Can someone please tell me if SRS 2 triggered short today,
and at what price? Mine's triggered short at the open at 7.95, but
I suspect other's may not have triggered at the open. Thanks in
advance.
SRS did not trigger short, the MA's never crossed each other,
they were simply the same value, i.e The fast MA never went below
the Slow MA, so there was no short.
Mine went short at the open also (long at 2pm). Ninja/IB also
shows the last bar from Friday as being at the same value but it
only shows two decimal places so there must have been a tiny cross.
That could vary based on data provider though. Matt -- didn't you
go short at some point this morning? Looks like you would have from
the Silverlight chart
my MA's touched on Friday on the last bar, however my strategy
won't enter the last 10 min of the market. So maybe that
resets it. So what my Strategy did today was go flat in the
morning, it didnt' short. Then it went long. I
tried someone else's code and I get the same thing, so it must be
something with TS and how it interprets that.
as you can see, it didnt' short in the morning, it went flat,
closed the long but didn't short
Guys, here's what's happening. My strategy is set to NOT
take a new trade the last 10 min of the day, that's why mine
doesn't short this morning. Now if I take that parameter out
(last 10 min), then I get the short. However again, all my
strategies are set not to take the trade the last 10 min of the
day. So apparently when that is on, TS must interpret that
weird and close out the trade as break even - it's something with
the way TS interprets that EOD. So in your code, add
the parameter to not take a trade the last 10 min of the day.
Also, this is in the FAQ (
Also, for the EOD systems, I do
not enter into new trades if the MA's crossover at 3:50 or later
(10 min before the market closes). Therefore if the MA's
crossover at 3:53, you do no enter the trade.
The good thing however is that this example doesn't happen
very often.
Posted by gabebristow on 7th of Dec 2009 at 09:09 pm
Why would you have your "mechanical system" not take a
trade? If its mechanical and you trust it, wouldn't you just
let the #$%^ run? I am confused... I don't remember
reading that in the premium content section. Please correct
me if I am wrong..
I already explained it, technically the MA's crossed in the
morning and so the system should have shorted, don't over
complicate it. Mine didn't because of some weird anomaly.
technically mine should have taken a short this morning, but it did
not. I figured out why and when I removed the code problem,
the system took the short, however the long term returns actually
went up from 930k to 950K (because there were a few cases of this
in the past) from now back to July 2007, so that's 20K more over
2.5 years. so just follow the MA crossover and I'm sorry for
the confusion, don't over complicate it. Like I said, when
you look at the statisics, it makes no difference in the long
term.
To save yourself the headache, just have the systems coded on
your computer to automatically trade for you, that way you dont'
have to think. We are going to offer this option to people,
Tom will offer to set up the code and systems on peoples computers
who are interested, of course you will have to have an account with
Tradestation
and it will cost a
feebecause it will take about an hr on the phone
consultation with Tom, etc.
I'm a little confused about the backtesting for the swing
strategies (SRS, BIDU). Were they tested with no trades taken
the last ten minutes of the day? What about the AIG pivot
strategy?
Hmm, interesting so that is a (perhaps unintended?) rule that we
don't have -- to go flat under certain conditions -- question is
can you backtest its vs just mechanically following the cross
regardless of time?
it makes very little difference in the grand scheme of
things. Now obviously today it was a lot different, but over
time they seem to average out, where some days you benefit by it
going flat, like today, and other days you don't. And
the other thing, it is a rare occurrence.
SRS2
Posted by cw12 on 7th of Dec 2009 at 01:56 pm
Hi,
Can someone please tell me if SRS 2 triggered short today, and at what price? Mine's triggered short at the open at 7.95, but I suspect other's may not have triggered at the open. Thanks in advance.
