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For you, Technical Analisys lovers!
- Thread starter abogdan
- Start date
Quote from abogdan:
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.
Hey Maestro, Try Wealth-Lab Developer. Built in FIRs, etc. No problems on the multiple stocks, same bar exits/entries etc.
Couldn't challenge you without it. ;-)
JB
Quote from Turok:
Hey Maestro, Try Wealth-Lab Developer. Built in FIRs, etc. No problems on the multiple stocks, same bar exits/entries etc.
Couldn't challenge you without it. ;-)
JB
Thanks very much for your suggestion, eh. I just looked into it, looks good. How long you've been using it? Do you like it? I would like to know a little more before I buy it.
Abogdan,
B/A data cannot be directly imported in WLD, since WLD natively supports O/H/L/C only. However, using file access functions you would still be able to access your data that way. You can create sophisticated data structures using WLD, so you may want to read all that data on init, when using it for simulation purposes.
BTW, although I may have some glitches in the program, I did implement a first cut of your algorithm (although I used Closing prices, instead of B/A), and I applied it to 1-minute bars for 2 years of data that I have for 10 volatile and liquid NAZ stocks (yes, I realize that this is a big variation on the theme).
Although as of now, I'm not 100% sure of the correctness of my program, the results did not look promising.......over 2 years, it had an overall trade winning % of 37%, and a 90% loss of initial capital. I need to verify further, but I'm leaning towards the fact that this system will fail miserably in a bear market. It worked better in the last several months, however; i.e., during bull market. It did horribly in 2002.
Unfortunately, I have other systems that I'm working on currently, so I'm not sure when I can verify correctness.
An interesting thought, however. I strongly recommend that you back-test "your" algorithm, before deciding to go with it full-time. Only YOU know your algorithm for sure.
Regards.
B/A data cannot be directly imported in WLD, since WLD natively supports O/H/L/C only. However, using file access functions you would still be able to access your data that way. You can create sophisticated data structures using WLD, so you may want to read all that data on init, when using it for simulation purposes.
BTW, although I may have some glitches in the program, I did implement a first cut of your algorithm (although I used Closing prices, instead of B/A), and I applied it to 1-minute bars for 2 years of data that I have for 10 volatile and liquid NAZ stocks (yes, I realize that this is a big variation on the theme).
Although as of now, I'm not 100% sure of the correctness of my program, the results did not look promising.......over 2 years, it had an overall trade winning % of 37%, and a 90% loss of initial capital. I need to verify further, but I'm leaning towards the fact that this system will fail miserably in a bear market. It worked better in the last several months, however; i.e., during bull market. It did horribly in 2002.
Unfortunately, I have other systems that I'm working on currently, so I'm not sure when I can verify correctness.
An interesting thought, however. I strongly recommend that you back-test "your" algorithm, before deciding to go with it full-time. Only YOU know your algorithm for sure.
Regards.