Tradestation 8.1 (build 3066)

[JTrader]

Hi

does a profit factor of 2 (calculated by dividing the Gross Profits by the Gross Losses) equate to a 2:1 risk:reward ration? or should that be a 1:2 risk:reward ratio, or 2:1 reward:risk ratio?

Thanks again.

 

[ronfalcone]

risk/reward

my understanding is:

if profit objective is, say, 20 points, and maximum drawdown allowed, 10 points, you've got a risk:reward ratio of 2:1. Of course, it's all relative as 'objectives' and reality, are more often than not, two different animals or better said, outcomes.

BTW, I am seriously thinking about opening a TS account as I will be trading e-minis exclusively and require overlay of stochastics and other indicators on price bars.

It's amazing how many charting packages *don't* allow such overlays and when one questions the so-called techies about this, they draw a blank and promise "I'll get back to you." Such was the oft repeated case with Prophet.net---useless in my unprofessional opinion.

Good luck with risk/rewards, and TS.

Ron

 

[TWI]

BTW, I am seriously thinking about opening a TS account as I will be trading e-minis exclusively and require overlay of stochastics and other indicators on price bars.

If you are only trading e-mini then the TS automation works really quite well. I have run a system 24hrs/day for over 18 months on e-mini 5min charts and I have had very few issues with it. If you wish to enter manually then you can use a matrix which shows you market depth on a ladder and allows you to click trade to lift/hit/place limit or stop order, very easy and nice to use.

 

[ronfalcone]

e-mini automation

If you are only trading e-mini then the TS automation works really quite well. I have run a system 24hrs/day for over 18 months on e-mini 5min charts and I have had very few issues with it. If you wish to enter manually then you can use a matrix which shows you market depth on a ladder and allows you to click trade to lift/hit/place limit or stop order, very easy and nice to use.

As I will be trading a divergence type system which will require a certain amount of discretion, I'm not sure I will be looking to (or able) to automate.

Overall, though, do you find the TS platform really user-friendly? So far, I've been trying to take in as many of the tutorials as available, and it does seem pretty straightforward. Some of the features are really neat, such as pre-determined limit orders (buying one tick above the bid, splitting the bid/ask, etc.). I guess it will take some getting used to.

Ron

 

[JTrader]

ronfalcone - Overall, though, do you find the TS platform really user-friendly? So far, I've been trying to take in as many of the tutorials as available, and it does seem pretty straightforward. Some of the features are really neat, such as pre-determined limit orders (buying one tick above the bid, splitting the bid/ask, etc.). I guess it will take some getting used to.

WIth my limited experience of TS8.1, so far I have found everything within the platform to be logical. Readsing through the help files once or twice, although quite boring, is really helpful to lay the foundations with. It will take a bit of getting used to as their is a lot to take in. As with most things I find that once you know how to do one thing, that knowledge remains with you, becomes second nature, and you can learn how to do something else.

 

[JTrader]

Intrabar order generation, timing of visual flag signals on chart and audible signals

Hi


With the strategies that are built into TS8.1, only a few enable you to select "enable intrabar order generation and calculation" within, "format strategy", calculation. With these type of strategies, does a live chart display the trade alert arrow at the exact moment when the strategy criteria has been met[?] i.e. after 5min 30sec of a 10-minute bar[?]

Most strategies seem to generate the order and calculation at the close of bar/open of next bar price, not allowing you to select "enable intrabar order generation and calculation" within, "format strategy", calculation. With these types of strategies does a live chart display the trade alert arrow at the exact moment when the strategy criteria has been met[?] or is the entry or exit arrow only displayed on the live chart at the close of the bar[?]

When backtesting, the chart exit signals show the trade exit strategies being triggered at the right prices to match the set input values for the exit strategies. However, I'm just thinking that if trading live, you may not have been able to exit the trades at the exact price that met the strategies entry or exit criteria, as the actual audio or visual signal will not be displayed until the end of the bar, thus resulting in probable slippage.

Although trading mechanical strategies, i do not intend to fully automate my trading incidentally.

When automating trades with the brokerage service using the inbuilt strategies that do not "enable intrabar order generation and calculation" within, "format strategy", calculation, is it the case that at the exact moment that the strategy trade criteria is met on the chart, the trade order is sent to the broker/market, but you will not get a visual or audio alert on the chart until the close of the bar? How does this area of functionality work?

Many thanks

(ps, I did ask Support these questions, in the hope of getting definitive answers, but they did not seem very sure of the answers)

 

[TWI]

The enable intrabar stuff is for accurate back testing you do not need to enable it to automate your strategy. When you run realtime you will generate orders at the precise time they occur and you do not need to wait until the next bar. In the code you may have stipulated buy/sell "next bar at" uin which case his is what the strat will do but for limits and stops the price is set and so executed. for e-mini allow 1tick slip on most orders.

ronfalcone - I do find it a very nice platform to use and prefer it to anything else I have (CQG & esignal) it is just a shame that the customer support is so bad.

