Example Trading System

LoosenUp · Jul 10, 2005

Quote from dougcs:

Input: EndBOTime(10), StartTradBars(1), XDayofWk(1), admin(0.00), hys(0.00), TrinLimit(0.00), MaxSDBORange(2.00), datanum(99), XTime(120);

var: hi(0), lo(0), btime(0), trin(0), stime(0), lx(0), sx(0), borange(0), tcount(0), fricount(0), goshort(false);
var: x1(0), sumx(0), sumy(0), sumxy(0), ix(0), in(0), top1(0), btm1(0), var1(0), sd(0), xt(0), permission(true), golong(false);
array: bkoutrange[1000](0);

DefineDLLFunc: "PUSHPOP.DLL", DOUBLE, "POP", LONG, LONG, LONG;

value1=pop(datanum,date,time);
trin = c data2;

if currentbar = 1 then begin
permission=true;
golong = false;
goshort=false;
btime = calctime(0830, endbotime*barinterval);
stime = calctime(btime, starttradbars*barinterval);
xt = calctime(btime, xtime);
end;

if date>date[1] then begin
permission = true;
hi=h;lo=l;
end;

if time <=btime then begin
hi = maxlist(hi,high);
lo = minlist(lo,low);
lx = (hi+lo)/2;
end;

condition0 = dayofweek(date)<>xdayofwk and borange<=maxsdborange and time>=stime and marketposition=0 and time>=btime and time <=1430 and permission;

if condition0 then begin
condition2= ((trin<1-trinlimit and value1>admin) or value1>0.05);
if condition2 then buy 500 shares next bar at hi + hys stop;

condition3 = trin>1 + trinlimit and value1<-admin;
if condition3 then sell short 500 shares next bar at lo - hys stop;
end;

if marketposition<>0 then begin
permission=false;
sell next bar at lo - hys stop;
buy to cover next bar at hi + hys stop;
end;

if barstoclose<=1 then begin
sell this bar at the close;
buy to cover this bar at the close;
end;

I use the pushpop dll to feed ADV/(ADV+DEC) -0.5 data to this as well as other studies I trade. So to set up your chart, use 15 minutes using IWM as data1 (I trade it and ER2 depending on various portfolio factors but I've found they are fairly interchangeable. ) You would need $TRINQ as data2, $ADVQ as data3 and $DECLQ as data 4. You would then substitute value1= (c data3/(c data3 + c data4))-0.5 for the "POP" statement.

DS
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Hi dougcs,

Thanks for the code but I am using TS8.1 which has slightly different version of Easylanguage I think. Is it possible for you to change the above to a format suitable for TS8.1? And, if possible, can you please change the instrument to ER2, as I would be more familiar with that instrument and also possible for me to compare with Sidinuk's system.

Thanks a lot.

vladmo · Jul 10, 2005

Is it possible to get code for WealthLab somewhere?
Thanks.

sunnyskies · Jul 10, 2005

sid. again, could you please post equity curves for all instruments traded?

sulong · Jul 10, 2005

Quote from sunnyskies:

sid. again, could you please post equity curves for all instruments traded?
More...

Sunny,
You can find it here
http://elitetrader.com/vb/showthread.php?threadid=44092

Trend Fader · Jul 10, 2005

How did the author of the website actually get the statistical data.. did he manually go over each day ? What computer programs can provide the stastical data he used?

sidinuk · Jul 11, 2005

Trend Fader, I wrote a VBA routine in Excel to analyse 1 minute OHLC data to backtest the ideas in the article.

toby · Jul 11, 2005

Quote from sidinuk:

Trend Fader, I wrote a VBA routine in Excel to analyse 1 minute OHLC data to backtest the ideas in the article.
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What is VBA routine??

Phil2K · Jul 11, 2005

VBA means Visual Basic for Applications. It's the internal programming language of Microsoft's Excel package. Check msdn.microsoft.com for further details.

toby · Jul 11, 2005

Quote from Phil2K:

VBA means Visual Basic for Applications. It's the internal programming language of Microsoft's Excel package. Check msdn.microsoft.com for further details.
More...

Thanks Phil2K...

Hombre · Jul 11, 2005

Quote from dougcs:

Input: EndBOTime(10), StartTradBars(1), XDayofWk(1), admin(0.00), hys(0.00), TrinLimit(0.00), MaxSDBORange(2.00), datanum(99), XTime(120);

var: hi(0), lo(0), btime(0), trin(0), stime(0), lx(0), sx(0), borange(0), tcount(0), fricount(0), goshort(false);
var: x1(0), sumx(0), sumy(0), sumxy(0), ix(0), in(0), top1(0), btm1(0), var1(0), sd(0), xt(0), permission(true), golong(false);
array: bkoutrange[1000](0);

DefineDLLFunc: "PUSHPOP.DLL", DOUBLE, "POP", LONG, LONG, LONG;

value1=pop(datanum,date,time);
trin = c data2;

if currentbar = 1 then begin
permission=true;
golong = false;
goshort=false;
btime = calctime(0830, endbotime*barinterval);
stime = calctime(btime, starttradbars*barinterval);
xt = calctime(btime, xtime);
end;

if date>date[1] then begin
permission = true;
hi=h;lo=l;
end;

if time <=btime then begin
hi = maxlist(hi,high);
lo = minlist(lo,low);
lx = (hi+lo)/2;
end;

condition0 = dayofweek(date)<>xdayofwk and borange<=maxsdborange and time>=stime and marketposition=0 and time>=btime and time <=1430 and permission;

if condition0 then begin
condition2= ((trin<1-trinlimit and value1>admin) or value1>0.05);
if condition2 then buy 500 shares next bar at hi + hys stop;

condition3 = trin>1 + trinlimit and value1<-admin;
if condition3 then sell short 500 shares next bar at lo - hys stop;
end;

if marketposition<>0 then begin
permission=false;
sell next bar at lo - hys stop;
buy to cover next bar at hi + hys stop;
end;

if barstoclose<=1 then begin
sell this bar at the close;
buy to cover this bar at the close;
end;

I use the pushpop dll to feed ADV/(ADV+DEC) -0.5 data to this as well as other studies I trade. So to set up your chart, use 15 minutes using IWM as data1 (I trade it and ER2 depending on various portfolio factors but I've found they are fairly interchangeable. ) You would need $TRINQ as data2, $ADVQ as data3 and $DECLQ as data 4. You would then substitute value1= (c data3/(c data3 + c data4))-0.5 for the "POP" statement.

DS
More...

Would you or someone else translate this code to plain english rules for us, computer language challenged?
Thanks,
hombre