Generating a buy sell signal on one market, executing it on another...

[Giffen]

Are there any trading software packages that allow you to design and backtest a system where:

You generate the buy/sell signals off one market, then actually use those signals to buy/sell another market. Also mixing time frames?

For example:

Generate buy/sell signals (your system) on the ES 3 minute bars, but execute the orders on the Nasdaq 1 minute bar market?

Or use a multiple of this...say one market has condition in the es 3 min bar chart has to be met

AND

another condition in a Dow mini 5 min market has to then be met

THEN

buy/sell in a third market regardless of hte time frame of the data on the chart?



Seems to be very simple so I assume a lot of software packages do this but I haven't seen any explicitly say they do...

Again all in a backtesting software and hopefully then in an order automation ability too...

 

[dsplaisted]

Quote from Giffen:

Are there any trading software packages that allow you to design and backtest a system where:

You generate the buy/sell signals off one market, then actually use those signals to buy/sell another market. Also mixing time frames?

For example:

Generate buy/sell signals (your system) on the ES 3 minute bars, but execute the orders on the Nasdaq 1 minute bar market?

Or use a multiple of this...say one market has condition in the es 3 min bar chart has to be met

AND

another condition in a Dow mini 5 min market has to then be met

THEN

buy/sell in a third market regardless of hte time frame of the data on the chart?



Seems to be very simple so I assume a lot of software packages do this but I haven't seen any explicitly say they do...

Again all in a backtesting software and hopefully then in an order automation ability too...

You would be able to do this with RightEdge, but right now you would have to do a lot of programming to support this. We plan on adding more support for working with multiple time frames which would make it easier on you, but it will probably be a few months before we get to it.

 

[maxpi]

Tradestation will do all that. You insert the symbol you want to trade as symbol1 and the ones you want your strategy to monitor as symbol2, 3,etc.. All trades and backtesting will be done on symbol1 but your strategy can use info from any/all symbols. You can make the bar interval on any symbol anything from 1 minute on out to months or quarters I guess. They do not have to have the same bar interval. You cannot do that with tick bars or volume bars however. If you want to mix symbols on tick/volume bars you have to use multiple charts and global variables and that complicates backtesting.