This is how you round to the nearest tick in EasyLanguage – helpful when plotting
price based indicators. Also the formula for calculating the min tick value is given.
vars: minTick(0),testPrice(0);
minTick = minMove/priceScale;
testPrice = close * .21 * range;
// round up
value1 = testPrice + (minTick-mod(testPrice,minTick));
// round dn
value2 = testPrice - (mod(testPrice,minTick));
{mod is a call to the modulus function
aka remainder function -- mod(12,5) = 2 -- 12/5 = 2 Remainder 2
say ES testPrice = 1123.57
minTick = .25
1123.57 + (0.25 - mod(1123.57,0.25)) = 1123.57 + 0.25 - 0.07 = 1123.75}
A very astute reader of the BWTSwTS2 has brought to my attention errors in my description of the Thermostat and Bollinger Bandit algorithms. In the Thermo description I incorrectly used the words yesterday and today. The code is correct in the book. Thanks to John for finding this!
Corrected description follows:
….If today’s closing price is greater than the average of today’s high,low and close, then we feel tomorrow’s action will probably be bearish. However, if today’s closing price is less than or equal to the average of today’s high, low, and close, then tomorrow’s market will behave in a bullish manner.
In addition John uncovered a typo as well for the Bollinger Bandit description – when I stated BELOW I meant ABOVE and vice versa.
Corrected description follows:
If liqPoint is BELOW the upband, we will liquidate a long position if today’s market action <= liqPoint.
If liqPoint is ABOVE the dnband, we will liquidate a long position if today’s market action >= liqPoint.
Several have brought it to my attention that the King Keltner code in the book is missing a couple of lines. Here’s the complete code in its entirety. Thanks for bringing this to my attention.
[LegacyColorValue = true];
{King Keltner Program
King Keltner by George Pruitt -- based on trading system presented by Chester Keltner
-- an example of a simple, robust and effective strategy}
Inputs: avgLength(40),atrLength(40);
Vars: upBand(0),dnBand(0),liquidPoint(0),movAvgVal(0);
movAvgVal = average((h+l+c)/3,avgLength);
upBand = movAvgVal + AvgTrueRange(atrLength);
dnBand = movAvgVal - AvgTrueRange(atrLength);
{Remember buy stops are above the market and sell stops are below the market
-- if the market gaps above the buy stop, then the order turns into a market order
vice versa for the sell stop}
if(movAvgVal > movAvgVal[1]) then Buy ("KKBuy") tomorrow at upBand stop;
if(movAvgVal < movAvgVal[1]) then SellShort("KKSell")tomorrow at dnBand stop;
liquidPoint = movAvgVal;
if(MarketPosition = 1) then Sell tomorrow at liquidPoint stop;
if(MarketPosition =-1) then BuyTocover tomorrow at liquidPoint stop;
I have requests from some users to program a little more sophisticated version of my trade input strategy. This is where you can simply list the trade, trade date, and trade price and TradeStation will plot the trades for you and calculate the performance. This is a an easier to use program then TS’s _HistoricalEntry strategy.
{If you are entering the next bar then use the prior bars date
Make sure your price is above or below open if stop or limit order
}
array: DateArray[1000](0),BorSArray[1000](""),PriceArray[1000](0);
vars: iCnt(1);
DateArray[1]=1141117; BorSArray[1]="S"; PriceArray[1]=75.00;
DateArray[2]=1141219; BorSArray[2]="F"; PriceArray[2]=59.01;
DateArray[3]=1150102; BorSArray[3]="B"; PriceArray[3]=53.10;
DateArray[4]=1150210; BorSArray[4]="S"; PriceArray[4]=50.00;
if date >= dateArray[1] then
begin
if date = dateArray[iCnt] then
begin
if BorSArray[iCnt] = "B" then buy next bar at PriceArray[iCnt] stop;
if BorSArray[iCnt] = "S" then sellShort next bar at PriceArray[iCnt] stop;
if BorSArray[iCnt] = "F" then
begin
if marketPosition = 1 then sell next bar at PriceArray[iCnt] stop;
if marketPosition =-1 then buytocover next bar at PriceArray[iCnt] stop;
end;
iCnt = iCnt + 1;
end;
end;
Like I stated in an earlier post the “Trend”, once a lost friend, is back. Check out the results from the King Keltner system as published in “Building Winning Trading Systems with TradeStation.” Looking at the results it looks like 2014 is as good as the “life saving” 2008. Is it time to re-think Trend Following – has the paradigm shifting pendulum swung back?
