Trailing Stops in TS 2000i

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

  1. Ryon

    Ryon Guest

    okay,
    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?

    Jeff
     
  3. Kymar

    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 Hisotrybank.com 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

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

    regards,
    ryon
     
  6. Ryon

    Ryon Guest

  7. Kymar

    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

    balda

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

    Janette Perez TradeStation Technologies

    Ryon,

    Here's a pretty complete list of the new features in TradeStation 6.

    TradeStation Network - Streaming Market Data
    TradeStation 6 includes fast, streaming data from the Nasdaq (including Level II), NYSE, AMEX and OPRA exchanges, delivered to you via the Internet. Non-professional exchange fees are included so there are no additional monthly exchange fees. Plus, the major futures exchanges—Chicago Board of Trade, Chicago Mercantile Exchange, Kansas City Board of Trade, Minneapolis Board of Trade, New York Board of Trade and the New York Mercantile Exchange (NYMEX, COMEX)—are also available as additional data services.

    Unlike traditional data services, TradeStation doesn't put any limitations on the number of symbols that you can use. That means you'll see every chart or trade updated on your screen in real time, without having to refresh your screen. All data is stored on secure servers and is designed to be delivered to you at remarkably fast speed—even on a 56k connection. TradeStation 6 even supports extended hours trading. So your Quotes, Level II and Time & Sales windows will update in real time with pre- and post-market trades.

    TradeStation Network - Centralized Historical Data
    Our extensive TradeStation Network is monitored for you 24 hours a day, 7 days a week. As it relates to historical data on demand, it includes historical price and volume information for virtually every stock and major index traded in the United States. You’ll have up to 30 years of historical daily data. In addition, subscribers to our real-time data service will also have access to intra-day data (minute and above) from November 2000 forward for stocks, and from February 14, 2001 forward for indexes. To help make your simulations as realistic as possible, the data has been adjusted to take stock splits, mergers, spin-offs, acquisitions, bankruptcies, symbol changes and secondary offerings into account.

    You’ll also have access to U.S. futures markets going back as far as the early ‘70’s and all individual futures contracts are included-both current and expired. TradeStation also includes back-adjusted continuous futures contracts starting from January 1970 for daily data. Additionally, subscribers to our real-time data service will be able to receive continuous and individual futures contracts from February 14, 2001 forward for intraday data (minute and above).

    No more third-party data fees
    With the seamless integration of the TradeStation Network within the TradeStation 6 platform, you no longer need to pay separate data fees to your "traditional" data service. With your subscription, we include Nasdaq Level I, NYSE, AMEX and options indexes delivered to you via the Internet.

    We pay your non-professional exchange fees
    We pay the monthly exchange fees if you are a non-professional, and give you the option of receiving Level II and the major futures exchanges as additional services.

    No data maintenance or symbol limitations
    Since all you have to do is log on, there's no data set-up or maintenance. So, no more GlobalServer® or data maintenance worries. The TradeStation Network watches over your data 24 hours a day, 7 days a week. Plus, with TradeStation, you won't have limitations on the number of symbols or data that you can use, or restrictions you may have with your current data provider.

    Your data is now portable, just like you.
    It's accessible anywhere and anytime you want it via our centralized data network. So, log on at home, at the office, or just about anywhere in the world, without missing a tick. And not only does TradeStation 6 watch over your data, it is designed to deliver it at lightning-fast speed.

    Work Offline
    In TradeStation 6, under file>preferences>TradeStation Network, you can choose the amount of charting data you want to cache. The amount you cache will depend on your hard drive space. The preference that you choose under the "cache" tab is: delete data from cache if not accessed for x days. The data that is saved to your hard drive includes all time frames.

    Level II (Optional Data)
    Time and Sales Window
    Streaming News (from over 45 leading sources)
    Ranking Lists

    Designed for fast delivery--even on a 56k modem
    Thanks to our streaming technology, you'll see every chart or trade updated on your screen instantly, without having to refresh your screen. Unlike satellite or cable data services, we're able to keep our data packets small. So you receive it fast, even if you're working on a 56 kbs connection.

    New Ease of Use
    We've also enhanced our User Interface and added a brand-new Shortcut Bar. Now, it's easier than ever to navigate to all the windows available in TradeStation 6.

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    EasyLanguage Power Editor is no longer a separate window. You can have the Power Editor open alongside a chart or other windows for eaiser analysis. TradeStation 6 provides significant advances in the area of strategy testing and development.

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    With TradeStation 6, it's automatic. Upon logging on, we will automatically notify you of a new update, and you will have the option of downloading it then or waiting until later, when the market is closed.
    You can choose from 2 monthly subscription options:

    TradeStation 6 End-of-Day
    Research Edition
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    (includes powerful strategy testing and monitoring features, as well as delayed equities and futures data. Charts and Quotes display delayed data during market hours.)

    TradeStation 6 Real-Time Edition
    $199.95 per month

    (includes non-professional exchange fees for Nasdaq Level I, AMEX, NYSE, OPRA and delayed for all major U.S. Futures Exchanges.)

    Janette Perez
    Vice President of Strategic Alliances
    TradeStation Technologies, Inc.