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Anyone have any thoughts on this?

I am wondering if anyone is aware of software that can create continuous back-adjusted data from tick or 1-minute interval, futures data. I am aware of organizations like CSI and TickData that have software that can create continuous data using their own proprietary format data. However I...

ChoSingKum, after a break I’m back on to this same problem and I can’t get your suggestion of the array to work. Remember that we have 5-minute data as Data1 and daily data as Data2 and that we wish to calculate the daily ATR using Data1. So using the following … Var: Counter(0)...

I wish to make no more than one long entry each day therefore… marketposition = 0 is to ensure there is no existing open position on the current bar. entrydate(1) < date is to ensure that the date of the next entry is not the same date as the previous entry. Both conditions need to...

ChoSingKum, thanks very much. This use of Array does exactly what I need, in that I no longer need to refer to data2 and can therefore use the "date of next bar" command. My only concern is that if I need to calculate a very long daily ATR value, for example ATR(200) then the array may take...

You’re right on that one, however I’ve looked at your suggestions and this is what I come up with… and Both of these suggestions still do not solve the problem with the last bar of the day, i.e. if it’s the last 1-minute bar of Monday, the code will place an order to buy on the first...

Thanks for the advice, but this still has the same problem with the last bar. When it’s the last bar of today, it will use MyOpen (Open of today) to place a stop order on the 1st bar of Tomorrow.

TrueStory, thanks for your input. My preference is not to miss trades that may occur on the first bar of the day. As you suggest I could reduce the timeframe to 1-minute bars, which would reduce the number of missed trades. However, even if I were to do this and then use your suggested time...

I’m carrying out testing in TradeStation using 5-minute data and need to refer to daily data for a daily True Range calculation. Normally this would not be a problem as I place 5-minute data in Data1 and daily data as Data2. However in my coding I need to use the “date of next bar”...

OK I get it now, thanks for the advice. Unfortunately ... ... that is indeed the case.

RoughTrader, thanks for your input on this. I agree … there are too many early closes that need to be addressed differently. However regards exiting on the close of the first 5 minute bar, my preference is very much for the open. Unfortunately I only have 5 minute (rather than tick) data so...

Thanks ChoSingKum, your suggestion does indeed exit correctly at tomorrow’s open. However when you say “can only be used in a Signal”, I assume you are referring to the fact that “Next Bar” cannot be used within the system code if more than one dataset is used, i.e. I can’t use...

TrueStory, thanks for your suggestion. Unfortunately I have an earlier version of TS, so “buytocover” is not recognized. If I understand correctly, “buytocover” is effectively the same as “exitshort”. If that is the case, then it seems that I would still have the problem of...

Thanks ChoSingKum, your suggestion works EXCEPT if the preceding day was either a holiday or a half-day, in which case the system exits "two" days later. I'd appreciate it if you or anyone else may have any further advice on this.

I have been using TradeStation for several years, but have only just started testing on 5 minute data. Previously all my coding was for daily data. I’m having a problem writing code to exit a trade at tomorrow’s open. For example the following code buys at today’s open plus 0.5 x...

This appears to calculate the average range rather than the average "true" range. The ATR should take into account any unfilled gaps betwen the day's close and the next day's high or low. It's when I start introducing the close into the calculation that I start running into problems.

Thanks for the formatting tip for displaying this indicator. Makes it a lot easier to check my coding.

Ellis I don't think that this is the problem, because even prior to referring to the Length, the DTR (as opposed to DATR) is providing an incorrect value.

syswizard, refer to today's trading in April Light Crude. Link to 5 min chart ... http://www.futuresource.com/charts/charts.jsp?s=RCLJ07&o=&a=V%3A5&z=800x550&d=LOW&b=bar&st=

syswizard, not sure I follow you. Even with very liquid futures I have still found occasional gaps between 5min bars. In any case while I’m carrying out testing on 5min data, I am actually using daily data for my “True” range calculations so I certainly need to account for overnight gaps...