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At 06:51 AM 1/8/98 -0600, you wrote:
>walter bressert had a device that he used to demo his cycle trader.
>basically what it does is allow tick data on file to be "replayed" just as
>if it is live.
>it makes a good "eye" training device for intraday traders. is anyone
>aware of what devices or software is available to make this happen?
The product you are referring to that Walter Bressert uses is called
VirtualTrader (R). It runs in TradeStation(R) Version 4.0, builds 16 to 20.
Walter Bressert's group licensed it from Titan and Walter uses it in his
seminars when teaching his CycleTrader (R) trading methods.
VirtualTrader is a registered trademark of Titan Trading Analytics Inc. The
author of the software is Michael Gossland, who is a Master of Physics,
professional engineer and Easy Language expert. VirtualTrader (VT) was
developed by Titan. It was featured in the December 1997 issue of TS
Express, the journal for serious TradeStation users, in a product review by
William Brower, CTA.
We developed the software to allow ourselves to easily test any indicator,
combination of indicators, stop loss and money management system, trading
system or method in TradeStation WITHOUT ANY EASY LANGUAGE PROGRAMMING. The
project was much more complex and expensive than first expected. We also
ended up with a realtime version that is not sold that we use internally.
The software results in a very powerful extension of the testing
capabilities of TradeStation. It extends the usefulness of TradeStation to
non-programmers and programmers alike, in system development. It also
creates an advanced TS-based training platform for really serious traders.
If you are already an expert trader AND an expert EL programmer, or just a
hobbiest, it's likely not something that you'd be interested in.
If you are still wanting to develop new trading skills and methods, it
allows you to easily test any method, complex or simple, and develop and
practice money management skills. You can also PRACTICE TRADING in a
forward shielded replay of real market data, on a bar by bar basis, in
multiple time frames, with a time synchronized linking of multiple charts.
It is very realistic - in fact technically it is like virtual reality in
trading.
Bar length resolution is down to one minute bars. You can use any
indicators, PaintMe's, PaintBars, etc, canned or custom, in any combination,
as defined by TradeStation. Almost anything you can do in TradeStation you
can do in VirtualTrader. As yet it's time based and doesn't support tick
charts. Nor does it yet support weekly charts - a complaint of Walter's.
Trades are entered with simple mouse clicks, in a user interface that floats
on top of the TS charts. It let's you scroll through the charts, at your own
defined speed, one bar, or multiple bars at a time. It's dead simple to
use. Had to be. It was designed for people like me. There is a variable
speed auto replay feature as well. Simulations can be started, stopped,
saved and resumed later. It has the full performance reporting features of
TS. Trading results, graphic and tabular, can be saved in files for later
replay and analysis.
With simple mouse clicks you can enter and exit trades, enter STOP orders,
LIMIT orders, OCO orders, MOC etc., just like in actual trading. The TS
entry and exit order arrows show up on the price chart just like in any
other trading system. This allows you to go back and visualize your trading
performance.
It is possible to do a simultaneous replay of multiple charts all linked
under multiple time frames, in any combination of bar lengths. This is very
useful when learning to daytrade and in learning to 'read the tape' with
multiple input variables, as exist in the S&P stock indexes.
Sometimes with Easy Language we find it difficult to articulate trading
ideas and methods for purposes of programming, in order to test or
demonstrate a trading idea or more intuitive method or complex indicator
combination. We faced this many times even with in-house expert EL
programming. Virtual Trader allows that to be done easily and quickly and
that is one of its strengths. It also allows testing of anyone's described
method. No more vendor or guru hiding behind the old discretionary
judgement nonsense - 'cannot be programmed in EL' trick. That's history.
EVERYONE'S METHODS CAN BE TESTED ACCURATELY, including all the discretionary
methods that require so-called 'judgement and experience', that make it
easier for vendors to sell stuff that doesn't even work.
