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This is a perfect example of why it is difficult to program a trading system
equal to the way we trade.
You have some very specific rules which can be easily programmed - right up
to the point that you introduce some subjective observations such as "flat",
"bullish" and "bearish". These are "beauties in the eye of the beholder".
For example, when you say "flat", you may see a slight slope as still flat,
or a bearish candlestick may not look so bearish as the tail may be too
short or the penetration of the previous body is only a very little over
50%.
A computerised mechanical trading system is very different from a mechanical
system that you apply by looking at the indicators and then pulling the
trigger. You not only make these subjective decisions but often allow other
factors to come into the mix before you decide whether to make or reject the
trade.
Tom
-----Original Message-----
From: Brian Keith Voiles [mailto:admagic@xxxxxxxx]
Sent: Wednesday, September 06, 2000 11:41 PM
To: omega-list@xxxxxxxxxx
Subject: "Right Brained" EL Programming Idiot Requests Assistance...
Dear Members,
Okay... I admit it -- I'm a creative dork.
These are the rules for my S&P day trading method.
I've been studying the ELA manual from Omega and the "Ask Mr. EasyLanguage"
book... (the Omega downloadable manual is much, much better/clearer) but
I just don't seem to have enough "left brain" logic to create an indicator
for these rules.
I have manually back-traded over 1,000 trades using this method. It really
seems to work well as long as I follow the rules with discipline and
integrity.
The back-trading was not "computer-done" ... it was manually done by me
and because entries are signalled on the open of a new bar, I subtracted
7 ticks ($175 S&P) on the entry AND the exit for slippage.
Anyway... anyone want to take a stab at coding this?...
Anyway want to give me a bid on coding this?... I have tried and tried...
I'm just too darned "right-brain" creative type to get the EL down for it.
Anyway... thanks to all who care. Here's my method's rules:
(By the way... here is the "key" to my many abbreviations:
XMA = 10-Period Exponential Moving Average
MAL = 40-Period 1-Line Moving Average of the Low
MAH = 40-Period 1-Line Moving Average of the High
LRS = the following code: Input: Len(10);
Plot1(LinearRegSlope(close,Len),"LRS");
ADX = the regular ADX that comes with TradeStation 2000i)
Rules (All rules apply to the 5-minute chart only)
Long Position Entry Rules
To enter a long position:
1) No trades before 8:00 a.m. MST (The first 6 candlesticks)
2) The 6th candlestick of the day (the 7:55 candle) cannot signal a trade
3) When a 5-min candle closes above the XMA, go long with a 5 point
stop-loss below.
4) If the XMA is in-between the 40-Period MA's, then a long entry signal is
invalid.
5) If the XMA is flat and not pointing or bending up, then a long entry
signal is invalid.
6) If the ADX is below 15, then a long entry signal is invalid.
7) The LRS must be headed up in support of the long entry, otherwise the
long entry signal is invalid.
Long Position Exit Rules
There are 6 valid exit options listed here, in order of preference:
1) Let Profits Run Exit: If the trade moves to 3+ points in profit ($750)
then the stop must be moved up to the point of entry, plus 3 ticks
($75). Then exit the trade at any point when price action shows potential
reversal (i.e. a bearish candlestick, confirmed by a second bearish
candlestick; or a bearish candlestick pattern) and the price action is
fervent, suggesting that the probabilities are strong for this to be the
end of this up move.
However, if the price movement of any potential reversal is weak (i.e. a
bearish candlestick or candlestick pattern without bearish confirmation)
allow the potential reversal candle to close, then move the stop loss up to
where the XMA is at on the close of the potential reversal candle.
As long as price action remains bullish, at each subsequent potential
reversal point allow the potential reversal candle to close and move the
stop-loss up to where the XMA is at on the close of the potential reversal
candle. Continue to do this as long as there is bullish price action. This
will allow the market to end the trade by stopping out the position when
it's finished its bull move.
NOTE: If a position moves into 6 points or more in profit, note the
position of the ADX. If the ADX is above 30, there's a good chance the
trade will continue in its current direction. Also, look for bullish
candlestick continuation patterns to confirm the ADX.
