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Trading Systems- Management of Entry Price, Trade Detail, Pyramiding Position |
May 9 , 2007
16:25 Ensign Howard: Welcome to today's training class with Howard.... I have lots of exciting and informative material to share with you today. I realize I am starting early, but I have lots to cover, and I will use the first few minutes for announcements.
16:26 Ensign Howard: 1) DTN has released a new IQFeed and DTN.IQ client for their data feed in preparation for a new server or feed to be released in the near future. One of the changes we look forward to having on their feed is the addition of seconds to the tick time stamps. So, if you have the IQFeed or DTN.IQ, you probably have also received an e-mail from DTN about the upcoming changes and the encouragement to upgrade to the latest version of the IQFeed software. This new version is available for download on the Ensign web site on our Download page. Download and run the IQFeed upgrade by clicking on the link on our Download page.
http://www.ensignsoftware.com/download.htm
16:28 Ensign Howard: The link on our page is IQFeed 4.2.1.4 and is the latest client to install. I have used this client and their new feed in beta testing for the past couple months and have resolved all issues I am aware of. You will ALSO need to upgrade to the current version of Ensign Windows to have the changes to support the eventual addition of the seconds in the time stamps.
16:30 Ensign Howard: 2) A month ago eSignal announced a new feed called eSignal Data Access which would be only a feed and not include the eSignal charting software. They have since informed me that there is a delay in the release of the Data Access feed, and it is not yet available. More details of this feed will be announced in a future weekly training class when they become available. For the time being, the esignal subscriptions will be on the regular feed that includes the eSignal charting software.
16:33 Ensign Howard: 3) Some of the features shown in today's training class require the 05-09 version of Ensign which can be downloaded now. Preferably you will wait until after class and get the upgrade so you can do what I show you can be done.
16:33 Ensign Howard: Last week we showed how a trading system could be design using DYOs and Study Alerts to implement the logic for the trading system, and perform the trades, and see the results using menu Charts | Trade Detail.
16:34 Ensign Howard: The class was well received, and was a detailed discussion about the Ensign Stochastic trading system which was published in the April issue of the Trading Tips newsletter.
http://www.ensignsoftware.com/tips/tradingtips88.htm
16:35 Ensign Howard: This newsletter article needs to be read, and you are also encouraged to read last week's training class transcript which is available on the dacharts web site in order to fully understand the material covered today.
16:36 Ensign Howard: Today's training will use the Ensign Stochastic System as a foundation which will be added to for the purpose of showing how it can be improved.
16:36 Ensign Howard: The first item of improvement will be to control the entry price for the trades.
16:37 Ensign Howard: The 2nd item of improvement will be to manage the position by adding some rules for pyramiding the position.
16:37 Ensign Howard: So that is the overview of the class today, and each objective will be covered in turn.
16:38 Ensign Howard: Again, I remind you that the purpose of having training class is so you can learn how to do more complex things. I am not trying to pass out 'fish'..... I am trying to pass out 'fishing poles' and show you how the fish can be caught.
Management of Entry Price
16:39 Ensign Howard: Let's begin with the management of entry prices. In the trading system, we had various signals for entering a trade Long or Short, and then various rules for exiting the trade with a profit, or exit based on the Stochastic pattern, or exit based on time. All entries and exits used the Last price of the bar that created the signal.
16:41 Ensign Howard: Now I wondered if we could improve the system by trying to get a better entry price by one or more ticks in our favor. The questions I had were whether too many trades would be missed, or whether the more favorable entry would result in a bigger profit. So lets modify the system to test these possibilities.
16:43 Ensign Howard: The signal to Buy or Sell to establish will still be the same signal of Stochastic being below 30 and crossing above 50, or being above 70 and crossing below 50. But instead of executing the trade on the Last price of the signal bar, we will now pick a more favorable price and then have to check subsequent bars to see if the range of those bars fulfilled our better price, and then execute the trade. Some trades will naturally be missed by holding out for a better price. Back testing will reveal whether the system is better or worse for the attempt.
16:46 Ensign Howard: This charts shows an example of a trade to discuss, the Sto curve was below 30 and then crossed above 50. This signal is marked by the faint green stripe on the chart, and the pink line is the more favorable price we want to go long at.
