Updated 10 Dec 2008 (yesterday) chart attached, showing trades from updated logic engine.
As desired, we can focus on the same day to see how the code changes impact the same time series of data.
Current screen technology allows one to see this stuff in its native resolution.
It's nice not to have to downgrade the image in the feedback information loop.
24" or 30" screens are useful for trading.
17" was a common size for a black and white TV when I was a young lad, so I do have some experience with it.
17"x5 may not be as effective as 30"x1.
Chart labels
S5FKLE: Stoch5 FastK Long Entry
S5FKSE: Stoch5 FastK Short Entry
S5FKRL: Stoch5 FastK Reverse Long
S5FKRS: Stoch5 FastK Reverse Short
S14KDLX: Stoch14 KxD Long Exit
S14KDSX: Stoch14 KxD Short Exit
and so on...
Long Entry bar and price: Green arrows
Long Exit bar and price: Blue arrows
Short Entry bar and price: Purple arrows
Short Exit bar and price: Dark Yellow arrows
In the next post I will attach a log of trades.
Version 0.2 of the logic engine below.
Additional capability and enhancement as follows:
- Built the Reversal logic, using the Stoch5 FastK.
System now takes many more trades.
- Added a quick and clean Medium volume threshold qualifier for entry and reversal.
- Cleaned up and standardized the nomenclature as discussed.
- Better structured the code for intuitive understanding and natural reading.
- Added some commentary behind double forward slash // symbol
Comments:
At the moment I deliberately have the system configured to make decisions and to take actions at the end of each bar, instead of at every tick.
This makes the logic
much easier to validate in the chart.
When we are ready for prime time, I can toggle the switch and change to tick-by-tick decisions and actions.
If I were to do it now, it would plot entries that don't appear to be validated in the chart
(temporal intrabar crosses that don't close as crosses, and that sort of thing).
Code:
{
CashCow automated trading system
Architect: Jack Hershey
Version 0.2
Date 11 Dec 2008
}
variables:
Stoch5FastK( 0 ), Stoch5FastD( 0 ), Stoch5SlowK( 0 ), Stoch5SlowD( 0 ),
Stoch14FastK( 0 ), Stoch14FastD( 0 ), Stoch14SlowK( 0 ), Stoch14SlowD( 0 ) ;
if CurrentBar > 2 and Time > 945 and Time < 1600 then
begin
Value1 = Stochastic( H, L, C, 5, 2, 3, 1, Stoch5FastK, Stoch5FastD, Stoch5SlowK, Stoch5SlowD ) ;
Value2 = Stochastic( H, L, C, 14, 1, 3, 1, Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD ) ;
//Entry logic
if Volume of 1 bar ago > 20000 then //enter only when volume greater than 'Medium'
begin
if CurrentBar > 2 and Stoch5FastK crosses above 50
and Stoch5FastK > Stoch5FastD and marketposition = 0 then
Buy ( "S5FKLE" ) 1 contract this bar at close ;
if CurrentBar > 2 and Stoch5FastK crosses below 50
and Stoch5FastK < Stoch5FastD and marketposition = 0 then
Sellshort ( "S5FKSE" ) 1 contract this bar at close ;
end;
//Reverse logic
If Volume of 1 bar ago > 20000 then
begin
if marketposition > 0 and Stoch5FastK crosses below 50 then
sellshort ( "S5FKRS" ) 1 contracts this bar at close ;
if marketposition < 0 and Stoch5FastK crosses above 50 then
buy ( "S5FKRL" ) 1 contracts this bar at close ;
end;
//Exit logic
if {(Stoch14SlowK < Stoch14SlowD) and}
(Stoch14SlowK crosses below 80) and marketposition > 0 then
Sell ( "S14SKLX" ) 1 contract this bar at close ;
if {(Stoch14SlowK > Stoch14SlowD) and}
(Stoch14SlowK crosses above 20) and marketposition < 0 then
buytocover ( "S14SKSX" ) 1 contract this bar at close ;
if marketposition > 0 and Stoch14SlowK crosses below Stoch14SlowD then
sell ( "S14KDLX" ) 1 contract this bar at close ;
if marketposition < 0 and Stoch14SlowK crosses above Stoch14SlowD then
buytocover ( "S14KDSX" ) 1 contract this bar at close ;
if marketposition > 0 and Stoch5FastK crosses below 50 then
sell ( "S5FKSX" ) 1 contracts this bar at close ;
if marketposition < 0 and Stoch5FastK crosses above 50 then
buytocover ( "S5FKLX" ) 1 contracts this bar at close ;
{
MACD Exit logic stub
Commented out. Will be brought to life later.
variables: MACDVal( 0 ), MACDMA( 0 ), MACDHist( 0 ) ;
MACDVal = MACD( Close, 5, 13 ) ;
MACDMA = XAverage( MACDVal, 6 ) ;
MACDHist = MACDVal - MACDMA ;
if absvalue( MACDVal ) < 1.4 and marketposition > 0 then
Sell ( "MACDLX" ) this bar at close ;
if absvalue( MACDVal ) < 1.4 and marketposition < 0 then
Buytocover ( "MACDSX" ) this bar at close ;
}
end;
//Flatten at end of day
if Time > 1600 and marketposition > 0 then sell ( "EODLX" ) next bar at market;
if Time > 1600 and marketposition < 0 then buytocover ( "EODSX" ) next bar at market;
<img src=http://elitetrader.com/vb/attachment.php?s=&postid=2216805 width=800>
click on attachment link to enlarge image
