Backing Up Source With AutoIt

March 27, 2014 George Pruitt Leave a comment

I have never liked how TradeStation bundles all of “our” source code in a library. I have always copied my source code into a notepad text file as a back up. Not only does this back up your source you can actually look at it without launching the EL editor. The only drawback is having to copy to notepad and then save it. I recently came across a very powerful window’s automation software called AutoIt. With this FREE software you can automate a ton of mundane daily tasks. I have created a script that runs in the background and when you compose a new Analysis Technique and hit the F7 function key it will copy the contents of the current window to a notepad text file and then all you do is save it. With this script you should never say I wished I had back up my source outside of the TradeStation realm.

Goto http://www.autoitscript.com and download the program. Here is the code for the macro/script:




#include <FileConstants.au3>
#include <MsgBoxConstants.au3>
#include <StringConstants.au3>

 

HotKeySet("{F7}", "copyELD")
HotKeySet("{F8}", "terminate")

 

Func copyELD()
$window_title = WinGetTitle("[active]")
WinActivate($window_title)
Send("{CTRLDOWN}a{CTRLUP}{CTRLDOWN}c{CTRLUP}{down}")
$variable_fromclipboard = ClipGet()
Run("notepad.exe")
WinWaitActive("Untitled - Notepad")
Send("//")
Send($window_title)
; Send($variable_fromclipboard)
Send("{CTRLDOWN}v{CTRLUP}{down}")
MsgBox(0, "The text was pasted ok", "Yep can see it")

Local Const $sMessage = "Choose a filename."
; Local $sFileSaveDialog = FileSaveDialog($sMessage, "::{450D8FBA-AD25-11D0-98A8-0800361B1103}", "ELD Text (*.txt)", $FD_PATHMUSTEXIST)
; MsgBox($MB_SYSTEMMODAL, "", "You saved the following file:" & @CRLF & $sFileSaveDialog)
Send("{CTRLDOWN}s{CTRLUP}{down}")
Send("{CTRLDOWN}x{CTRLUP}{down}")
endFunc
Func terminate()
Exit
endFunc
While 1
Sleep(10)
Wend

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Welles Wilder’s smoothing = XAVG(PeriodLen*2-1)

March 18, 2014 George Pruitt Leave a comment

I was referred to a very excellent blog http://etfhq.com/ and wanted to confirm that Welles Wilder’s trick (ease of calculating) smoothing algorithm was indeed equivalent to an exponential moving average but twice the length – 1. This blog by Derry Brown is worth taking a look at.

Here is my TS code for verify the length difference between WellesSmooth and Exp. Smooth:

{Test for equivelance}


if currentBar = 1 then

begin

value1 = average(c,14);

end;
if currentBar > 1 then

begin

value1 = (13*value1+c)/14; //Wells Wilder Smoothing

end;

plot1(value1,"WSMA",red); plot2(xaverage(c,14),"XMA",blue); plot3(xaverage(c,27),"2X-1XMA",green);

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Having Data Problems – Clear Cache

February 10, 2014 George Pruitt Leave a comment

Don’t forget to periodically delete the Cache folder inside TS 9.x. Remember this is inside C:\Program Files\TradeStation 9.1\Program…

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Volatility Break Out Day Trader

December 31, 2013 George Pruitt Leave a comment

Here is a nice template to use when testing a volatility break out system to daytade. Note I haven’t yet finished the filter coding.

{OPEN RANGE BREAK OUT with Trade Management}
{:data1 = 5 minbars
 :data2 = daily bars}
 
inputs: atrLookBack(10),brkOutAmt(.20),initProtStop$(500),profitThresh$(300),percentTrail(0.3),waitNumBars(3),endTradeEntryTime(1430);
inputs: tradeFilterNum(1);
{tradeFilterNum indicates how you want to 
 filter the trades:
 filter #1 : prior day was a narrow range
 filter #2 : prior day was a NR4
 filter #3 : buy/sell day only base on today's open
 filter #4 : combo of filter #1 and filter #3
 filter #5 : combo of filter #2 and filter #3 
 }


vars: buysToday(0),sellsToday(0),atrVal(0),todaysOpen(0),canBuy(false),canSell(false);
vars: trailLong(false),trailShort(false),trailLongStop(0),trailShortStop(999999);
vars: myBuysToday(0),mySellsToday(0);
if tradeFilterNum = 1 then
begin
	canBuy = false;
	canSell = false;
	if range of data2 < avgTrueRange(atrLookBack) of data2 and time < endTradeEntryTime then
	begin
		canBuy = true;
		canSell = true;
	end;
end; 

