I've been experimenting with a simple breakout system based on Elders Triple Screen method.
Filtering the daily-bar based entries by going up one time-frame to weekly-bars is effective in weeding-out some whip-saws and bad trades. Elder recommends the uptick or downtick of MACD but I have found DMI to work well also. The point here is simply to determine the longer-term trend and only enter the market in that direction. This is nothing new.
Unfortunantly, some good trades are sacrificed, but working from a pool of 15 markets or so I'm getting decent results on past data without optimizing parameters. I'm attempting to catch trends that are from 2-3 weeks to 2-3 months in length.
The main problem I'm having is with the "timelyness" of the weekly bars. If I get an entry signal on Wednesday for instance, it's filtered by last weeks weekly-bar which ended last Friday. So there's a couple of days mkt. activity not accounted for in my weekly filter.
What I'd like to do is use a "continuous" weekly bar that ends the previous day and includes the last five trading days, and goes back from there, allowing for back-testing.
Would anyone have an idea of how to program Tradestation to create these type of bars, or know of a platform that can do it? I've been rackin my brain over this and I cant find a solution.
Any help would be greatly appreciated.
You can use the arrays in TS2k and do just that, I have. I do not have any exposure to TS6, don't know if it can be done there. TS4 did not have arrays.