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?
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OH OH, Tom and I
SRS2
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?