if date <> date[1] then
begin
	todaysOpen = open; {Capture Today's Open}
	trailLongStop = 0;
	trailShortStop = 9999999;
	myBuysToday = 0;
	mySellsToday = 0;
end;

if marketPosition = 1 then myBuysToday = 1;
if marketPosition = -1 then mySellsToday = -1;

atrVal = avgTrueRange(atrLookBack) of data2;

if  canBuy and myBuysToday = 0 and marketPosition <> 1 then buy("BBO") next bar at todaysOpen + atrVal * brkOutAmt stop;
if canSell and mySellsToday = 0 and marketPosition <>-1 then sellshort("SBO") next bar at todaysOpen - atrVal *brkOutAmt stop;

if marketPosition <> 1 then trailLong = false;
if marketPosition <> -1 then trailShort = false;

if marketPosition = 1 then
begin
	sell("LongExit") next bar at entryPrice - initProtStop$/bigPointValue stop;
	if h > entryPrice + profitThresh$/bigPointValue then trailLong = true;
	if trailLong then
	begin
		trailLongStop = maxList(trailLongStop,h - (h - entryPrice)*percentTrail);
		sell("LongTrail") next bar at trailLongStop stop;
	end;
end;

if marketPosition = -1 then
begin
	buyToCover("ShrtExit") next bar at entryPrice + initProtStop$/bigPointValue stop;
	if l < entryPrice - profitThresh$/bigPointValue then trailShort = true;
	if trailShort then
	begin
		trailShortStop = minList(trailShortStop,l + (entryPrice - l)*percentTrail);
		buyToCover("ShortTrail") next bar at trailShortStop stop;
	end;
end;

setExitOnClose;

{finished}

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Zone Analysis System

Gallery November 20, 2013 George Pruitt Leave a comment

I posted some research on zone analysis at www.futurestruth/wordpress.com. Based on this research I created a very simple system framework. Here is some trade examples and performance results for the past four years.


//Zone Program by George Pruitt 
// Buy when market opens in zone 1 and dips into zone 3
// Sell when market opens in zone 4 and rises into zone 2

vars: myZone1B(0),myZone2T(0),myZone2B(0),myZone3T(0),myZone3B(0),myzone4T(0);
vars:oz1cz1(0),oz1cz2(0),oz1cz3(0),oz1cz4(0);
vars:oz2cz1(0),oz2cz2(0),oz2cz3(0),oz2cz4(0);
vars:oz3cz1(0),oz3cz2(0),oz3cz3(0),oz3cz4(0);
vars:oz4cz1(0),oz4cz2(0),oz4cz3(0),oz4cz4(0);

vars:myBarCount(0),buysToday(0),sellsToday(0);

inputs: profitAmt$(1000),riskAmt$(500),stopEntryTime(1300);
if date <> date[1] then
begin
	buysToday = 0;
	sellsToday = 0;
	myBarCount = 1;
end;

if(marketPosition = 1) then buysToday = 1;
if(marketPosition =-1) then sellsToday = 1;
	
if date<> date[1] then myBarCount = myBarCount + 1;
myZone1B = highD(1) + minMove/PriceScale;
myZone2T = highD(1);
myZone2B = (highD(1) + lowD(1))/2 + minMove/PriceScale;
myZone3T = (highD(1) + lowD(1))/2;
myZone3B = lowD(1); 
myZone4T = lowD(1) - minMove/PriceScale;


//if openD(0) > myZone1B and low > myZone1B and myBarCount > 1 and sellsToday = 0 and time <> Sess1endtime then sellshort next bar at low stop;
//if openD(0) < myZone4T and high < myZone4T and myBarCount > 1 and buysToday = 0 and time <> Sess1endtime then buy next bar at high stop;

if openD(0) > myZone1B and low < myZone2B and myBarCount > 1 and buysToday = 0 and time < stopEntryTime then buy next bar at low limit;
if openD(0) < myZone4T and high > myZone3T and myBarCount > 1 and sellsToday = 0 and time < stopEntryTime then sellshort next bar at high limit;

myBarCount = myBarCount + 1;
//print(date," ",time," ",buysToday," ",openD(0) > myZone1B and low > myZone1B and myBarCount > 1 and buysToday = 0);
setProfitTarget(profitAmt$);
setStopLoss(riskAmt$);

setExitOnClose;

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Check out Futures Truth Blog

November 12, 2013 George Pruitt Leave a comment

Futures Truth has started a new blog. Check it out at www.futurestruth.wordpress.com.

