Step One In Building An Intraday Trading System

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • Stephen says:

    Thanks Jeff,
    An automated /6e intraday trend system makes good sense to me.
    I hope you continue the thread… perhaps testing some Aurora methods as well?


  • Derek says:

    Good stuff really enjoyed it. I have a question though. Once you run this and find the session/sessions where the system does best. Do you then go back to the baseline system to keep developing? Or just continue to use this session time for building. I know in your ebook you return to baseline after adding filters etc.

    • Thanks Derek. The concept presented is the “key concept”. I tested the key concept upon various sessions to see which was most effective. After applying the key concept to a best-fit session, that would be our baseline system. From this point onward I would continue to develop the system against the baseline, which is the key concept applied to our targeted session. I would not investigate other sessions. Let me know if this is not clear.

  • rob says:

    Jeff I am trying to run a simple Study on ES to test the buy time in the morning and then close at the end of the day to see if there is any sort of an edge. I modified your function and set the code up as a strategy. Cant seem to get this to work what so ever. The optimization engine goes through the time increments improperly and tests times like 990 which is not a real time. Any thoughts on this? I also don’t get any trades generated.

    THE_OPEN (0930),
    THE_CLOSE (1600);

    // define ALL your variables for storage.
    Var: jMinofDate(0),TimeVal(0),MinOfDate(0);

    jMinOfDate = Intportion(MinOfDate) ;

    TimeVal = fracportion(computerdatetime) ;

    MinOfDate = TimeVal*1440 ;

    // The open
    If ( jMinofDate >= THE_OPEN ) And ( jMinofDate < THE_CLOSE ) Then
    Buy next bar market;

    • If you would like to test different entry and exit times I would take advantage of TradeStation’s built-in support for Time. I’ll assume you are working with minute charts.


      if ( Time = OpenTime ) then buy next bar at market;
      If ( Time = CloseTime ) then sell next bar at market;

      I just typed this from memory and have not compiled it. However this should get close to what you want. In the example code, you can test various entry and exit times.

  • David Shaffer says:

    Thanks for sharing this process. I really enjoy your blog!

    In your EasyLanguage code you refer to BearTrend and BullTrend. I assume that these are booleans set elsewhere in the code…? Or maybe built-in EasyLanguage functions? How are they calculated?

    • Sorry about the confusion. It appears the download code does not have those Boolean values. I was most likely testing these Boolean values and they made it into the article but not into the download code. Those are just booleans. I’ll often use those as a longer-term filter. Often Bulltrend is true when price is above its 200-day moving average.

  • Kevin says:

    Hi Jeff
    Thanks for the article, well done as usual. Couple of questions. How about a list of detailed settings for non-Tradestion users? Hard to replicate your results if we don’t have this. Also, how is this article different from your previous series on EC intraday trading? (I Admit to being lazy. 🙂 )

    • Jeff Swanson says:

      Thanks Kevin. Let me know what setting you need and I can post them. If you’re not using TradeStation you probably will never matching them 100%. Just get close enough. Can you point me to the other EC intraday trading article? Not sure which one you’re talking about. Thanks!

      • Kevin says:

        Don’t worry about the settings, I’ll figure it out. MC users are at a bit of a disadvantage, tho, since we can’t use the Tradestation workspace, which has all the detailed settings. It’s not impossible, just takes a while, but it’s a small price to pay for the ideas and strategies you provide. The other article would be the “Testing A Euro Currency Futures Scalping Strategy”, parts 1-6, a nice review of a lot of different ideas for trading the EC intraday.

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