16:47 Ensign Howard: This Price to Enter Long is 1 tick below the Last of the signal bar. This pink line will show on the chart sideways until it is fulfilled, which in the example was about 7 bars later. The actual trade to be Long was performed on the dark Green stripe at the pink line price.
16:49 Ensign Howard: Now let me start to show you the DYOs that implement this kind of delayed execution at a price under your control.
16:50 Ensign Howard: This is the first DYO in my new system, and it is generalizing the design by having parameter to adjust set up on this form.
16:50 Ensign Howard: In last week's design, one of the parameters was a profit exit being 0.0015 points on the EUR/USD forex chart. This was 15 ticks, and it was also 15 ticks in the ES system design.
6:51 Ensign Howard: This Line A is a way to generalize this parameter by first reading the Tick Size property and multiplying it by the 15 multiplier and saving this point objective in a GV..... then later on when we test for a profit objective, we test the contents of [17] instead of having a hard coded profit objective in points that is unique for a symbol.
16:53 Ensign Howard: This line A objective is 15 ticks regardless of the symbol, for example, 15 ticks for ES is 15 * 0.25 = 3.75 points.
16:53 Ensign Howard: Line B will be our general parameter of how many ticks we are trying to hold out for as an improved price over the Last of the signal bar.
16:54 Ensign Howard: So in this example the points I am trying to hold out for is 1 additional tick on the entry. For a Long the New entry price will be Last - 1 tick and for a Short the New entry price will be Last + 1 tick. So the entry objective is 1 tick more favorable than just trading the Last price of the signal bar. Edit Line B number field to be a 2 if you want to try to hold out for 2 ticks better entry, etc.
16:56 Ensign Howard: Line C is the Top and Bottom wave count objective to control a exit of the position. The parameter 3 was discussed in last week's class, but is put on this DYO to save in GV [19] so we don't have to find the count in a later DYO and edit it there to do testing of a different parameter for the count
16:57 Ensign Howard: LInes D, E and F were discussed last week.
16:58 Ensign Howard: Line G, H and I are used to control private global variables that will be used to hold the price we want to Buy at in GV 242 and the price we want to Sell at in GV 243. These prices are initialized to be 'erased' during the night session when the chart is outside of the hours we are willing to take signals.
16:59 Ensign Howard: The hours are those on Line D and E on this form.
17:00 Ensign Howard: Now I will show the DYO for the Buy Signal, which is very much like last week's DYO and discussed last week.
17:01 Ensign Howard: This DYO keeps track of the condition for the STO being below 30, and then the signal bar is when the STO crosses above 60 (in my example.) For the EUR/USD chart a crossing above 60 produces better results than a crossing above 50... but results are similar.... idea is the same.
17:02 Ensign Howard: A signal bar is marked by a vertical pale green stripe on Line E
17:03 Ensign Howard: This is a new DYO this week that implements keeping track of the price we want to Buy at, and when that price is fulfilled, executing a Long trade.
17:04 Ensign Howard: The Buy Signal from the prior DYO was stored in GV[1] and tested in this DYO on Line A.
17:04 Ensign Howard: When we don't have a signal bar, we can jump down to Line E and begin checking to see if we have a Buy Price that is fulfilled. Lets assume we have a signal bar (pale green stripe) and thus continue on Line B.
17:05 Ensign Howard: Line B will read this signal bar's Last and subtract our extra hold out point objective, which was set by Line B in the Parameter DYO.
17:06 Ensign Howard: This new better price to buy at is then saved in GB[242] and marked on the chart with a pink line.
17:07 Ensign Howard: At first glance it looks like Line C and D could be combined because their end result is to abort this DYO.
17:07 Ensign Howard: Line C first clears the signal flag in GV[1] by doing a Not operation on the flag. This is done because GV[1] will be used by the next DYO and later on by this DYO as the flag to do the Buy. Line C is clearing this flag so we do NOT buy on the signal bar... the signal bar just sets up a pending buy and that still requires a subsequent bar's range to cover for a fulfillment.
17:08 Ensign Howard: Line D then aborts because this is the signal bar.
17:09 Ensign Howard: Line E tests a non-signal bar to see if its Low is at or below the Buy Price in [242] This Buy price is moved to GV[10] for use in the next Study Alert as a special GV that can hold the price for a Study Alert to buy at.