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Download Link From John Wiley for BWSwTS 2nd Ed. Source Code

November 11, 2013 George Pruitt 1 Comment

I have had a few emails stating the link in the book wasn’t working correctly so here is the one I use and it seems to work fine. Please let me know if you have any problems. The password is in the back of the book.

http://www.wiley.com/WileyCDA/Section/id-813170.html

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King Keltner Source Code

Aside October 16, 2013 George Pruitt Leave a comment

Looking for a trend follower – give this one a try!

 [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((High + Low + Close)/3.0,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 Sell("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;

EasyLanguage Snippets

Pyramaniac

October 16, 2013 George Pruitt 2 Comments

Code to pyramid up to N contracts on a day trade basis.

input: maxSize(5),startTime(1000),endTime(1555);
var: stb(0),sts(0),tpAmt(0),lprft(0),sprft(0);


stb = High + minMove/priceScale;
sts = Low - minMove/priceScale;

print(date," ",time," ",stb," ",sts," ",currentShares);

	
if (time > startTime and time < endTime ) then
begin
	tpAmt = average(range,10);
    if(high>high[1]) then lprft = highD(0)+1*tpAmt;
	if(low < low[1]) then sprft = lowD(0) -1*tpAmt;
	if(currentShares < maxSize and c < average(c,9) and low < low[1] and close < close[1]) then buy("pyrabuy")next bar at sts limit;
	if(currentShares < maxSize and c < average(c,9) and high >high[1] and close > close[1]) then sellShort("pyrasell") next bar at stb limit;

end;

//if(currentShares >= maxSize and marketPosition = 1) then sell("longmaxliq") next bar sts stop;
//if(currentShares >= maxSize and marketPosition =-1) then buyToCover("shortmaxliq") next bar stb stop;
if(marketPosition = 1) then sell("longProf") next bar lprft limit;
if(marketPosition =-1) then buytoCover("shortProf") next bar at sprft limit;
setexitonclose;

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Final Version of Geo’s Turtle with Virtual Trading

October 2, 2013 George Pruitt Leave a comment

Final version posted below. A little advanced but if you can follow and make sense of it then you are well along on becoming an EasyLanguage programmer.

inputs: absEntryChanLen(55),entryChanlen(20),exitChanLen(10),
	lastTradeLoserFilter(false),accountSize(100000),riskPerTradePer(.01);

vars:lastTradeLoser(true),mp(0),virtmp(0),tradeProfit(0),
	virtBuyPrice(0),virtSellPrice(0),
	virtLongLiqPrice(0),virtShortLiqPrice(0),
	virtLongLoss(0),virtShortLoss(0),
	myFillPrice(0),N(0),N$(0),dollarRisk(0),lotSize(0),
	stopLoss(0),buyPrice(0),sellPrice(0),
	hh20(0),hh55(0),ll20(0),ll55(0),iCnt(0),initPrice(0),stopLossPts(0),debug(false);

mp = marketPosition;

if mp = 0 then
begin
	N = AvgTrueRange(20); 
	N$ = N*BigPointValue;  
	dollarRisk = AccountSize * riskPerTradePer; 
	lotSize = IntPortion(DollarRisk/N$); 
	if lotSize < 1 then lotSize = 1;
	StopLoss = 2 * N$ * lotSize;
	StopLossPts = 2 * N * lotSize;
	hh20 = highest(high,entryChanLen);
	hh55 = highest(high,absEntryChanLen);
	ll20 = lowest(low,entryChanLen);
	ll55 = lowest(low,absEntryChanLen);
end;
 
If mp <> 1 and mp[1] = 1 then
Begin
	tradeProfit = ExitPrice(1) - EntryPrice(1);
	lastTradeLoser = true;
	If tradeProfit > 0 then lastTradeLoser = false;	
	if debug then 
		print(date," Long Trader ",tradeProfit*bigPointValue," ",lastTradeLoser,
		" ExitPrice ",ExitPrice(1):6:6," entryPrice ",entryPrice(1):6:6);
end;
If mp <> -1 and mp[1] = -1 then
Begin
	tradeProfit = EntryPrice(1) - ExitPrice(1);
	lastTradeLoser = true;
	If tradeProfit > 0 then lastTradeLoser = false;
	if debug then
		print(date," **** Short Trader ",tradeProfit*bigPointValue," ",lastTradeLoser,
		" mp ",mp," ",mp[1]);	
end;

