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At 11:49 AM 5/6/2004, Alex Matulich wrote:
>Good heavens, from my first month or two of using tradestation I
>identified a bunch of stuff I couldn't do:
Come now! You can find work-arounds for most of these:
>== Backtesting of portfolios -- the single biggest weakness of TS
This is easy if you build our own buy/sell functions. Pretty simple. Conceptually:
Buy XXX shares of Data(YYY) next bar at market
Sell XXX shares of Data(YYY) next bar at market
These are easy to use for that purpose. I do it all the time.
You also need to call an "ExecuteOrders" function at the top of the code to actually modify the positions.
>== Optimizing against any result *I* define, not canned results like
> net profit
Just write the results of the optimization run to a file and work with the file in Excel. You could probably also write the results to a global variable and analyze the data in some other code or Excel.
>== Executing trades on ANY price data stream, not just data1
See no. 1 above
>== Backtesting of spreads determined by rules on the fly, between
> several data streams (i.e. you can't predefine the "spread data")
You can define a spread variable which is a combination of any data stream. You home-made Buy/Sell orders could work on this variable or place an order on each half of the spread.
>== Plotting indicators from strategies
If you use your own Buy/Sell functions they will work in indicators.
>== Double precision data types and double precision math
I think TradeStation 7 has higher precision math.
>== Complex number data types, and complex math operators (not using
> user function calls)
So what is wrong with function calls?
>== Data structures (makes passing groups of variables back and forth
> between functions a lot easier, especially if you have an array of
> groups of variables)
The call-by-reference feature lets you pass anything you want including arrays.
>== Structured programming, including organizing my code into logical
> directories
I have a naming convention that effectively keeps the stuff organized.
>== No decent way to break out of the middle of a loop (even a 'goto'
> statement would be useful for this)
You can break out of a "while" loop, obviously. You can break out of a "for" loop by reassigning the loop variable to a high value within the loop.
>== No way to operate on characters within strings
My copy of TradeStation has 11 text string manipulation functions. Have you seen them?
>== No backtesting of combinations things displayed in different
> charting windows (you can do this in real time with PushPop DLL,
> but backtesting DOES NOT work with PushPop due to TradeStation
> not calculating each indicator in a synchronized way)
Seems a bit esoteric but I cannot think of a way to do it short of storing the data from the independent window in a global variable and running that first.
>== Reliable pass-by-reference operations in function parameters
> (you never know when it won't work; i.e. a passed-by-reference
> parameter that changes within a function doesn't change in the
> calling procedure -- seems to be more reliable if all NumericRefs
> are in the beginning of the parameter list)
I have never seen this problem in TradeStation 7 so perhaps it has been fixed.
>... and so on.
Needless to say, some of these work-arounds are a bit awkward but they can be handled without having to write your own application... :-)
Bob Fulks
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