 

[garethb]

(ps, I did ask Support these questions, in the hope of getting definitive answers, but they did not seem very sure of the answers)

LOL

 

[JTrader]

Hi Gareth,

it does say a lot doesn't it.

 

[JTrader]

Thanks twalker

if automated exits etc. are executed at the precise moment that the conditions are met for limit exits, trailing exits etc., does the chart also display the exit flag at the exact moment that the limit exits criteria was met?

Thinking about it, I can see how some strategies will only give a trade signal at the close of bar/next bar, as their code has been written to do this. However, the Support chap was saying that although an automated strategy order will execute at the exact moment conditions are met within a bar, thje signalling flag will not be placed on the chart until the close of the bar. Thus if you were not fully automating your strategy, you would not be aware of the exit until you saw the flag at the end of the bar..................I cannot understand why TS would enable automated trades to execute at the precise moment, but then would not place the alert flag on the chart at the same exact moment. I have not yet seen an alert appear on a chart in real-time, to be able to tell if it is at the exact moment, or at the close of the bar. Perhaps the support chap was misinformed?

Cheers.

 

[ZDO]

intrabar, etc.

jtrader,

Knowing what I know of you and your direction, I would encourage you to go ahead and bite the bullet and apply ADE (and related objects) to your work. It’ll steepen your initial learning curve significantly, but will in the long run obviate all of you ‘time of’ signal, alert, etc issues, plus do a lot more for you.

For learning the language, head straight to the stickies in the Strategy Trading forum. Get to know that archive so well you know where to get reusable snippets for almost anything so that you almost never have to write code from scratch… for example, there are several good 'divergence' bases already built that you could enhance and tweak to fit your specific wants.

Just a suggestion - For learning the platform, learn only what you need instead of getting a comprehensive knowledge of the whole platform then add to that by researching learning only when you come to 'I wonder if it will do _____' or 'What are ways for me to handle _____' questions. ... ie being a TS expert will not make you a better trader.

All the best,

zdo

 

[JTrader]

ZDO - Knowing what I know of you and your direction, I would encourage you to go ahead and bite the bullet and apply ADE (and related objects) to your work. It’ll steepen your initial learning curve significantly, but will in the long run obviate all of you ‘time of’ signal, alert, etc issues, plus do a lot more for you.

Thanks ZDO

What do you mean by "apply ADE (and related objects) to your work"?

Cheers

jtrader.

 

[ZDO]

jtrader

re:

Thanks ZDO

What do you mean by "apply ADE (and related objects) to your work"?

Cheers

jtrader.

From the documentation for it
“ADE is a set of EasyLanguage functions and indicators that allow you to store any kind of data for any symbol and bar interval. You can then access that data from any study or strategy, regardless of the symbol or bar interval.

One powerful use for ADE is to store higher timeframe data for a symbol and then access that data from a lower timeframe. For example, you can calculate and store ADX and RSI for a 30 minute chart, and then you can access that data from a 5 minute chart. … uses
ELCollections library …”

Uses collections, ie it’s ‘almost a database’

In Forum Search keywords ‘All Data Everywhere’ ‘ade’ ‘ELCollections’, 'Collections for EasyLanguage' etc.

hth

zdo

 

[JTrader]

Hi

I do not think that tradestation securities enable a trailing stop loss for brokerage clients/mechanical traders.

I have seen a normal stoploss, a percent trailing (from maximum high) exit, a $ trailing (from maximum high ) exit, but nothing like a trailing stop loss that perhaps is a stop-loss and then becomes a trailing stop loss as the trade moves into profit.

Perhaps it's possible to design such a thing in easy language, but because TS securities do not enable a traling stop, they do not make one available. But for clients who place their trades elsewhere with another broker, I would find a trailing stop loss to be of value to use in my strategies & charts.

However, I'm just wondering if one exists in TS8.1 easy language strategies?

(ps. So far it seems that I'm better off asking questions like this on T2W than on TSW, or by asking TS technical support!)

Cheers
jtrader.

 

[Directional]

it should be easy to code one up in EL depending on what you want to do, based on parabolic SAR for example, or just a simple:

if position = 1 then sell low of previous bar + 2 ticks stop sort of thing

If you search the TSW forums and think your keywords through, someone has always asked the same or a similar question before and you can usually pick up some readywritten EL from someone else posts with just a little careful searching. The TS forums contain a wealth of EL strat components, they are exceptionally good in that regard.