If lastTradeLoserFilter = False then lastTradeLoser = True;

If lastTradeLoser = False then
Begin
	if debug then
		print(date," In Virtual Section And VirtTmp = ",virTmp); 
	If(virtmp = 1) then
	Begin
	    virtLongLiqPrice = maxList(lowest(low[1],exitChanLen),virtLongLoss);
		if(virtualLongExit(virtLongLiqPrice,1,myFillPrice) =1) then
		Begin
			tradeProfit = myFillPrice - virtBuyPrice;  
			If tradeProfit < 0 then lastTradeLoser = true; 
			virtmp = 0;
			if debug then print(" Long Exit @ ",myFillPrice);
		end;	
	end;		
	If(virtmp = -1) then
	Begin
		virtShortLiqPrice = minList(highest(high[1],exitChanLen),virtShortLoss);
		if(virtualShortExit(highest(high[1],exitChanLen),1,myFillPrice) =1) then
		Begin
			tradeProfit = virtSellPrice - myFillPrice;
			If tradeProfit < 0 then lastTradeLoser = true;
			virtmp = 0;
			if debug then print(" ShortExit @ ",myFillPrice);
		end;
	end;		
	if(virtualBuy(highest(high[1],entryChanLen),1,myFillPrice) = 1) then
	Begin
		if virtmp <> 1 then
		begin
			virtBuyPrice = myFillPrice;
			virtLongLoss = myFillPrice - 2*N;
			virtmp = 1;
			tradeProfit = 0;
			If virtmp[1] = -1 then tradeProfit = virtSellPrice - virtBuyPrice;
			If tradeProfit < 0 then lastTradeLoser = true;
			if debug then print(" Long @ ",myFillPrice);
		end;
	end;
	if(virtualSell(lowest(low[1],entryChanLen),1,myFillPrice) = 1) then
	Begin
		if virtmp <> -1 then
		begin
			virtsellPrice = myFillPrice;
			virtShortLoss = myFillPrice + 2*N;
			virtmp = -1;
			tradeProfit = 0;
			If virtmp[1] = 1 then tradeProfit =  virtBuyPrice - virtSellPrice;
			If tradeProfit < 0 then lastTradeLoser = true;
			if debug then print(" Short @ ",myFillPrice);
		end;
	end;
	if debug then print("End of Virtual Module : virTmp = ",virTmp);
end;
 			
for iCnt = 0 to 3
begin
	if lastTradeLoser then
	begin
		if mp <> -1 and currentContracts = iCnt * lotSize then
		begin
			buyPrice = hh20 + iCnt * N/2;
		end;
		if mp <> 1 and currentContracts = iCnt * lotSize then
		begin	
			sellPrice = ll20 - iCnt * N/2;
		end;
		virTmp = 0;		
	end;
	
	if lastTradeLoser = false then
	begin
		if mp <> -1 and currentContracts = iCnt * lotSize then
		begin
			buyPrice = hh55 + iCnt * N/2;
		end;
		if mp <> 1 and currentContracts = iCnt * lotSize then
		begin	
			sellPrice = ll55 - iCnt * N/2; 
		end;
//		virTmp = 0;
	end;				
end;

if lastTradeLoser then 
begin
	if currentContracts < 4 * lotsize then Buy ("Turtle20Buy") lotSize contracts next bar at buyPrice stop;
	if currentContracts < 4 * lotsize then Sellshort ("Turtle20Sell") lotsize contracts next bar at sellPrice stop;
	if currentContracts < 4 * lotsize and debug then print(date," 20sellPrice ",sellPrice:6:6," ",currentContracts);
end;

if lastTradeLoser = false then
begin
	if currentContracts < 4 * lotsize then Buy ("Turtle55Buy") lotSize contracts next bar at buyPrice stop;
	if currentContracts < 4 * lotsize then Sellshort ("Turtle55Sell") lotsize contracts next bar at sellPrice stop;
	if debug then print(date," ",iCnt," 55sellPrice ",sellPrice:6:6);
end;

If mp = 1 then Sell ("TurtleLExit") next bar at lowest(low,exitChanLen) stop;
If mp = -1 then BuyToCover("TurtleSExit") next bar at highest(high,exitChanLen) stop;

If mp = 1 then Sell ("TurtleLExit2N") next bar at entryPrice - stopLossPts stop;
If mp = -1 then BuyToCover("TurtleSExit2N") next bar at entryPrice + stopLossPts stop;

Backtesting with [Trade Station,Python,AmiBroker, Excel]. Intended for informational and educational purposes only!