17:11 Ensign Howard: That move is done by Line F
17:11 Ensign Howard: Line G tests our new flag in GV[1] which was the Low being at or below the entry price. This is the signal to execute the Buy at our price in [242] and in [10]
17:13 Ensign Howard: Line H tests whether we have a Buy price in place.... it will be zero if we do not, as is the case from the initialization done before the market opens. You can check the Show box on Line H to add more light green stripes if you want a continued reminder a Buy is pending. I found that it was sufficient just to have the Buy price continue to be shown and that is what Lines I and J accomplish.
17:14 Ensign Howard: If we have a Buy Price in place, then the order is pending and shows this price with the pink line on the chart, as in the example chart shown earlier.
17:15 Ensign Howard: Here is the Study Alert that performs the Buy operation, it looks at the flag in GV[1] which was the test for Low <= Buy Price. Note the new feature on the Price selection box in the Trading System. This selection says to use as the Trade Price the value in Global Variable [10]. This is why the prior DYO moved the Trade price from our private [242] into [10]
17:17 Ensign Howard: Now look at the example again, now that we have run through the logic for the Buys.
17:17 Ensign Howard: Each Buy is the dark green stripe and it is preceded by a light green stripe which is the pending Buy signal. On the first 2 Buys the signal bar was the bar immediately ahead of the bar the trade was made on. With the pale green stripe, we intended to buy when the market covered the better price which was one tick lower than the signal bar's close. And in the first two cases, the following bar gave us the better fill price. In the case of the 3rd dark green stripe, we had to wait 7 bars to get the pending order filled.
17:20 Ensign Howard: Do you see where I am headed with this example? Do you like the possibilities that are being demonstrated? And in my opinion, the greater resemblance to reality. Any questions about this Buy at a controlled price, and our ability to test now whether holding out for one more tick for an entry is profitable?
17:22 Ensign Howard: Now, I do the same thing for the Sell signal being pending with the pale red stripe and the actual Sell being accomplished with the dark red stripe. The fill price is 1 tick above the signal bar's last price. Fulfillment cannot happen on the signal bar, but has to be done on a subsequent bar.
17:23 Ensign Howard: The 3 dark stripes in the example all fulfilled on the bar following the signal bar for going short between 10 and 10:30 we have a red stripe that is medium color, and this is a marker for one of the other exit signal at a profit objective.
17:24 Ensign Howard: So the dark red stripe at 10:00 sold 2 short, and the medium red stripe 3 bars later lifted one contract at a profit objective. The profit objective exit still uses the Last of the bar it exits on. So the exit on the profit objective is based on the bar's close, which can be greater than the 15 points set as the minimum for a profit objective.
17:25 Ensign Howard: The exit on the medium red stripe was the close of that big down bar. That is the same as last week.
17:26 Ensign Howard: We also show an Orange stripe at 11:20 which is the exit of the 2nd contract from our sell at 10:00. This exist is based on the Stochastic climbing above 70 while we are short.
17:27 Ensign Howard: On the bar ahead of that we got the signal for a pending Buy. Last week the signal would have exited the short and put on 2 Long contracts.
17:27 Ensign Howard: With the change to hold out for a better entry price, we how have triggered one of the conditions to abort a trade which seems to be going the wrong way.
17:28 Ensign Howard: So the 2nd contract of the short was exited at the orange stripe. These aborts for a wrong way stochastic still use the signal bar's Last price. I did not want to monkey around with the safety net. If you get a signal to abort, just do it.
17:29 Ensign Howard: Trying to hold out for a better price in getting out might be hazardous. I am only holding out for a better price on ENTRIES. Then if I miss the price all that happens is I am left on the sidelines waiting for the next train to leave the station.
17:30 Ensign Howard: Missing a trade we can live with because we still have our capital in hand to trade with. For an exit signal based on Stochastic being the wrong way, or it is Time of day exit, etc, we just exit on the signal bar and use the Last as the exit price.
Trade Detail
17:31 MakesOwnWeather: Ensign Howard, I appreciate the work you have done on this weeks class and last week's class. Could you say a little about retrieving the log of trades made? And, in using these DYOs in playback --- are there any special considerations in playback?
17:32 Ensign Howard: The log is the menu Charts | Trade Detail.
17:32 Ensign Howard: Let me show you last weeks summary on this chart, so we can compare it with the new system that attempts to get a better price.
17:33 Ensign Howard: The trade detail file is in the C:\Ensign\Accounts folder and is numbered, which number shows on the top of the Trade Detail form.
