Sys-L") 1 contract next bar at stb stop;
sellShort("Sys-S") 1 contract next bar at sts stop;
mp = marketPosition*currentContracts;
totTrds = totalTrades;
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!
BLACK FRIDAY EVENT 20% OFF Easing Into EasyLanguage Series
BLACK FRIDAY EVENT – Starting today and ending on Black Friday – 20% off Kindle and Paperback format! Buy at Amazon.com – prices have been reduce for this short period of time. Remember you get all EasyLanguage codes and many hours of video instruction. Get your favorite QUANT the books they need!
The Cover of my latest book. The first in the series.
Hello to All! The Easing Into EasyLanguage Series is now complete with the publication of the Advanced Topics Edition. This series includes three educational editions. Start out with the Foundation Edition. It is designed for the new user of EasyLanguage or for those you would like to have a refresher course. There are 13 tutorials ranging from creating Strategies to PaintBars. Learn how to create your own functions or apply stops and profit objectives. Ever wanted to know how to find an inside day that is also a Narrow Range 7 (NR7?) Now you can, and the best part is you get over 4 HOURS OF VIDEO INSTRUCTION – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.
Hi-Res Edition Cover
This book is for those that have read the Foundation Edition or have some experience working with EasyLanguage and the various functions that help make a trading decision. This book’s audience will be those programmers that want to take an idea, that requires an observation of intraday market movements to make a trading decision, and program it accurately. If you have programmed daily bar systems, and you want to drill down and add some components that require additional market information (like what came first – the high or the low), then you have come to the right place. If you want to buy and sell short in the same day and use trade management principles such as profit targets and stop losses then The Hi-Res Edition is the book you need. There are two paradigms that EasyLanguage covers: daily and intraday bar programming. It’s the same language, but the move from daily to intraday programming can be quite difficult. Learn all the essentials and shortcuts with this edition. 5 HOURS OF VIDEO INSTRUCTION in this Hi-Res edition – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.
Advanced Topics Cover
Advanced Topics (AT) could cover a vast amount of ideas and concepts and be the length of “War and Peace” on steroids. Since this book is part of the series, I wanted to cover a handful of concepts that included the follow programming constructs. Arrays and their manipulation. Buffers (fixed length arrays) and the tools to maintain buffer elements with formulas for extraction and sorting. Finite State Machines using the switch-case construct and range based case values. Using original text graphic objects and retrieving and analyzing their properties to determine X and Y coordinate values of text location. Seasonality: The Ruggiero/Barna Universal Seasonal and the Sheldon Knight Seasonal methods. In AT, you will also find an introduction to EasyLanguage’s Project Concept and the steps to create one by adding/deleting component files. Learn also how to import and export projects. TradeStation now provides access to fundamental data such as Commitment of Traders – learn how to convert the Net Change indicator into a strategy utilizing the FundValue functionality. If you wanted to find out how to merge multiple time frames into a single indicator, you are in luck! Create a MTF indicator for yourself.
Pick up your copies today – e-Book or paperback format – at Amazon.com
