Program Trading: Trade Entry

Whilst it's fine for people to point out new indicators that are out there, this does not help us in our quest for an automated strategy. If a poster on this thread links us to articles about new indicators advertised in trading magazines, then they are effectively saying "here guys - test this yourselves".

Before we plug anything in our strategy we need to know it works, we will not know that by reading a magazine article. We will only know by testing it out. Or by peoples experience of using the indicator. We need people doing that work as well as people like myself doing the coding work.

If not, the expectation must be that people can post an indicator here that they have never used, expect me or someone else to test it, put it into the program if it works and then deliver all the code back to them to make them $$$. I don't feel this is fair.

This thread is about using proven methods to develop an automated strategy, if people want to contribute new indicators and really make a difference, then they need to test out those indicators before posting them here.

I know this may come across as me being a bit crappy - but really, if people want to contribute, then test this stuff out before asking us to look at it. Don't expect others to test it out for you, it's just an indicator try it out in real time, look how it performs & then come back to this thread with the results.





Pedro01,

Seems like your post is very much aimed at myself. Now, I am not sure 'who' you are, you obviously have very good programming knowledge, and I acknowledge this. But, I don't take kindly to you ranting at me. You have appeared on this forum from nowhere, yes, you can code, but, have you ever contributed anything else about trading to anyone else on this forum ?

I have been around TT for a number of years now, and have traded with the man himself, Iraj, attended the seminars etc, and have tried to learn and tried to contribute where I can. In my post above, I was simply posting a reference to an article I had seen earlier. There are many others who are on TT who have contributed over the years, and in many different ways, other than programming. Take a look at the volume of posts sometime.

BTW, you asked the question, would I test, well, I never responded that I would'nt. I was going to follow up (Glenn in a later posting made some very valid points). You then posted again, your verbal rally. I spent many years in corporate life. I now work 'with' people, perhaps you should work on your people skills, as you seem very adept in the programming area.

Frank.
 
All being well I'll post some TS2ki output from today's session for the modified Macci I mentioned (call it MACCI-653) using multi-TF.
(Having some problems with my PC. Doesn't always boot up. It's running ok at the moment though.)

Is there a full set of code for testing the basic Macci somewhere ? I can see a number of bits but not the whole thing.
I could run this in parallel and then the print output could contain signals from both indicators for comparison.
Glenn
 
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I am not knocking your contribution to the forum or your experience Frank.

I am extremely sceptical of anything in the financial media related to investing and doubly so when it relates to something for sale.

Sorry if I offended you. I am just very keen for us to get this thing coded & working with tried & tested techniques.
 
All being well I'll post some TS2ki output from today's session for the modified Macci I mentioned (call it MACCI-653) using multi-TF.
(Having some problems with my PC. Doesn't always boot up. It's running ok at the moment though.)

Is there a full set of code for testing the basic Macci somewhere ? I can see a number of bits but not the whole thing.
I could run this in parallel and then the print output could contain signals from both indicators for comparison.
Glenn

Which bits are you missing Glenn ? I think I posted it all.

The TT_ENTRYPOINT (called TT_MTL_CYCLE3 in the ELS) posted a few threads back is an indicator that goes on a chart of the $INDU.

Data1 - 1 min
Data2 - 3 min (hidden)
Data3 - 5 min (hidden)
Data4 - 10 min (hidden)
Data5 - 30 min (hidden)
Data6 - 60 min (hidden)

It plots the MACCi by calling TTCycle :

Code:
// This Function is a generic placeholder for putting your call to a cycle analysis technique of your choice
// This is currently using MACCi but that can be changed below, not in the calling indicators 
Inputs : CycleLength(Numeric), Smoothing(Numeric);
TTCycle = Average(CCI(CycleLength), Smoothing);

I am not sure if this is using specific features not available in TS2K.

Not sure if I've addressed your issue.

Cheers

Pete
 
Which bits are you missing Glenn ? I think I posted it all.

The TT_ENTRYPOINT (called TT_MTL_CYCLE3 in the ELS) posted a few threads back is an indicator that goes on a chart of the $INDU.

Data1 - 1 min
Data2 - 3 min (hidden)
Data3 - 5 min (hidden)
Data4 - 10 min (hidden)
Data5 - 30 min (hidden)
Data6 - 60 min (hidden)

It plots the MACCi by calling TTCycle :

Code:
// This Function is a generic placeholder for putting your call to a cycle analysis technique of your choice
// This is currently using MACCi but that can be changed below, not in the calling indicators 
Inputs : CycleLength(Numeric), Smoothing(Numeric);
TTCycle = Average(CCI(CycleLength), Smoothing);

I am not sure if this is using specific features not available in TS2K.

Not sure if I've addressed your issue.

Cheers

Pete


Thx for that - Couldn't find TT_Cycle using thread search.
Below TT_ENTRYPOINT there are several functions
TT_CYCLE_DIRECTION
TT_CYCLE_AREA
TT_CYCLE_BIAS
TT_CYCLE_TRIGGER
.. which presumably are needed to make it work ?
Can't see any print statements for producing output so I'll put some in..
Looking at a chart is misleading because the signals can come earlier than the chart shows i.e. intrabar.
Are you on Skype ? Might make things a bit easier.
Glenn
 
Here are 2 trades I just made on the Sim using signals from MACC-653 mtf.
First one I was a bit slow getting out.
$600 less comms.
Never mind the exits though at this stage. The entry signals weren't too bad.