17:34 Ensign Howard: This detail is FIle $602 in the C:\Ensign\Accounts folder.
17:34 Ensign Howard: This form shows the results of using last week's system that executes all trades at the signal bar's Last. The key numbers of interest are $11,000 and Total Trades of 264.
17:35 Ensign Howard: This is the summary of the new system that tries for 1 tick better fill price for ENTRY on trades. Note the improvement in the profit is $1800. Profit is $12,800 versus $11,000. And the Total trades is 243 instead of 264.... so we must have missed taking some trades. That was to be expected. Looks like we missed 20 out of 264, or about 8% of the time. However, since the profit improved, I consider this a good thing. Possibly we missed losing trades.
17:38 Ensign Howard: On the Average Trade, in the prior form it was $41, and now it is $52, and that is about the size of 1 tick of added profit on many of the trades. So the average profit increased, (as would be expected since we hold out for a better fill price).
17:39 Ensign Howard: Now since the system has a Parameter DYO where I can easily change the number of ticks we try to hold out for, lets do a test of waiting for a fill price that is 2 ticks better than the signal bar's Last.
17:40 Ensign Howard: Here I have edited Line B Number field to be a 2, instead of a 1. Now the system will try for two ticks better price (lower price) on a Buy and (higher Price) on a Sell.
17:42 Ensign Howard: The number of trades dropped to 217 from 243, so we missed many more trades, and these missed trades affected the profit more than was made up by the added tick in the profit of profitable trades. It is nice for the system to be automatic to find these answers. Possibly more trades were exited at our abort conditions as was illustrated in the chart earlier at the orange line.
17:43 Ensign Howard: That one example showed the exit of the short trade was at a worse price, and offset the benefit of trying to get a Buy at a better price. I will return the parameter back to a 1.
17:44 Ensign Howard: Any questions? I will give you the fishing pole, and once trained you can answer your own questions.
Pyramiding a Position
17:47 Ensign Howard: ok, I am moving on to the next topic I want to cover and that is pyramiding a position. We will not leverage on the system shown so far, and keep the improvement of holding out for a better price to Enter positions.
17:48 Ensign Howard: Many years ago when I was first searching for the Holy Grail, I observed that a good winning trade often was preceded by a losing trade. And this is a big CLUE that I have not seen in print anywhere, so let me point it out by discussing it.
17:49 Ensign Howard: We often look for good markers or clues or signals of when to make a trade. We emotionally do exactly the opposite of what we should be doing.
17:50 Ensign Howard: When we experience a losing trade, the natural reaction is to be hurt, and recoil, and say I am not going to do that again.
17:50 Ensign Howard: Then when we have a winning trade, we get too confident and trade a bigger position and then get really hurt, and start all over again.
17:51 Ensign Howard: As a kid we would play a game of 'double or nothing'. If I was trying to take my brother's money, and I had lost to him, I would say double or nothing, and we would flip the coin again. Eventually I won and would erase my debt.
17:52 Ensign Howard: Now think about that simple example of double or nothing. If you have been a winner, you will eventually lose and return to zero. If you have been a loser, eventually you will win and return to zero. Double or Nothing is a form of pyramiding, but as a child I did not know the word existed.
17:53 Ensign Howard: Let's apply the principle, however, to the trading system design, and I can show you it works in a moment. Lets' first set out a ground rule and discuss the theory of why it works.
17:54 Ensign Howard: Lets go back to our classic wave model of a trend unfolds in waves that we can generalize as Trend - Reaction - Trend - Reaction - Trend. This is the Elliott 5-wave pattern, which I will shorten to the notation T-R-T-R-T
17:55 Ensign Howard: Now in our system, or most systems, they are able to extract a profitable trade during a trend or the T phase. What follows a T most of the time??? It is a reaction wave or a correction wave which we show as an R. Most of the losing trades happen in the R wave. And then being bruised we emotionally are on the sidelines just when the next T wave is starting. Instead we should recognize that T follows an R, and statistically, the best time to get a winning trade is following an R.
17:57 Ensign Howard: DO YOU SEE THAT? If I can share any key concept today, it is this concept about T_R_T_R_T patterns. So, lets put that characteristic into our system
17:58 Ensign Howard: If we have a winning trade, assume it was in a T wave, and we should contract our exposure for the anticipated R wave due next. Now it might be T-T pattern at a nice V top or V bottom turn. W might be starting a whole new trend and that would be the case after a 5th wave starting a new 1st wave, for a T-T pair. So we do not want to be out of the market, we just want to manage the risk better by having a contracted exposure since R follow T more often than T follows T.
