swansjr

Any idea how EOT Pro does it with their Volume Splitter?[ame=http://www.youtube.com/watch?v=OIGlWKUd7TA]Volume Splitter[/ame] If I remember, it's written in EasyLanguage and they filter trades based on size. Anyone? The only EL command that seems come to come close and might be useful is TradeVolume.

I agree XDTrader. I would love to hear from them as well. To me, the Universal is a difficult trading system to master and trade. Anybody making money on this thing?

Here is another chart with the same ES 5-minute settings but the backtesting was performed down to the 10-tick level. Notice the huge difference in the equity curve from my pervious post. The feature I’m using in TS is the Look-Inside-Bar-Back-Testing. And one more with this look-back feature disabled. Again, backtesting is not a 100% science. Just because you have a great looking equity curve does not mean you have a tradable system. These curves can be altered by a simple parameter being changed within TS.

As I stated in another post I would like to make a series of posts over time highlighting my experience with the Universal Clone automated system. This is the first post and it deals with backtesting. Below is a 5-minute ES chart with the first date at the beginning of 2009 and ending on 4/24/2009. http://www.traderslaboratory.com/forums/attachment.php?attachmentid=10325&stc=1&d=1240781966 It’s a great looking curve and the settings are as follows: StartTime 845 EndTime 1500 CloseTime 1505 Cntracts 2 Target 1 Cntracts 1 Initial Stop Loss $150 B1 20 S1 11 B2 7 S2 13 Max Trades 1000 Day Loss $600 (all other inputs are not used) Now, slippage and commissions are not included. But that’s not what really worries me. What does worry me is how do you back test this? Well, in TradeStation (TS) is you can set how a bar (in this case a 5-minute bar) is generated at the tick level. For example, I can back test this at the 50-tick level (and that’s what this chart is). Presumably TS then calculates the strategy appropriately down to the 50-tick level as each bar is generated. You can select a 1-tick level for even more precise results, right! Well, not necessarily. According to Clayburg TS does not have this tick level backtesting down to a science. Thus, it’s not accurate. He has demonstrated that tick level backtesting is only accurate for about two weeks of history. After that, the results are not reliable. Thus, the only real way to demonstrate that a given strategy is effective is to let it run on live market data. That is, you don’t trade real money but leave that chart active during normal market hours and the system will generated signals and process those signals in real-time as the data streams in from your internet connection. At the end of the day note the progress of the strategy. Repeat for a week or two and then evaluate the equity curve and system report. Does it hold up? Yes, then maybe consider trading real money. If not, back to changing the parameters. So, testing can be a time consuming process.

Last fall I was very interested in purchasing the TTM Universal System by John Clayburg over at Online System Trading. I was looking for an automated system to complement my descressionary day trading when I stumbled upon a webinar by Dr. Clayburg and his Universal System seemed like a real possibility. However, I was a little skeptical to put forth $7,500 on a trading system I did not fully understand. So, I did some research. I first discovered Clayburg offers no trial version of his software and I didn't know anyone who really uses it. You can lease the Universal System for $600 per month, but that did not satisfy me. So, I decided to become a member of his site ($30 per month) so I could view the member videos and participate in the discussion forum and see what else I could learn about the system. I'm glad I joined! To make a long story short, the Universal System is tricky to setup and trade effectively. You simply don't just turn it on. Far from it. It needs to be optimized tested, refined before committing any money. Furthermore, when Clayburg shows off one of his performance reports or displays an equity curve on a particular trading system, commissions and slippage are not included. That sure makes the equity curve look great! Now, he has his reasons for not including commissions and slippage, but in my opinion this can be very deceiving for people new to the Universal System. While Clayburg does provided a lot of very helpful information with his video updates I have to say in the end I'm glad I didn't purchase the Universal Trading System for $7,500. I fear I would be very disappointed. A few weeks back a stumbled upon this! The Universal Clone - a free beta download. I've been playing with it for a few weeks now (not with real money!) and would like to start a series of posts highlighting the trading parameters and results I've been a achieving. Don't expect too much! I'm still learning and I've not found a profitable system that remains profitable on a consistent basis. Anyway, maybe we can learn a little about the system and who knows, maybe we can develop a tradable system. If you have been thinking about buying the Universal System, try the Universal Clone out first. It's free (for now anyway) and you get to see how the Universal trades without spending $7,500. So, go download a copy of the Universal Clone and follow along.

Deadalus, I tried to create it as well. I’m not familiar with how to extract the required information. For example, there are two pieces of information I need. 1) How to extract the order size. In TS there is a command called “TradeVolume” (find an example here) which is suppose to give the size of the last trade. But how does that work in relation to an indicator that might be running on a 233-tick chart. 2) Next, how do you determine if a given trade size was a Long or a Short? I’m not familiar enough with the underlining functionality of TS. I’ve been doing some research but no avail. :crap:

I run two systems that I've developed that are 100% automated in TradeStation. You can make money doing this. No system or trader makes money all the time but like any other form of trading, you are putting the odds in your favor. I also do discretionary trading on the side. Actually, I 'm learning discretionary trading on a simulator during the market hours. I hope to actively trade non correlated markets against my automated systems for diversification.

Thanks. I understand that the Volume Splitter is plotting time vs. sales (or more specifically the volume in terms of "large" orders when you have it set to follow large contract players). Cooper59, I'm interested in what indicator you are using to see the order size in TradeStation. If you are using "Sales" to help in your trading, how are you accessing this information in TradeStation? Thanks again for the help.

Thanks for posting the code. Looks like that's a c# program which I don't believe will work with TS. I did some research and found the EasyLanguage command TradeVolume which displays the trade volume on the last trade. I'm trying it out on a 1-tick chart in the after hours market on EC. It looks like a crude start.