IMPORTANT: If at any point during the trade the price is near where the
potential reversal candle's XMA suggests the stop be moved up to, the
probabilities are high that the bullish run is over. The market is then
likely to move into a sideways, choppy, consolidation period, or reverse
it's trend. There are 2 exit options at this point:
1. Move the stop loss up to 1-tick above the high of the last potential
reversal candle;
2. Immediately exit at the market to take the profit.
2) Profit Exit: If the trade moves to 3+ points in profit ($750) the stop
loss must be moved up to the entry point, plus 3 ticks. Then exit at any
point when price action shows a potential reversal/bearish candlestick
pattern and the price movement is fervent enough to suggest that
probabilities are high that this reversal is for real. OR
3) Cut Losses Short Exit: If price closes below the XMA twice before a
profit exit unfolds, the XMA Method requires an immediate exit in order to
cut losses short. However, if price closes below the XMA once and then
closes above the XMA on the next candle, the close below the XMA is
canceled out and doesn't count as one of two closes to trigger an
exit. Then, as long as there is continual bullish price action (higher
highs and higher lows) stick with the trade and wait for a Profit Exit to
line-up.
4) Cut Losses Short Exit: Exit when the XMA crosses down over the MAH and
stays in-between the MAH & MAL=85 suggesting the probabilities are that the
market is preparing to churn sideways or preparing to reverse. There may
or may not be a profitable exit when this happens.
5) Caution Exit: Exit when the XMA starts to flatten-out or slope down,
going against the long position. There may or may not be a profitable exit
when this happens.
6) Bail-Out Exit: Exit when the price action hits the stop loss.
Short Position Entry Rules
To enter a short position:
1) No trades before 8:00 a.m. MST (The first 6 candlesticks)
2) The 6th candlestick of the day (the 7:55 candle) cannot signal a trade
3) When a 5-min candle closes below the XMA, go short with a 5-point
stop-loss above.
4) If the XMA is in-between the 40-Period MA's, then a short entry signal
is invalid.
5) If the XMA is flat, and not pointing or bending down, then a short entry
signal is invalid.
6) If the ADX is below 15, then a short entry signal is invalid.
7) The LRS must be pointing down in support of the short entry, otherwise
the short entry signal is invalid.
Short Position Exit Rules
There are 6 valid exit options listed here, in order of preference:
1) Let Profits Run Exit: If the trade moves to 3+ points in profit ($750)
then the stop must be moved down to the point of entry, plus 3 ticks
($75). Then exit the trade at any point when price action shows potential
reversal (i.e. a bullish candlestick, confirmed by a second bullish
candlestick; or a bullish candlestick pattern) and the price action is
fervent, suggesting that the probabilities are strong for this to be the
end of this down move.
However, if the price movement of any potential reversal is weak (i.e. a
bullish candlestick or candlestick pattern without bullish confirmation)
allow the potential reversal candle to close, then move the stop loss up to
where the XMA is at on the close of the potential reversal candle.
As long as price action remains bearish, at each subsequent potential
reversal point allow the potential reversal candle to close and move the
stop-loss down to where the XMA is at on the close of the potential
reversal candle. Continue to do this as long as there is bearish price
action. This will allow the market to end the trade by stopping out the
position when it's finished its bear move.
NOTE: If a position moves into 6 points or more in profit, note the
position of the ADX. If the ADX is above 30, there's a good chance the
trade will continue in its current direction. Also, look for bearish
candlestick continuation patterns to confirm the ADX.
IMPORTANT: If at any point during the trade the price is near where the
potential reversal candle's XMA suggests the stop be moved down to, the
probabilities are high that the bearish run is over. The market is then
likely to move into a sideways, choppy, consolidation period, or reverse
it's trend. There are 2 exit options at this point:
1. Move the stop loss down to 1-tick below the low of the last potential
reversal candle;
2. Immediately exit at the market to take the profit.
2) Profit Exit: If the trade moves to 3+ points in profit ($750) then the
stop loss must be moved down to the entry point, plus 3 ticks. Then exit
at any point when price action shows a potential reversal/bullish
candlestick pattern and the price movement is fervent enough to suggest
that probabilities are high that this reversal is for real. OR
3) Cut Losses Short Exit: If price closes above the XMA twice before a
profit exit unfolds, the XMA Method requires an immediate exit in order to
cut losses short. However, if price closes above the XMA once and then
closes below the XMA on the next candle, the close above the XMA is
canceled out and doesn't count as one of two closes to trigger an
exit. Then, as long as there is continual bearish price action (lower
highs and lower lows) stick with the trade and wait for a Profit Exit to
line-up. OR
4) Cut Losses Short Exit: Exit when the XMA crosses up over the MAL and
stays in-between the MAL & MAH=85 suggesting the probabilities are that the
market is preparing to churn sideways or preparing to reverse. There may
or may not be a profitable exit when this happens.
5) Caution Exit: Exit when the XMA starts to flatten-out or slope up,
going against the short position. There may or may not be a profitable exit
when this happens.
6) Bail-Out Exit: Exit when the price action hits the stop loss.
Thanks for any advise, suggestions and assistance,
Brian Voiles
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