I've been using the software personally when I can now for about four months
to learn to daytrade the S&P 500 using a combination of methods, but mainly
by learning to manage risk through the proper use of stop loss techniques.
Entry methods become less and less important once that concept is mastered.
I am trying to learn to trade in different time frames. When a method looks
promising then we move on to create a mechanical indicator from it or an EL
based system when possible. So it is a powerful system development tool as
well.
But basically it's used mainly to try to LEARN HOW TO TRADE a market. We
study and trade the S&P, for example, which is particularly difficult to
learn to profitably daytrade. Seminars may help, but generally don't cut it.
I've tried learning to daytrade the other way, in the markets. With the
S&P, those tended to be expensive lessons. Paper trading is basically almost
USELESS and very misleading because you never really make the calculations
properly, sweat the trades, learn about pulling the trigger, or managing
stops. Humans also have a tendency to 'cheat' when paper trading, even
against themselves, then fall flat on their face when they step into the
real arena. In VT you 'sweat the trades' a bit more and have a more accurate
assessment when you are done because there is a black and white performance
result when you are finished. It's hard to be completely honest and write
down the hundreds or thousands of entries, like with each stop adjustment in
a trade for example, to produce anything close to the truth about the
simulation results. In this case it's all in black and white and you just
save it and print it out. You also avoid the coding errors in testing.
I've studied and tested many of the published daytrading methods inside
VirtualTrader, like Ruggiero, Williams, Smith, Crabel, Raschke, Conners,
Ullrich, Angell, and other popular system people as well. We also did our
share of serious mechanical system work on daytrading. Personally, I'm not a
programmer. VT, however, has given me the freedom with TradeStation that I
could not have gotten otherwise and it's now starting to produce results
based on PRACTICE, TESTING, PRACTICE, TESTING AND MORE PRACTICE. When I stop
practicing for a period of time inside the VT software, I tend go stale on
the real time patterns, one key an advantage of mechanical systems
approaches, as long as they don't break. When I haven't been 'practicing',
my losses go up.
VirtualTrader is an expensive,full blown professional trading simulator. You
cannot do or learn the same way from this kind of serious trading practice
or real-world quantified testing in the Windotrader tick replay tool or
other toy simulators out there.
You can also do a hands-on demo of the real thing with PC Anywhere by
calling John Austin at 250 751-8502. If interested visit the site at
www.titantrading.com.
I've posted TradeStation generated performance reports from two different
VirtualTrader simulations I did testing methods in S&P 500 daytrading. One
is trading off of 5 minute bars and the other is trading off of 15 minute
bars. In both cases, money management and volatility played a big role in
the results.
This first simulation was done to test methods in a very volatile period of
just over three weeks in August and used a default slip/comm of $100 to
compare to other published results. So it's overstated performance, but
still promising. The same methods do not work nearly as well when VIX drops
below 17. The required account size numbers are wrong. This testing took
about four hours to do. No, we're not quite the same in real time yet. ;-)
VirtualTrader SP U7-5 min 07/30/97 - 08/22/97
Performance Summary: All Trades
Total net profit $ 45850.00 Open position P/L $ 0.00
Gross profit $ 75975.00 Gross loss $ -30125.00
Total # of trades 86 Percent profitable 47%
Number winning trades 40 Number losing trades 46
Largest winning trade $ 10525.00 Largest losing trade $ -3350.00
Average winning trade $ 1899.38 Average losing trade $ -654.89