 

[JTrader]

Hi

the TS8.1 "dollar trailing LX/SX" does half the job of a trailing stop-loss that I want.

"it allows you to indicate how much of the maximum open position profit you are willing to give back before the position is automatically closed out. The dollar amount of profit per share or per position you are willing to risk is subtracted from the maximum profit and the trailing stop is placed at that point.

For example, assume that a dollar risk-trailing stop is placed for $100. A protective stop would be placed for the maximum profit minus $100. If the amount you are willing to risk is greater than the maximum open position profit, this trailing stop does not take affect. Consequently, this strategy only locks in profits; it does not exit losing positions.

This strategy will only generate an exit on a long position. "

I will try and code a trailing SL (or find something that someone else has coded) that trails a profit and locks in profits, and also acts as a stop-loss.

Thanks
jtrader.

 

[JTrader]

Hi

The inbuilt _Stops & Targets (Strategy) seems to do what i want and more.

Thanks

jtrader.

Usage
Exit (from long and short positions) that may be based on a single condition or any combination of conditions.

Description
_Stops and Targets will generate exit orders based on any combination of the following types of exits: profit target, stop loss, breakeven stop, dollar trailing stop, percent trailing stop, and exit at the end of the day. Entering 0 for any of the inputs will cause the strategy to ignore that stop/target.

ProfitTargetAmt is the profit target setting (in dollars) at which your position will automatically be closed out. If the indicated amount is never reached, the stop will not be triggered.

The StopLossAmt setting indicates the maximum amount of money you are willing to risk on any trade.

The BreakevenFloorAmt indicates the amount of profit that when exceeded, will trigger a breakeven stop order at a value of the entry price plus the commission specified. For more information on adjusting a strategy for costs, refer to Adjusting a Strategy for Costs.

The DollarTrailingAmt setting allows you to indicate how much of the maximum open position profit you are willing to give back before the position is automatically closed out. This setting can only be used to lock in profits; it does not exit a losing position.

The Percent Risk Trailing settings (PctTrailingFloorAmt and PctTrailingPct) enable you to indicate what percent of the maximum open position profit you are willing to give back before the position is automatically closed out. PctTrailingFloorAmt indicates the minimum profit level (in dollars) to reach before the stop will take effect. PctTrailingPct is the percentage of profit you are willing to lose. If the maximum open position profit for the trade does not exceed the floor level, this trailing stop does not take effect. Consequently, this setting only locks in profits; it does not exit a position if the floor level is never reached.

When ExitonClose is True, any open position will be closed at the close of the trading day. This is a useful setting when backtesting trading situations that do not hold any positions overnight. In automated execution, the ExitonClose setting will not close positions at the end of the day. It will give you the option of sending the order into the extended session as a limit order.

Order Name: Profit Target, Money Mngmt Stop, BreakEven Stop, $ Trailing Stop, % Trailing Stop, Sell, Cover

This general purpose exit strategy is also convenient for use with the other single-
position "discretionary" strategies. It makes available standard versions of all of
TradeStation's built-in stops and profit targets in one convenient grouping.

This strategy is preferred over the _StpOrLim Ex strategy when a stop or profit
target is based on a price differential from the entry price instead of a
predetermined price point. It also provides more choices - in addition to a simple
stop and profit target, it also provides a breakeven stop, 2 trailing stops, and an
end-of-day exit. All these exits will always exit the entire position, and will
always apply to both long and short positions.

The IntrabarOrderGeneration attribute is set to false in this strategy because the
strategy is purely a "wrapper" for built-in stop reserved words, like SetStopLoss,
which evaluate intrabar even when intrabar order generation is disabled. Disabling
intrabar order generation in this case prevents unnecessary computer processing.
}

[IntrabarOrderGeneration = false]
inputs:
ShareOrPosition( 1 ), { pass in 1 for per share basis, 2 for position basis }
ProfitTargetAmt( 5 ), { pass in 0 if you don't want a profit target }
StopLossAmt( 1 ), { pass in 0 if you don't want a stop loss }
BreakevenFloorAmt( 0 ), { pass in 0 if you don't want a breakeven stop }
DollarTrailingAmt( 0 ), { pass in 0 if you don't want a dollar trailing stop }
PctTrailingFloorAmt( 0 ), { pass in 0 here and/or in next input if you don't want
a percent trailing stop }
PctTrailingPct( 0 ), { pass in 0 here and/or in previous input if you don't want
a percent trailing stop; else pass in XX for XX percent }
ExitOnClose( false ) ; { pass in true if you want to exit the position at the
close of the day, else pass in false. CAUTION: We recommend that you set this to
TRUE only for back-testing, if at all; in automated execution, the exit order
will NOT be filled at the close of the day; instead, the order can be sent into
the extended session as a limit order. }

