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Now here's an entirely different response...while TS might not be
perfect, in fact we know its far from perfect, and yet Bob doesn't list
all the things that can't be done and dismiss it without providing a
solution, but has taken the time to provide people with clues and ideas
on how to overcome all of Alex's problem or issue areas. Can I assume
fro this Bob that you actively use TS for your model testing & design &
portfolio testing? Along with Excel of course.
Regards,
Adrian
> -----Original Message-----
> From: Bob Fulks [mailto:bfulks@xxxxxxxxxxxx]
> Sent: Friday, 7 May 2004 5:15 AM
> To: Alex Matulich; omega-list@xxxxxxxxxx
> Subject: Re: To MarkBrown: Real-time datafeeds in Python
>
>
> 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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