18:01 Ensign Howard: So first rule will be, if last trade was a winner then reset our trade size to the default of 2 contracts.
18:01 Ensign Howard: This is the model used in the system shown earlier today, we initiated a new trade with 2 contracts, and then had options to lift one at a profit objective and let the 2nd contract run its course to be exited by some of the Stochastic patterns. Or be lifted by entering a position in the opposite direction.
18:02 Ensign Howard: In our new pyramid model, we will begin with 2 contracts, and return to trading 2 contracts after a winning trade. But after a losing trade, my hypothesis is that we will have a higher likelihood of having a winning trade because T follow R more often than R follows R.
18:04 Ensign Howard: So after a losing Trade, assume we in an R wave, and a trend wave will follow, and we should trade with a bigger position. The rule will be, if we lose, increase the position size by 1 and trade 3 contracts. If you lose again, increase position by 1 again and trade 4 contracts.
18:05 Ensign Howard: Now on some of our abort signals such as the wrong way stochastic, these abort signals are good indicators too, like a strength of signal or quality of signal indicator. So on these abort signals, lets increase the size by 2 instead of by 1.
18:06 Ensign Howard: Let me show you the new DYO added to manager the pyramiding logic.
18:07 Ensign Howard: Line A will see what the current trades profit is in points. All I really care about is whether it is a winner or a loser, so the points is compared to zero by Line B.
18:08 Ensign Howard: This ahead or behind flag is saved in GV[2]
18:08 Ensign Howard: GV[1] has our flag to execute a trade, such as the pending Buy signal was Low <= Buy Price.
18:09 Ensign Howard: When the current trade is showing a loss, and we are ready to do a Buy Signal, Line D will increment the trade size amount stored in a private GV [241]
18:10 Ensign Howard: This trade size was initialize to be a 2 before the trading day began, and it is also reset to a value 2 after any winning trade.
18:11 Ensign Howard: Lines E, F, and G perform the reset when the current trade is ahead (profitable), and we have the signal to Buy in GV[1]
18:11 Ensign Howard: Line G, when the flag is True will read the number 2 from the number field, and write it to GV[241] -- otherwise leave [241] alone.
18:12 Ensign Howard: So in summary, Line A, B and C will increment the size to trade when the current trade is a loser and Line E, F and G will reset it back to a value of 2 when it is a winner.
18:13 Ensign Howard: Line I just does a little visual of showing this trade size or quantity on the chart on the stripe for the trade execution.
18:13 Ensign Howard: Lets see this chart as an example of the system in operation.
18:14 Ensign Howard: First trade was a Buy and the buy size was 2 at 7:40. Then at 8:20 we have a Sell signal and execution, and upon checking the current trade (long) it was unprofitable so the Short did a size of 3 instead of 2.
18:15 Ensign Howard: Then at 9:30 we have a Buy signal, and underneath that pale green stripe is an orange stripe for the bail out of a short with STO above 70. The Bail out found the position was a loser, and incremented the size by 2, so a trade of 5 was put on.
18:16 Ensign Howard: And at 10:00 signal was to be short, and the last trade was again a loser, so it traded 6 short. Wow, what discomfort in having 4 losing trades in a row, though they were all small losers. And the joy in being loaded up for the only good trend in the day.
18:18 Ensign Howard: At each of the medium red stripes, a profit objective is met, so that signal removes one trade at the bar's close. We removed one trade at 5 different bars at 5 different bar closes. Happened to do some pretty nice exits into the bottom of the plunge.
18:19 Ensign Howard: After 10:35 we still have 1 short on, and this was exited at the orange stripe, the Sto >70 abort rule, but still at a very nice profit.
18:19 Ensign Howard: Then the Green trade is following a profit and the trade size is set back to 2.
18:20 Ensign Howard: The Red Short is after the Green profit (small one) so trade size stayed at 2., and then was closed out at the abort rule for a small loss.
18:21 Ensign Howard: Now that you understand the theory behind the idea, and see its implementation, I need to show you the Study Alert for the Buy.
