Post Tagged with: "free easylanguage"

The Laguerre RSI vs Classic RSI

January 9, 2017 5:00 am1 comment

John Ehlers is a name you’ll run across when you start your journey into testing various indicators and filters to be used in your trading models. I remember reading about the Laguerre Filter and Laguerre RSI many years ago when they first appeared on the scene. At the time I was not nearly into quantitative trading as I am today. So let’s take a closer look at the Laguerre RSI and answer a simple question: Can the Laguerre RSI perform better than our standard 2-period RSI? Laguerre RSI (LRSI) was authored by John Ehlers. You can read about the Laguerre filter in his article, “Time Warp – Without Space Travel“. At the heart of the LRSI indicator is the Laguerre […]

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The Christmas Strategy Remains Bullish

December 5, 2016 5:00 am1 comment

With Christmas just a few weeks away, I thought it would be interesting to see how the S&P behaves in the days just before Christmas. Do the days just before this holiday tend to be bullish, bearish, or neutral? To test the market behavior just before the Christmas holiday I will use the S&P Cash index back in 1960. I will create an EasyLanguage strategy that will enter a trade X days before Christmas and close that trade on the opening of the first trading day after Christmas.  Each trade will dedicate $50,000 to purchase shares. Stops, and both commissions and slippage are not utilized in this study. Ten Days Before Christmas First let’s look at the ten days before Christmas. What happens […]

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Testing A Euro Currency Futures Scalping Strategy, Part 5

November 7, 2016 5:00 am0 comments

It’s been a couple of years since I reviewed this potential trading idea of a Euro currency futures scalping strategy. Over the series of articles, which are listed below, I’ve been combing filter to demonstrate how I add different filters to a system based on market conditions. Testing A Euro Currency Futures Scalping Strategy Testing A Euro Currency Futures Scalping Strategy, Part 2 Testing A Euro Currency Futures Scalping Strategy, Part 3 Testing A Euro Currency Futures Scalping Strategy, Part 4 With regards to testing different filters, you’ll notice that I always go back to the baseline system when testing a new filter to help reduce over-fitting the system to the historical data. It is on the baseline system where it will determine if […]

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Using EasyLanguage To Limit Trades

September 19, 2016 5:00 am6 comments

In this article I’m going to demonstrate an EasyLanguage technique to limit the number of trades your trading system will take within a given period. Most often this is done to limit the number of trades a strategy will open in a single day. For example, you may want your day trading strategy to only take a maximum of 20 trades per day. Once it reaches that number, you wish the strategy to not open any more trades until the next trading day. The code I’m going to write will be a more flexible method than the built-in TradeStation reserved word, EnteriesToday. This works fine in many cases, but what if you wish to limit the number of trades in the […]

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Percent Risk Position Sizing in EasyLanguage

August 15, 2016 5:00 am4 comments

Many of the trading models and market studies on this website used a fixed share or fixed contract position size. This means the same number of shares or contracts is traded for each position. For the futures market this often means trading one contract. This is done simply to exclude the effects of dynamic positioning and reinvesting profits so we can focus on the performance of the strategy rules. Position sizing is an integral part of both system trading and discretionary trading alike. It answers the question, how many shares or contracts should I buy? More specifically, how many shares or contracts should I buy that will not overly put my trading account at risk? Too often this question is […]

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Using System Parameter Randomization To Estimate Future Returns

August 1, 2016 5:00 am10 comments

You just spent a ton of time creating a trading system and being very careful not to over-optimize. You then tested it on the out-of-sample data segment and the performance looks good. What’s next? Jump right into the live market? Maybe. But instead, you would like to perform one more test called System Parameter Randomization. The article, System Parameter Permutation – a better alternative?, provided a unique way to estimate possible future returns of a trading system. This method is called System Parameter Randomization (SPR) but, there was no practical example within the article. I like practical examples and I know you probably do too. So, in this article I’m going to take an example trading model from System Trader Success, and follow the guidelines found in the SPR article and […]

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Case study: Can a simple Market Internals technique actually improve trading strategy results?

July 11, 2016 5:00 am4 comments

In my 10+ years’ full-time trading career, I have found very few tools and tactics that would get my attention so deeply as Market Internals. In 2014, I spent about six months in a row with this unique traders tool, exploring its possibilities every single day, searching for new and creative implementation ideas for my own automated trading systems (ATSs). With a real obsession for this concept, I finally found almost 40 new ideas (mostly my own proprietary ideas) on how to squeeze the most out of this great tool, and slowly started implementing many of them into my own trading – with great success. I truly believe that Market Internals can give a trader a small, unfair advantage – if […]

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Gap Size Strategy Tool

June 27, 2016 5:00 am3 comments

A couple of weeks ago I sent my subscribers an email to a free eBook called “Understanding Gaps” by Scott Andrews. I’m going to assume that you know what a gap trade is. If not, please take a look at this article. I’ve never had much success with trading gaps but the topic interests me. After reviewing the eBook I thought it would be a good idea to begin building a strategy tool to help analyze gaps. The tool will be written in EasyLanguage and I envision it being loaded into a chart where it will provide various statistical based results on gaps. Information such as… Probability of a gap closing based upon gap size, day of the month, and day of the week Probability […]

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Disabling Trading At Profit Target or Max Stoploss

May 16, 2016 5:00 am0 comments

When building trading systems, particularly intraday trading systems, you often run into the special conditions where you might want to stop trading. Those two conditions are: 1) When a particular daily profit target is reached. In this case you have determined that when a particular dollar amount is reached in profit then no more trading should be done for the remainder of the day. 2) When a specific dollar value is reached. In this case, you have determined that after you have lost X amount of money, it’s best to stop trading for the rest of the day. In both of these cases it’s possible to write code that will disable the opening of new trades when either of these functions is reached. In […]

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This Simple Indicator Makes Money Again and Again

April 11, 2016 5:00 am44 comments

Here we are four months into 2016 and I’ve not updated some of the more interesting articles. One of those is Connors’ 2-period RSI strategy. This is a very popular trading method by Larry Connors and Cesar Alvarez. We all know there are no magic indicators but there is an indicator that certainly acted like magic over several decades. What indicator is it? Our reliable RSI indicator. The modified 2-period RSI trading model makes new highs in 2015. Click To Tweet Over the past few years the standard 2-period trading model as defined in the book, “Short Term Trading Strategies That Work“, has been in a drawdown. During 2011 the market experienced a sudden and sustained drop which put the trading model into loss. Recall, the […]

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