Glenn
 

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Thx for that - Couldn't find TT_Cycle using thread search.
Below TT_ENTRYPOINT there are several functions
TT_CYCLE_DIRECTION
TT_CYCLE_AREA
TT_CYCLE_BIAS
TT_CYCLE_TRIGGER
.. which presumably are needed to make it work ?
Can't see any print statements for producing output so I'll put some in..
Looking at a chart is misleading because the signals can come earlier than the chart shows i.e. intrabar.
Are you on Skype ? Might make things a bit easier.
Glenn

Glenn - all of those Functions are on the following thread : http://www.trade2win.com/boards/tec...rogram-trading-trade-entry-11.html#post558232

The TT_ENTRYPOINT does have some print statements close to the bottom.

I'm not on skype but I am on MSN & Yahoo if you use those -

Yahoo - petegloviathailand
MSN - [email protected]
 
Here are 2 trades I just made on the Sim using signals from MACC-653 mtf.
First one I was a bit slow getting out.
$600 less comms.
Never mind the exits though at this stage. The entry signals weren't too bad.

Glenn

Hi Glenn

Great stuff. Just to check my own reading of my MACC-653 mtf (thanks again for checking my code) at around 14:57....
10min, 30 min and 60min were pointing up.
Entry taken with 1min and 3 min turning up (cross-over). (allthough 5min down)

About right?

Thanks in advance,
Steve
 
Glenn - all of those Functions are on the following thread : http://www.trade2win.com/boards/tec...rogram-trading-trade-entry-11.html#post558232

The TT_ENTRYPOINT does have some print statements close to the bottom.

I'm not on skype but I am on MSN & Yahoo if you use those -

Yahoo - petegloviathailand
MSN - [email protected]

Pete
Yes I've got all the code already, trying to make sense of how it hangs together.

Not on MSN or yahoo. I'll have a look.
Cheers
Glenn
 
Hi Glenn

Great stuff. Just to check my own reading of my MACC-653 mtf (thanks again for checking my code) at around 14:57....
10min, 30 min and 60min were pointing up.
Entry taken with 1min and 3 min turning up (cross-over). (allthough 5min down)

About right?

Thanks in advance,
Steve

That's right Steve yes
Glenn
 
Here's another one at 16:43.
Traded long through a pullback (which then produced another buy signal at 16:54), staying with higher tf signal (3 and 5).
Scaled out.
Exited when it rested.
$820.
Again ignore exits really. Once in I managed the trade in my own way rather than what the engine would do.
Glenn
 

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One more trade for the hat-trick. Tried to exit for $1000 (1-min OB) for fun but caught some slippage.
$990.
Anyway this is all about getting the entry from the indicator.

An observation about turns in Macci_653. Turns in the 3sma signal line have been pretty sharp today, esp in the high tf's. OK this isn't statistically significant but something else to look at.
Won't post any more trades now, but thought these would give some confidence in one approach.
Glenn
 

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Testers wanted

Hi folks
In order to select a suitable indicator for use in the auto-trader, there is a need for testing indicators and comparing the results, as you know.
It would be good to spread the effort around a few willing people so that this important aspect can be finalised.
So this post is asking for volunteers.
You will need Tradestation 8 or 2000i, a little coding ability (and help if you need it), and a live feed so that you can leave a test running during market hours.
You will get instructions on what you need to do so that everyone is doing the same thing and the results will then be easier to compare.

I think that Charlton and Pedro are comfortable for me to co-ordinate this if there are no other objections.

So come on those who can, please step forward and do your bit for the cause.
Glenn

P.S. No testers will be slaughtered in this campaign. :)
 

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Hi folks
In order to select a suitable indicator for use in the auto-trader, there is a need for testing indicators and comparing the results, as you know.
It would be good to spread the effort around a few willing people so that this important aspect can be finalised.
So this post is asking for volunteers.
You will need Tradestation 8 or 2000i, a little coding ability (and help if you need it), and a live feed so that you can leave a test running during market hours.
You will get instructions on what you need to do so that everyone is doing the same thing and the results will then be easier to compare.

I think that Charlton and Pedro are comfortable for me to co-ordinate this if there are no other objections.

So come on those who can, please step forward and do your bit for the cause.
Glenn

P.S. No testers will be slaughtered in this campaign. :)

Hi Glenn

I would love to be involved if you want me.

Cheers
Steve
 
Hi Glenn

I would love to be involved if you want me.

Cheers
Steve

Good man Steve thanks.
I'll be writing up some instruction notes to send out once we know who is in the team.
Glenn
 
Glenn,

Will this be primarily on just one instrument such as the YM or ES as you have shown above ?


Paul
 
Glenn,

Will this be primarily on just one instrument such as the YM or ES as you have shown above ?


Paul
If your code can beat YM then the odds are by diversification of risk over N stocks you definitely will beat the stock market,, Hence most program trades trade the stocks than futures as the correlation between YM and CASH can be reduced/ increased by choice of stocks and give you a massive edge. (hence iraj N minute )


Grey1


Guys,,

Excellent start and good team effort guys
 
It is vital that passive members of TT to also some how participate in this research project and be awarded for it.

You need to have a research leader and also identify who is going to be given a copy of the final product..

I suggest to have a chat amongst yourselves before further development of the code because the code worth a lot of money once finished Please email me with any suggestions you got about the research work ,,

I can arrange a sub forum so that only the member of the research team can post and read the content


let me know

[email protected]

grey1
 
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