18:21 Ensign Howard: Note the Signal to buy is still our GV[1] as discussed in the first part of today's class.
18:22 Ensign Howard: The Price selection is a new selection that shows the Price is to be found in GV[240] and the Quantity is to be found in GV[241].... this selection will be an OVERRIDE of the Quantity spinner box. We are using this selection so we can have the DYO manager the trade quantity, and disregard the spinner setting on the Study Alert form. Now it makes more sense why in the last DYO shown we did the increment or reset for the trade size in GV[241]
18:24 Ensign Howard: Any questions? If not, I will show the change in the trade detail summary.
18:26 Ensign Howard: The Profit has jumped from $12800 in the model from the first part of class to $23,062. This is a most excellent results. We did not really increase from 243 to 265 trades.... all we did was change the sizes in the trades. The count increase is due to more trades being lifted one at a time, just like the example just discussed.
18:28 Ensign Howard: For example, Line 7 was a loser.
18:28 Ensign Howard: Line 8, 9, and 10 are the 3 contracts traded in the next trade started at 14:15 but lifted at different times. One was lifted at 14:20 on a profit exit. One was lifted one bar later at 14:25 on a profit exit. The 3rd contract was removed at 16:00 on a end of day time exit rule.
18:30 Ensign Howard: So in our model that can trade a bigger position, such as 3 contracts, we might get more lines in the trade details showing how these contracts were resolved.
18:27 mikey: Howard, in the Trade Detail, why is "Today's Change" a negative number?
18:31 Ensign Howard: The value on the Today's Change shows the change in the Account balance for the trades made just today. The account was at $23,686 yesterday. The system was doing fine today, until it got caught on a whip last into the plunge. Let me show you since you asked.
18:32 Ensign Howard: The system was short 3 contracts at 13:30..... and the Sto poked its head up over 50 on that nasty little poke bar at 14:20. That primed the system for a pending BUY, which was filled by the plunge bar at 14:25.....ouch..... bad stuff happens...... and no trading system is immune to it.
18:34 adrian: Howard you probably covered this before but where do you tell the backtesting system on what date to start and when to stop, or it will just test all data available in the chart?
18:34 Ensign Howard: The prior example shows being loaded and on the right side of the plunge and how the system lifted trades on profit exits. This example shows being on the wrong side of the plunge... but we came so close to being on the right side.... if only that Sto value had stayed below 50 we would have been short. Or if the Sto had not gone below 30 ahead of that we would not have had the Buy setup signal.
18:36 Ensign Howard: BUT, if I try to tweak the system in hindsight to make a better trade for today's plunge, I do so at the risk of worsening the system for other days.
18:36 Ensign Howard: The beauty of backtesting is you can adjust parameters and see the effect on everything, and not just the effect on the one case you are staring at. I just had to show the system as is, and today was a punch in the eye, but still the system shows an handsome profit for 6 weeks of testing. I am not worried..... just bruised a bit from today... but my confidence is the system will recover.... and we can talk about it next week if you want to see how it fairs.
18:39 MakesOwnWeather: Ensign Howard, I understood earlier in the class that with the market moving hard while contrary to the existing trade that the system would exit the trade with the big contrary move in one bar. But, from what you said, my understanding does not seem to be correct, so where would one add a line to the DYO to enter a protective stop for a runaway market?
18:40 Ensign Howard: The abort rule for being the wrong way was watching Stochastic being >70 when short or <30 when long. In the example the rule did abort the long position on the orange stripe 3 bars later.
18:41 Ensign Howard: You would have to and an entirely new DYO that added more rules such as exit on a loss similar to the logic for exit on a profit objective.
18:42 Ensign Howard: However, it would not have helped this particular example much because the bar to Buy just happened to be the plunge bar and the system might not have tested your protective stop until the next bar since it is a Close Only option on all the DYOs.
18:41 MakesOwnWeather: Thanks.
18:39 Ensign Howard: Ok, any questions about the material shown or discussion about the theory behind the pyramiding
18:40 DYoung: Howard, in the study alert can you enter any condition in the brackets as long as you enter "Price GV" and Qty GV" with and comma in between?
18:44 Ensign Howard: Dyoung, the Price field is a specific selection in the drop down list. ..... the GVs used on the list are specific and not subject to you entering your own values. Sorry it is not more flexible.
