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To illustrate the robustness of a simple setup, with proper entry and trade management, I have swept N from 12 to 32 in increments of 2, and attached the equity return curves for each value. Please see attached. rt

Trade results: For daytrading systems, many performance summaries examine trade-by-trade results. I don't think this is a valid way to do it. Account balances are typically marked-to-market on a daily basis (mutual funds are a good example), so it makes sense to calculate perfomance...

Now to define the setup: At the first bar of the session, set variable Setup = 0 If BarCounter >= N, then: - If the high of the current bar is greater than the R_Level of the previous bar, then Setup = 1 - If the low of the current bar is less than the S_Level of the previous bar...

I built this Time-based SR indicator, and plugged it into my proprietary trading system framework. The basic code of the setup is this: Define N as the number of lookback bars to determine the highest High, and lowest Low. Define BarCounter as: - 1 if first bar of session -...

This type of system does work on an intraday basis, I know by experience. The main drawback is that choosing a fixed number of bars to calculate HH and LL does not give the system any sensitivity to changes in volatility. The main advantage is that it is very easy to program. Again, over...

Thanks a lot, it's much appreciated. rt

I'm using IB's data. rt

Hi all, I'm looking for some source code that can convert raw tick data into minute bars. Java or C++ is fine, if someone has built a class or method, any help would be much appreciated. Thanks a lot, rt

LOLOLOLOL!!

this is getting uglier by the minute. I can't believe Bernanke isn't printing and giving free cash to the banks by now. America should be at defcon 1 with this shit. Hide the women and children! rt

YM is jumping around too. Already about 200 points to the downside tonight. I have never seen this kind of action before, my jaw is dropping.... rt

and, duh, We have GET_EXECUTION_PRICE to find the fill price. One more question: is there a way to deactivate and reactivate an existing order, instead of cancelling it and re-sending the order later? rt

I just figured out how to generate OCO. After function PLACE_ORDER is called, use SET_ORDERVAL to create an OCA group and OCA type. Thanks, rt

maxchinaski, When I call GET_POSITIONS, it should return a postive integer for the number of shares or contracts the account is long in a given instrument. It should return a negative integer for the number of shares or contracts the account is short in the instrument. Documentation says...

After a little investigation, I found that scope does matter. Any twslink functions called must be defined in the local scope in which they are used. If a wrapper function is created to perform some twslink functions, those functions must be defined inside the wrapper function. rt

Yeah those wrapper functions are what I'm talking about. The ideal thing is to make the code as readable as possible, and separating execution code from algorithm code makes sense. Either way, it will work. rt

Hi maxchinaski, This is really great work. I am looking through your tradestation examples right now. Question: you declare a rather lengthy list of dll functions in the strategy code. Is it possible to declare these dll functions inside an EL function, so that when the EL function is...

You need to assume 1 tick slippage. In a reasonably liquid market, if your limit order is placed 1 tick shy from the strategy order, you will always be filled. You can also assume 1 Tick slippage in the strategy options. If this option obliterates your equity curve, it means your average...

This article talks more about the business and investing side. i.e. people in corporate finance and investment banking. I wonder how the institutional traders and quants working in futures and options are doing....That is the road I might be headed down shortly.... RT

What solution would that be? RT