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
I have often developed programs that use data that TradeStation may not have in their database, and later wanted to use the signals generated on that data and it apply it to another market. Here is a simple program that uses arrays to specify trade dates and signals. The code to interpret the arrays and then execute the orders follows:
array: DateArray[1000](0),BorSArray[1000]("");
vars: iCnt(1);
DateArray[1]=1081228; BorSArray[1]="S";
DateArray[2]=1081229; BorSArray[2]="B";
DateArray[3]=1090104; BorSArray[3]="S";
if date >= dateArray[1] then
begin
if date = dateArray[iCnt] then
begin
if BorSArray[iCnt] = "B" then buy this bar on close;
if BorSArray[iCnt] = "S" then sellShort this bar on close;
iCnt = iCnt + 1;
end;
end;
Notice how arrays are defined and declared. How do you think you would handle a system that goes flat?
TF is the easiest trading you will every do. Is it perfect – no! Crude, currencies, financials, indices all big winners this year. 2014 may not be 2008 but it is shaping up very nicely. I will post some TF results next week!
These are hypothetical numbers and there are no guarantee historical performance will be repeated in the future. Here is an update to the performance of the Russell Day trade system described in the book. Looking Good!
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
This little strategy uses EasyLanguage’s string manipulation to keep track of a multi-step, mutli-criteria, multi-state trade entry. You don’t buy until the buyString is equal to “BUY”. The sell side is just the opposite. When you program a multi-step entry you also need to build a reset situation. In the case of this system you reset the string to null(“”) when the price dips back down below the 9 day moving average. After resetting the process starts over again.
{Use curly brackets for mult-line
comments
This system needs three criteria to be met
before a trade is initiated
Buy Criteria 1: C > 9 day movAvg - trend Up
Buy Criteria 2: H = HighestHigh 10 days - break Out
Buy Criteria 3: C < C[2] - retracement }
vars:buyString(""),sellString("");
if marketPosition = 0 then {If flat then reset strings}
begin
buyString = "";
sellString = "";
end;
if c >= average(c,9) then buyString = "B"; //First criteria met
if c < average(c,9) then buyString = "";
if c > average(c,9) then sellString = "";
if c <= average(c,9) then sellString = "S";
if buyString = "B" then
begin
if h > highest(h,10)[1] then buyString = buyString + "U"; //Second Criteria met
end;
if buyString = "BU" then
begin
if c < c[2] then buyString = buyString + "Y"; //Third criteria met
end;
if buyString = "BUY" then buy ("BuyString") next bar at open; //Read BUY
if sellString = "S" then
begin
if l > lowest(l,10)[1] then sellString = sellString + "E";
end;
if sellString = "SE" then
begin
if c > c[2] then sellString = sellString + "LL";
end;
if sellSTring = "SELL" then sellShort ("sellString") next bar at open;
setStopLoss(1000);
SetPercentTrailing(1000, 30);
Trend following is on a comeback. Most of the more popular trend following algorithms have shown positive performance for the past three months. I wanted to take a look at the TMA because I like how it trades in the direction of the overall long term trend but can get out quick if the market has a reversal. The Double Crossover system is usually a stop and reversal.
Here’s how the system works: Go long if the short term average crosses from below the mid term average if and only if the mid term average is greater than the long term average. In some cases the short term will cross the mid term but both will be below the long term average. When this happens you will stay neutral until the mid term average crosses from below the long term average. Even when this happens the short term must still be greater than the mid term (this is usually the case though). Selling short is simply the opposite.
You exit long positions when the short term averages crosses from above the mid term average. You don’t need to look at the long term average as it plays not part in the liquidation signal. Shorts are liquidated when the short term averages crosses from below the mid term.
