Dear ET members who are still following this thread. In order to prove my point I had to do something that I normally hate doing. I used TradeStation to write a system that is based on the conceptual model that described at the beginning of this thread. As you know, TradeStation has a lot of inherent limitations such as:
#1 It does not allow optimization on Bid/Ask BidSize/AskSize data
#2 It does not have an ability to program some of the best digital filtering technics like FIR or IIR filters.
# 3 It does not allow multiple entries/exits on the same bar.
#4 It does not have a capability of having multiple stocks positions
etc.
Knowing all these limitations I still wanted to illustrate my concept. So instead of delta I used the length of 15 min price bars, I also used "0" line that is straight and not adjusted by Sizes. I had to omit a lot of other technics that normally work well for me due to TradeStation limitations.
With all of this in mind please take look at the following Easy Language code that I slapped together strictly for illustration purposes.
To test the system please follow the following instructions:
Copy and Paste the code in a new strategy window.
Inputs: Cnannel(0.03), ShareMultiplier(1.45), GuaranteedSwing(2.6);
Vars: OpenPrice(0), DefaultShares(1000), Flip(0), MaxProfit(0), Done(0);
If (date[0] <> date[1]) or (OpenPrice = 0) then begin
OpenPrice = Open;
Done = 0;
Flip = 0;
End;
If Close > (OpenPrice + Cnannel) And Done = 0 And (MarketPosition = 0 or MarketPosition = -1) Then Begin
Buy DefaultShares*(Power(ShareMultiplier,Flip)) Shares this bar on close;
Flip = Flip + 1;
End;
If Close < (OpenPrice - Cnannel)And Done = 0 And (MarketPosition = 0 or MarketPosition = 1) Then Begin
SellShort DefaultShares*(Power(ShareMultiplier,Flip)) Shares this bar on close;
Flip = Flip + 1;
End;
If MaxProfit < OpenPositionProfit Then Begin
MaxProfit = OpenPositionProfit;
End;
If CurrentShares <> 0 and MaxProfit <> 0 And OpenPrice <> 0 Then Begin
If (100*MaxProfit/(CurrentShares*OpenPrice)) >= GuaranteedSwing Then Begin
If ((MaxProfit - OpenPositionProfit)/MaxProfit) >= 0.08 Then Begin
Done = 1;
Flip = 0;
MaxProfit = 0;
If MarketPosition = 1 Then Begin
Sell this bar on close;
End;
If MarketPosition = -1 Then Begin
BuytoCOver This bar on close;
End;
End;
End;
End;
Verify the strategy.
Bring up 15 min bar chart of KLAC with at least 250 days history
Apply the strategy.
Adjust the properties of the strategy the following way:
In the strategy properties window please set Fixed Shares = 1000, maximum Shares/Contracts per position = 4000, max bars that study will reference = 2, commissions = $0.005 per share, initial capital = $100,000, do not allow multiple entries.
In the inputs window use channel = 0, ShareMultiplier = 1.45, GaranteedSwing = 2.6
I'm looking for all of you who would be able to test the strategy to share the results you get with all of us who are following this thread.
Mind you again, it is just a rough, crude version of what I'm actually running.
Have Fun!
P.S. You can, obviously modify the system to fit any stocks you like.