SRS did not trigger short,
Posted by matt on 7th of Dec 2009 at 02:51 pm
SRS did not trigger short, the MA's never crossed each other, they were simply the same value, i.e The fast MA never went below the Slow MA, so there was no short.
maybe you could post your
Posted by rank10 on 7th of Dec 2009 at 03:20 pm
maybe you could post your chart matt, mine shows a clear cross right on the first bar
SRS 2
Posted by bkout3 on 7th of Dec 2009 at 03:17 pm
Mine went short at the open also (long at 2pm). Ninja/IB also shows the last bar from Friday as being at the same value but it only shows two decimal places so there must have been a tiny cross. That could vary based on data provider though. Matt -- didn't you go short at some point this morning? Looks like you would have from the Silverlight chart
my MA's touched on Friday
Posted by matt on 7th of Dec 2009 at 03:27 pm
my MA's touched on Friday on the last bar, however my strategy won't enter the last 10 min of the market. So maybe that resets it. So what my Strategy did today was go flat in the morning, it didnt' short. Then it went long. I tried someone else's code and I get the same thing, so it must be something with TS and how it interprets that.
as you can see, it didnt' short in the morning, it went flat, closed the long but didn't short
OH OH, Tom and I
Posted by matt on 7th of Dec 2009 at 03:33 pm
OH OH, Tom and I figured it out.
Guys, here's what's happening. My strategy is set to NOT take a new trade the last 10 min of the day, that's why mine doesn't short this morning. Now if I take that parameter out (last 10 min), then I get the short. However again, all my strategies are set not to take the trade the last 10 min of the day. So apparently when that is on, TS must interpret that weird and close out the trade as break even - it's something with the way TS interprets that EOD. So in your code, add the parameter to not take a trade the last 10 min of the day.
Also, this is in the FAQ ( Also, for the EOD systems, I do not enter into new trades if the MA's crossover at 3:50 or later (10 min before the market closes). Therefore if the MA's crossover at 3:53, you do no enter the trade.The good thing however is that this example doesn't happen very often.
That doesn't make any sense!
Posted by gabebristow on 7th of Dec 2009 at 09:09 pm
Why would you have your "mechanical system" not take a trade? If its mechanical and you trust it, wouldn't you just let the #$%^ run? I am confused... I don't remember reading that in the premium content section. Please correct me if I am wrong..
G
I already explained it, technically
Posted by matt on 7th of Dec 2009 at 11:09 pm
I already explained it, technically the MA's crossed in the morning and so the system should have shorted, don't over complicate it. Mine didn't because of some weird anomaly. technically mine should have taken a short this morning, but it did not. I figured out why and when I removed the code problem, the system took the short, however the long term returns actually went up from 930k to 950K (because there were a few cases of this in the past) from now back to July 2007, so that's 20K more over 2.5 years. so just follow the MA crossover and I'm sorry for the confusion, don't over complicate it. Like I said, when you look at the statisics, it makes no difference in the long term.
To save yourself the headache, just have the systems coded on your computer to automatically trade for you, that way you dont' have to think. We are going to offer this option to people, Tom will offer to set up the code and systems on peoples computers who are interested, of course you will have to have an account with Tradestation and it will cost a feebecause it will take about an hr on the phone consultation with Tom, etc.
I'm a little confused about
Posted by algyros on 7th of Dec 2009 at 04:27 pm
I'm a little confused about the backtesting for the swing strategies (SRS, BIDU). Were they tested with no trades taken the last ten minutes of the day? What about the AIG pivot strategy?
Hmm, interesting so that is
Posted by bkout3 on 7th of Dec 2009 at 03:31 pm
Hmm, interesting so that is a (perhaps unintended?) rule that we don't have -- to go flat under certain conditions -- question is can you backtest its vs just mechanically following the cross regardless of time?
it makes very little difference
Posted by matt on 7th of Dec 2009 at 03:35 pm
it makes very little difference in the grand scheme of things. Now obviously today it was a lot different, but over time they seem to average out, where some days you benefit by it going flat, like today, and other days you don't. And the other thing, it is a rare occurrence.
Thanks for the explanation. I'm
Posted by cw12 on 7th of Dec 2009 at 03:45 pm
Thanks for the explanation. I'm thinking of just leaving mine as is, since I'm not that great at Easy Language.
mine triggered right on the
Posted by rank10 on 7th of Dec 2009 at 01:57 pm
mine triggered right on the open at the same price
Thank you.
Posted by cw12 on 7th of Dec 2009 at 02:00 pm
Thank you.
...and its just flipped back
Posted by vnathwani on 7th of Dec 2009 at 02:03 pm
...and its just flipped back again to long. Whipsaw city