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?

KingKeltner Report

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!

Portfolio Report

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.

The Triple Moving Average Crossover System

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.

Trend following might be making a come back. It looks like we have had some very good trends in the currencies and grains. The financial have been trendy as well but with several phases of congestion. In this issue of George’s Corner in Futures Truth Magazine I am writing an article and providing the code for a simple moving average system that incorporates the VHF to help weed out congestive phases. Here is the code of the filter that was created by Tuschar Chande.

value1 = (highest(c,13) - lowest(c,13));

value2 = 0;

for iCnt = 0 to 13

begin

value2 = value2 + absValue(c[iCnt] - c[iCnt+1]);

end;

VHFValue = value1/value2;


	

Every wondered what your coulda, woulda, shoulda trades would produce in profits. I have created a new strategy where you can place your (B)uys, (S)ells, and e(X)its on the chart and the computer will assume the trades and do all the performance calcuations.

Check out the video.

This function isn’t built into TradeStation so I decided to create it. I am doing some testing with it and will reveal any worthwhile information.

inputs:
	BollingerPrice( NumericSeries ), { price to be used in calculation of the moving 
	 average;  this is also the price of which the standard deviation will be taken
	 for calculation of the upper and lower bands }
	Length( numericSimple ), { number of bars to be used in the moving average and standard
	 deviation calculations }
	NumDevsUp( numericSimple ), { number of standard deviations to be added to the moving
	 average to calculate the upper Bollinger band }
	NumDevsDn( numericSimple ); { number of standard deviations to be added to the
	 moving average to calculate the lower Bollinger band;  this input should be
	 negative if it is desired for the lower band to be at a price that is lower
	 than the moving average }
	

variables: Avg(0),SDev( 0 ),LowerBand( 0 ),UpperBand( 0 ),PercentB( 0 ),ScaledPercentB( 0 ) ;
	

Avg = AverageFC( BollingerPrice, Length ) ;
SDev = StandardDev( BollingerPrice, Length, 1 ) ;
UpperBand = Avg + NumDevsUp * SDev ;
LowerBand = Avg + NumDevsDn * SDev ;

if UpperBand <> LowerBand then
	BollingerB = ( BollingerPrice - LowerBand ) / ( UpperBand - LowerBand )
else
	BollingerB = 0;