if ShareOrPosition = 1 then
SetStopShare
else
SetStopPosition ;

if ProfitTargetAmt > 0 then
SetProfitTarget( ProfitTargetAmt ) ;
if StopLossAmt > 0 then
SetStopLoss( StopLossAmt ) ;
if BreakevenFloorAmt > 0 then
SetBreakeven( BreakevenFloorAmt ) ;
if DollarTrailingAmt > 0 then
SetDollarTrailing( DollarTrailingAmt ) ;
if PctTrailingFloorAmt > 0 and PctTrailingPct > 0 then
SetPercentTrailing( PctTrailingFloorAmt, PctTrailingPct ) ;
if ExitOnClose = true then
SetExitOnClose ;


{ ** Copyright (c) 2005 TradeStation Technologies, Inc. All rights reserved. **
** TradeStation reserves the right to modify or overwrite this strategy component
with each release. ** }

 

[JTrader]

indicators & strategy components value update settings

Hi

In TS8.1 I am wanting to set certain indicators, and/or certain indicator components within strategies to update their value/reading at custom set intervals.
At the moment, for indicators I can specify "update value intrabar, tick-by-tick". If I do not select this option, the price will only update at the close of the bar (eg. 1o minute bar on a 10 minute chart).
Currently for some strategies, I can "enable intrabar order generation and calculation. If I do not enable this, the strategy can only enter a trade after the close of a big bar (eg. 10 minute on a 10 minute chart).
I want to set indicators (such as RSI) so that they update more frequently than at the close of a big bar but less frequently than on a "tick-by-tick" basis. Lets say every two minutes within a 10-minute bar chart.
Lets also say that I have a strategy that uses RSI. I want the strategy to have intrabar order generation enabled, but I want the RSI values/readings that the strategy uses to again be only updated at set two minute intervals within a 10 minute bigger bar.

At tradestationworld, the code below has been proposed. Although I can add this code to an indicator and get it to verify, it does not do as I want it to in real-time. It makes no difference to the indicator as the indicator continues to only update at the close of the big bar, or on a tick-by-tick basis.

INPUTS: Interval_Minutes( 2) ;

VARIABLES: IntrabarPersist Next_Time (0) ;

if CurrentTime >= Next_Time then
begin
Next_Time = CurrentTime + Interval_Minutes ;

// calc Ur values here

end ;

Below is what my attempt to modify the RSI indicator looked like. This did not do as i intend.

inputs:
Price( Close),
Length( 14),
OverSold( 30),
OverBought( 70),
OverSColor( Cyan),
OverBColor( Red) ,
Interval_Minutes( 2) ;

variables: MyRSI( 0 ) ,
IntrabarPersist Next_Time (0) ;

MyRSI = RSI( Price, Length ) ;

Plot1( MyRSI, "RSI" ) ;
Plot2( OverBought, "OverBot" ) ;
Plot3( OverSold, "OverSld" ) ;

if CurrentTime >= Next_Time then
begin
Next_Time = CurrentTime + Interval_Minutes ;

// calc Ur values here

{ Color criteria }
if MyRSI > OverBought then
SetPlotColor( 1, OverBColor )
else if MyRSI < OverSold then
SetPlotColor( 1, OverSColor ) ;

{ Alert criteria }
if MyRSI crosses over OverSold then
Alert( "Indicator exiting oversold zone" )
else if MyRSI crosses under OverBought then
Alert( "Indicator exiting overbought zone" ) ;

end;

{ ** Copyright (c) 1991-2003 TradeStation Technologies, Inc. All rights reserved. **
** TradeStation reserves the right to modify or overwrite this analysis technique
with each release. ** }

Does anyone know how to achieve what I want to achieve:?:

Many thanks
jtrader.

 

[ZDO]

Does anyone know how to achieve what I want to achieve:?:

(for the 3rd time now ) ADE

zdo

 

[JTrader]

Thanks ZDO

it had occurred to me that that might be an option :idea:, but if possible, I'd perhaps like to find another solution rather than, or before entering a second minefield!

Another question about tradestation -

is it possible to have/has anyone ever had a strategy that looks good in thoery, but doesn't backtest well in tradestation. But because the strategy seemed to be based on such a sound trading idea from studying the charts, you decided to trade the strategy in real-time, and found that the real-time results obtained were MUCH better than the tradestation simulated backtesting results?

If so, why do you think this can happen?

Or, because tradestation backtesting results are always a fairly accurate depiction of how a strategy will do in the future, would this never happen?

Thanks again.

BTW - Tradestation support, both by telephone and at tradestationworld, is truly AWFUL, I repeat - AWFUL! I don't think that any company can call themselves "market leaders" when they have call hold times exceeding 30 minutes .