Backtesting with [Trade Station,Python,AmiBroker, Excel]. Intended for informational and educational purposes only!
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Get All Four Books in the Easing Into EasyLanguage Series - The Day Trade Edition is now Available!
Announcement – A Day Trade Edition will be added to my Easing Into EasyLanguage Series this year! This edition will be the fourth installment and will utilize concepts discussed in the Hi-Res and Advanced Topics editions. I will show how to develop and program algorithms that will enter after the open of the day and get out before the market closes. Hence, no overnight exposure. Most examples will be carried out on the mini Dow, Nasdaq, S&P500 and Russel. The programming skills that you will learn can be carried to any market that provides enough bang for the buck to day trade. Look for this edition later this year. But get geared up for it by reading the first three editions in the series now. Get your favorite QUANT the books they need!
Hello to All! The Easing Into EasyLanguage Series is now complete with the publication of the Advanced Topics Edition. This series includes three educational editions. Start out with the Foundation Edition. It is designed for the new user of EasyLanguage or for those you would like to have a refresher course. There are 13 tutorials ranging from creating Strategies to PaintBars. Learn how to create your own functions or apply stops and profit objectives. Ever wanted to know how to find an inside day that is also a Narrow Range 7 (NR7?) Now you can, and the best part is you get over 4 HOURS OF VIDEO INSTRUCTION – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.
This book is for those that have read the Foundation Edition or have some experience working with EasyLanguage and the various functions that help make a trading decision. This book’s audience will be those programmers that want to take an idea, that requires an observation of intraday market movements to make a trading decision, and program it accurately. If you have programmed daily bar systems, and you want to drill down and add some components that require additional market information (like what came first – the high or the low), then you have come to the right place. If you want to buy and sell short in the same day and use trade management principles such as profit targets and stop losses then The Hi-Res Edition is the book you need. There are two paradigms that EasyLanguage covers: daily and intraday bar programming. It’s the same language, but the move from daily to intraday programming can be quite difficult. Learn all the essentials and shortcuts with this edition. 5 HOURS OF VIDEO INSTRUCTION in this Hi-Res edition – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.
Advanced Topics (AT) could cover a vast amount of ideas and concepts and be the length of “War and Peace” on steroids. Since this book is part of the series, I wanted to cover a handful of concepts that included the follow programming constructs. Arrays and their manipulation. Buffers (fixed length arrays) and the tools to maintain buffer elements with formulas for extraction and sorting. Finite State Machines using the switch-case construct and range based case values. Using original text graphic objects and retrieving and analyzing their properties to determine X and Y coordinate values of text location. Seasonality: The Ruggiero/Barna Universal Seasonal and the Sheldon Knight Seasonal methods. In AT, you will also find an introduction to EasyLanguage’s Project Concept and the steps to create one by adding/deleting component files. TradeStation now provides access to fundamental data such as Commitment of Traders – learn how to convert the Net Change indicator into a strategy utilizing the FundValue functionality. If you wanted to find out how to merge multiple time frames into a single indicator, you are in luck! Create a MTF indicator for yourself.
Day Trading (DT) – This is a surprise installment in my Easing into EasyLanguage Series, as I had only intended on three books. However, I think it will fit well with the other books. Daytrading is a very popular approach as overnight risk is eliminated. Don’t worry there is plenty of risk during the day too! However, it can be very difficult to accurately program a trading idea on higher resolution data such as five- or one-minute bars. Like my other books, there is no “Holy Grail” included. And if you are looking for a book that gets in and out of a trade in a few seconds, this is not the one for you. I discourage trading more than a handful of trades per day – this is best left up to the professionals. But, if you want to learn about volatility-based break outs, pyramiding, scaling out, zone-based trading, accurate trade accounting and having a peek at algorithms that once ruled the systematic daytrading industry, then this is the book for you. A beginner might have a little difficulty in following along with the tutorials. If you have read the first two books (Foundation and Hi-Res) in this series, you are good to go. Or if you have some experience working with EasyLanguage and minute data, you will be OK as well.
Pick up your copies today – e-Book or paperback format – at Amazon.com