"Continuous" Weekly Bars

G

Greg F

Hi Folks.
I've been experimenting with a simple breakout system based on Elders Triple Screen method.
Filtering the daily-bar based entries by going up one time-frame to weekly-bars is effective in weeding-out some whip-saws and bad trades. Elder recommends the uptick or downtick of MACD but I have found DMI to work well also. The point here is simply to determine the longer-term trend and only enter the market in that direction. This is nothing new.
Unfortunantly, some good trades are sacrificed, but working from a pool of 15 markets or so I'm getting decent results on past data without optimizing parameters. I'm attempting to catch trends that are from 2-3 weeks to 2-3 months in length.
The main problem I'm having is with the "timelyness" of the weekly bars. If I get an entry signal on Wednesday for instance, it's filtered by last weeks weekly-bar which ended last Friday. So there's a couple of days mkt. activity not accounted for in my weekly filter.
What I'd like to do is use a "continuous" weekly bar that ends the previous day and includes the last five trading days, and goes back from there, allowing for back-testing.
Would anyone have an idea of how to program Tradestation to create these type of bars, or know of a platform that can do it? I've been rackin my brain over this and I cant find a solution.
Any help would be greatly appreciated.

Thanks, Greg
 
You can use the arrays in TS2k and do just that, I have. I do not have any exposure to TS6, don't know if it can be done there. TS4 did not have arrays.

Max
 
Quote from Greg F:

What I'd like to do is use a "continuous" weekly bar that ends the previous day and includes the last five trading days, and goes back from there, allowing for back-testing.
More...

My experience has shown that perhaps you should look into partial bars for the current week rather than the rolling bars you're considering. A rolling bar creation will change your entire chart going back to the beginning of your data every single day, and will only be what the rest of the world is looking at once a week.

Just a thought... Good luck!
 
I'm assuming you're using data1 for daily and data2 for weekly. To get what you want, setup the workspace so that data2 (weekly) is from a separate ascii file that you import once to get the workspace setup right. Then you just use either a spreadsheet or simple program to read your daily data and create the updated weekly (last 5 days) bars in your ascii file. When you open the workspace the updated data will be there without having to do anything in Tradestation.
 
Using the ASCII on data2 won't give you a realtime update on the weekly bar but it probably will do what you want.

Max
 
Thanks everyone who responded for the great ideas.
This opens a couple of new doors for me.
Appreciate the help!

Greg
 
Instructions for adding continuous contracts from Esignal into Tradestation 2Ki:

Insert Symbol

Change Template @ bottom to Index

Add New

Change Category to Index

Type in ES #F

Hit Ok

Hit Ok again

Now you just have to modify the contract specs:

Index Tab:

You can provide a name for this symbol in the description field if you like. I used "ES Continuous Contract", but I think I might change it to "Bread and Butter contract"

Settings Tab:

Exchange = CME

Price Scale = 1/100th

Point Value = 50.000000

Daily Limit = 3000

Min Movement = 25.000000

Sessions Tab:

The trading hour should already be set, since they were based on the CME change you did earlier. The only thing you need to change here is the settlement time. Make it 0 hrs and 10min.

Do the same for the NQ, using NQ #F as the symbol and on the Settings Tab make the following changes.

Point Value = 20.000000

Daily Limit = 5000

Min. Movement = 50.000000

That should do it.

Brian
 
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