Trailing Stops in TS 2000i

Discussion in 'Strategy Building' started by Ryon, Oct 8, 2002.

  1. Ryon

    Ryon Guest

    i'm relatively new to strategy testing in TS 2000i so there may be an obvious answer to my question.... here is the deal: i've added a percent based trailing stop to my entries (didn't code it myself - it was included with the software). The trailing stop works great on historical data but when i run it live (through esignal) the trailing stop triggers few seconds after the entry at around break even...

    So for the day my results are always BE till about 5 minutes after the market closes when the trailing stop adjusts itself to where it should have been in the first place showing me a nice profit...

    So i'm not sure what i'm missing here... Like i said, i'm relatively new to this and would appreciate any help.

    thanks a lot.
  2. Group,
    Correct me if I’m wrong, but TradeStation 2000 is the same platform and has the same features as Tradestation 6 except that it has no real time access broker.

    Also I understand TS 2000 is what they use outside of America, and I’m located in Singapore.

    Can you enlighten me on the TS 2000, and where on your web site (I may have to find it in Singapore) is it mentioned.

    Lastly is the easy language coding exactly the same?

  3. Kymar


    There are several reasons why the built-in trailing stops (and other signals, too, for that matter) can work much differently on historical data than on "live" data - one typical reason having to do with backtesting resolution and bouncing ticks. IF (big if) you have clean, accurate tick-level historical data, you should first try running whatever testing you've done at tick-level resolutions. If you haven't been doing so, then you might be surprised at the differences in results: I've seen many great-looking systems turn into crap when judged in this way.

    Without knowing the specifics, and I do mean SPECIFICS, of your system and how you're trying to use it, I can't give you much else. One thing you can try, though, is to output critical values to an Excel file or conceivably to the log (I always found Excel easier to use) for some typical span of data. You may be surprised by the differences between what you thought, say, a given stop value "should" have been and what the system was actually relying on. Again, without knowing the specifics, I can't give you much more right here.

    As for myself, I completely abandoned using EL stops of any kind for day trading. I could imagine using them in some very limited capacity at some point, but currently have no plans along such lines. I also don't use 2000i for much of anything anymore (I use TS6 as part of a "discretionary" approach).
  4. Ryon

    Ryon Guest

    Thanks for the response Kymar! Very informative - Looks like i have a lot to learn...

    Re: accurate tick level data: the interesting thing about this is that the stops adjusted themselves about 5 minutes after the close while i was still connected to esignal... (I was writing down my trades from the "Strategy performance Report" - all of which were at break even - when suddenly the report changed and each trade showed a profit. So i have no clue as to what's going on here... (BTW, I compared those results with historical data - which i get through and they were pretty much the same) - so i guess my only problem is to make the trailing stop work in real time.

    Re: specifics of the strategy: I've been testing this on SPZ2 and the strategy is described in this month's S&C magazine (page 50, "Volatility Breakouts"). The trailing stop was added to this strategy afterwards (Not in EL but in the "TradeStation StrategyBuilder option). The point is that this trailing stop does not work with this or any other strategy in real time.

    Re. excel - all good points, thanks! I'll definitely need to verify all this data before going "live" :)

    thanks again for your help.
  5. Ryon

    Ryon Guest

    i'm probably the wrong person to answer your questions since i'm relatively new to this so: you may want to check out - it has a lot of good info on TS.

  6. Ryon

    Ryon Guest

  7. Kymar


    Again, without knowing time frames and other critical details, it's hard to say what's most likely happening. I have seen similar effects when I've run a strategy in real-time, tick-by-tick during the day on, say, 15-minute charts, then refreshed or re-opened the same charts: The indicated entries and exits magically jumped to different positions apparently based on "bouncing tick" presumptions and perhaps other factors rather than on the calculations that had occurred "intrabar" during the day.

    Yeah... there's a lot to learn about all this... backtesting and system applications sometimes turn out to be much more like blunt instruments than like the find surgical tools you might imagine.
  8. balda


    don't worry I'll test your system on a live account tomorrow.
  9. Janette Perez

    Janette Perez TradeStation Technologies


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    Vice President of Strategic Alliances
    TradeStation Technologies, Inc.