Ratio avg win/avg loss 2.90 Avg trade(win & loss) $ 533.14
Max consec. winners 4 Max consec. losers 9
Avg # bars in winners 10 Avg # bars in losers 6
Max intraday drawdown $ -14100.00
Profit factor 2.52 Max # contracts held 2
Account size required $ 15315.00 Return on account 299%
Performance Summary: Long Trades
Total net profit $ 21175.00 Open position P/L $ 0.00
Gross profit $ 40375.00 Gross loss $ -19200.00
Total # of trades 54 Percent profitable 44%
Number winning trades 24 Number losing trades 30
Largest winning trade $ 10525.00 Largest losing trade $ -3350.00
Average winning trade $ 1682.29 Average losing trade $ -640.00
Ratio avg win/avg loss 2.63 Avg trade(win & loss) $ 392.13
Max consec. winners 4 Max consec. losers 5
Avg # bars in winners 10 Avg # bars in losers 6
Max intraday drawdown $ -11100.00
Profit factor 2.10 Max # contracts held 2
Account size required $ 12315.00 Return on account 172%
Performance Summary: Short Trades
Total net profit $ 24675.00 Open position P/L $ 0.00
Gross profit $ 35600.00 Gross loss $ -10925.00
Total # of trades 32 Percent profitable 50%
Number winning trades 16 Number losing trades 16
Largest winning trade $ 7675.00 Largest losing trade $ -1800.00
Average winning trade $ 2225.00 Average losing trade $ -682.81
Ratio avg win/avg loss 3.26 Avg trade(win & loss) $ 771.09
Max consec. winners 4 Max consec. losers 7
Avg # bars in winners 10 Avg # bars in losers 5
Max intraday drawdown $ -5800.00
Profit factor 3.26 Max # contracts held 2
Account size required $ 7015.00 Return on account 352%
----------------------------------------------------------------------------
This second simulation test was on 15 minute bars and tested two months data
from the Spring of 1997.It also uses the same $100 value for
slip/commission. The required account size is wrong. This test took about
three to four hours to do.
VirtualTrader SP M7-15 min 03/05/97 - 05/23/97
Performance Summary: All Trades
Total net profit $ 65050.00 Open position P/L $ 0.00
Gross profit $ 100450.00 Gross loss $ -35400.00
Total # of trades 91 Percent profitable 57%
Number winning trades 52 Number losing trades 39
Largest winning trade $ 10050.00 Largest losing trade $ -4100.00
Average winning trade $ 1931.73 Average losing trade $ -907.69
Ratio avg win/avg loss 2.13 Avg trade(win & loss) $ 714.84
Max consec. winners 8 Max consec. losers 3
Avg # bars in winners 8 Avg # bars in losers 6
Max intraday drawdown $ -10475.00
Profit factor 2.84 Max # contracts held 1
Account size required $ 11690.00 Return on account 556%
Performance Summary: Long Trades
Total net profit $ 50375.00 Open position P/L $ 0.00
Gross profit $ 78150.00 Gross loss $ -27775.00
Total # of trades 70 Percent profitable 56%
Number winning trades 39 Number losing trades 31
Largest winning trade $ 7375.00 Largest losing trade $ -4100.00
Average winning trade $ 2003.85 Average losing trade $ -895.97
Ratio avg win/avg loss 2.24 Avg trade(win & loss) $ 719.64
Max consec. winners 7 Max consec. losers 4
Avg # bars in winners 8 Avg # bars in losers 7
Max intraday drawdown $ -12275.00
Profit factor 2.81 Max # contracts held 1
Account size required $ 13490.00 Return on account 373%
Performance Summary: Short Trades
Total net profit $ 14675.00 Open position P/L $ 0.00
Gross profit $ 22300.00 Gross loss $ -7625.00
Total # of trades 21 Percent profitable 62%
Number winning trades 13 Number losing trades 8
Largest winning trade $ 10050.00 Largest losing trade $ -3300.00
Average winning trade $ 1715.38 Average losing trade $ -953.13
Ratio avg win/avg loss 1.80 Avg trade(win & loss) $ 698.81
Max consec. winners 4 Max consec. losers 2
Avg # bars in winners 10 Avg # bars in losers 4
Max intraday drawdown $ -3850.00
Profit factor 2.92 Max # contracts held 1
Account size required $ 5065.00 Return on account 290%
All in all, it's my favorite trading software besides TradeStation, but then
I'm biased.
regards,
Michael Paauwe
mpaauwe@xxxxxxxxxx
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