18:34 adrian: Howard you probably covered this before but where do you tell the backtesting system on what date to start and when to stop, or it will just test all data available in the chart?
18:45 Ensign Howard: The back testing is across all data in the chart file, and my chart file has data from March 21st. That is sufficient for me to get some results. If the file were twice that size, I could expect to have twice as many entries in the Trade Detail ledger, but that ledger is limited to 500 entries. Also a bigger file takes much longer to recalculate and these are CPU intensive DYOs and Alerts, and when designing I am making frequent changes to the property forms and do not want to wait a long time for each change I make. So I clipped the file by deleting bars leftward ahead of March 21st. I am being practical about the file size as I research ideas and implement them.
18:47 DYoung: OK Howard. As for the "close" option of entering, I am using H+L/2 because most times the trigger comes before the close. When checking both "close" and H+L/2, there is not much difference. OH, the H+L/2 puts the entry somewhere in between the last closed bar depending on the high and low
18:48 Ensign Howard: The reason for having the Close only checked is that in hindsight we cannot execute signals intra-bar. In hindsight we can only see where Stochastic ended on the bar, for example. So to match the same model for real-time you should have Close Only checked so the signals like Stochastic are checked only on the close of the bar.
18:49 Ensign Howard: Stochastic might have gone above 70 intra-bar and then been below 70 at the end of the bar. You would not want that momentary move above 70 to affect your results. I would not use (H+L)/2 because the results will typically be biased and you cannot get the fill price.
18:51 Ensign Howard: For example, in a down move, the signal might be to go short when Sto is lower. Sto will be lower when close is on the bottom of the bar, and the average of the range is statistically going to be more favorable to sell short at then the close will be to sell at. So use the price nearest the calculation, which is Last for a Close Only evaluation or use the ideas shown in class where you pick your price and then watch to see if you are fulfilled on a subsequent bar.
18:52 DYoung: I see your point. Thanks
18:54 MakesOwnWeather: Ensign Howard, I have a general question about the first part of today's class: Which would be the best lines to add an audible alert for a buy/sell and exit? Or, if best in a separate Study Alert, would you test GV242 for a non-zero value to trigger the alert?
18:54 Ensign Howard: Use the same Study alerts that did the trade execution. The forms I showed did not make use of the Sound panel, but they could have and they did not make use of the Message Alert panel, but they could have. Just check the Show box for the message would have put up the alert message panel with the Message text from the form when a trade was entered, lifted, or exited. That would be useful in real-time watching, but is not useful in backtesting research
18:55 MakesOwnWeather: So, I would duplicate the Buy 2 Entry for Sell 2 Entry?
18:56 Ensign Howard: Do not duplicate any DYOs or study alerts. Use those already in the system. My example showed the stripe with the position size and you can add the position size to your message text by referencing [241] as part of the message -- example Buy [242] Contracts
18:59 Ensign Howard: The topic has been of increased complexity over last week and should extend your understanding of how to do more complex things
19:00 Ensign Howard: New features in Ensign 05-09 version permit you to control the execution price better and also the trade Quantity. You have had in the past the ability to execute at Panel B price and Panel B would have been reading a GV. But there are new Price selections for reading GV[10] or GV[240] for the price so that panel B can be used for trade logic
18:59 aww: Can an Alert be made to show the first touch of Bollinger Band only after new system entry bar forms? I only want the first upper band touch after sell signal and first lower band touch after buy signal to show marker on chart.
19:01 Ensign Howard: yes, aww, you can do a system that watches for a 1st occurrence. See in the DYO library the example labeled 1st Occurrence and see the discussion on this Ensign Stochastic System in last weeks transcript on the dacharts site. Principles you would use have been discussed last week.
19:00 MakesOwnWeather: Ensign Howard, is this downloadable as a template?
19:03 Ensign Howard: The examples shown today have not YET been uploaded as templates. I will look them over again tomorrow and see if any changes are needed and then post them tomorrow.
19:12 Ensign Howard: ok, thanks for attending the class. Bye, have a good day and enjoy life.
19:12 @Buffy2: Thank you Howard
19:12 DYoung: Thanks Howard. How nice it is that a program can be changed to accommodate user imagination!
19:12 Kim: Thank you Howard
19:13 MakesOwnWeather: You also, Ensign Howard. Thank you for your help.
19:14 aww: Good night, thanks again
19:16 Shar: So much work for you Howard. thanks much.