I wish I knew. I saw those videos as well and it's an interesting indicator. I'm interested in how one breaks the orders into various sizes using EasyLanguage. Does anyone know how this is done?

I agree with Harlequin. If you want to gap fade DAX and/or FTSE you must spend a lot of time back testing the probabilities of those gaps filling and not filling. It will be important to note… How big is the gap Where is it in relation to yesterdays, open, high, low, close The day of the week (this can make a difference!) Does it open near a pivot?

All last year I ran a custom automated system I wrote in EasyLanguage that faded the opening gap on YM. It made some money but I ultimately stopped trading it because I decided it needed some more work. That was last fall. I should probably revisit it. In a nutshell, I found trading the opening gap tricky. Over the years the psychology of the gap changes and thus, you must be wary of this. Back testing shows that specific setups seem to come into favor then fade. In short, what will work over the next 18 months may not work so well after that. So, you must be on guard to shifting sentiment. Going from memory…Monday was the worst day to fade a gap. I skipped fading gaps on Mondays. The larger the gap, the less likely it was to fill. I considered a small gap on YM between 10-45 points. Target was full gap fill. Large gaps were defined as between 46 to 60 points and my target was 50% gap fill. Gaps larger than 60 were not traded. Stops for were placed at 1.5*gap_size from the entry. Thus a 20 point gap would have a 30 points stop. Once a trade was on, I never moved the stop or target. Price would either hit my stop, the target or be closed out at end-of-day, 1500 Central time. I should probably dig up my notes and studies I did and post it. That's item #256 on the to-do list!

I trade the EC for about 3 hours in the morning between 500 and 800. I use three time-frames: 34t (trade from this screen), 170t (intermediate trend), 850t (long term trend). Time frames are multiples of five. My system is biased off the Watts system. I’ve been simulation trading for over a month now and things have been going really well. Last week was almost too easy as my entries were spot on. Starting this Monday things have been painful as I now have two losing days in a row. While I’m correct with my assessment of the trend of the market, I’m entering too soon on the retracements. The retracements pull back further than what I'm use to seeing and I then get stopped out. Then I noticed something after my 5th losing trade. Most of the time over the past month the trends have been rather strong - at least when I'm watching the market. My normal entry screen is 34t chart and it has been a great place to find a pull back – in a strong market. However, now things are not trending as well and I’m noticing my middle time frame (170t) is a much better entry indicator. This is something I will have to monitor more closely. I will also go back in history and review my setups and triggers considering the possibility that my intermediate time frame has it's place as a entry indicator during more choppy market conditions. I think in the recent past my three chart system would often keep me out of choppy markets. Sometimes several days passed where I did not make a single trade. And that's fine with me. However, Monday and Tuesday the market was trending on all my time frames but in a choppy manner. I may have to recognize these conditions and watch my mid-chart more closely. I'm still training my neural net but I think I learned a valuable lesson over these last two days.

Down day today. Followed my rules 100% but the retraces against the trend were too deep and took me out twice in a row.

Well done! :applaud: That is a weakness for me. After a couple of consecutive losing trades I begin to doubt my skils. I trust my system, but it's me I question. Right now I often just stop for the day and start the next day with a clearer head. This seems to work well for right now as I continue to work on my psychology.

Today went smooth. The market had a lot of chop, which I stayed out of. Occasionally a window of opportunity arrived. Three trades this morning, all profitable. Followed my trading plan 100%. Feels good!

No setups on Monday or Tuesday. Wednesday: I traded yesterday (Wednesday, April 8th ) but when I went to generate my summary report, no trades showed up. I did it again today and no trades show up for Wednesday, April 8th. Very strange. It was a down day. First trade profitable second trade a loser. That second trade was a horrible entry and I should know better. I did not follow my entry technique at all. Got emotional. Stopped for the day. P&L ($144)

Sorry to hear about that. I guess a general rule is to have your losses not be out of proportion to your wins. Unless your system is very accurate with a high win ratio. I’m working on incorporating a running into my EC scalping. I think your suggestion on the position size is a good idea. That is, when I do trade two contracts the second will act as a runner.

Jugador, A few posts back you mentioned your fib serious for position sizing: I was wondering how this has been working for you?

Today was one of those easy days. I get up and make it to my desk at 5:19 this morning. I see the market is creating the correct opportunity and I make three trades. By 5:24 I'm done for the day.

This week was only a partial week for trading. Monday no setups. Tuesday and Wednesday no trading because the Wife and I were celebrating 2nd wedding anniversary. Here are the trades for today. Not too bad. I followed my plan 100% in my opinion. The only goof was I accidentally shorted when I wanted to go long. I managed to reverse right away and only lost out on commissions. Dumb mistake. After my first loss I was done as the EC became very choppy.

I trade on a Mac mini running WindowsXP (bootcamp) and TradeStation as my trading platform. No problems. Runs great and the mini fits well on a desk or hidden away.

I’ll play. I recently started simulated trading with Watts method. I try to get a couple hours of trading in during the morning hours (5:00am – 7:00am central). Then it’s time to get ready for work. I scalp the EC and today things were going well. I followed my setup for all my trades except the very last trade which was a loss. I got emotional and did not enter properly. Done for the day!

Given your example, it is my understanding TradeStation "knows" to sell short 5 contracts thus brining you to 3 contracts short.

I'm actually home so I was able to verify the following code. It's a simple moving average crossover system that uses three targets. Input: Price( Close ), StopLoss$(300), LT_Length( 34 ), ST_Length( 13 ), Target_1(25), Target_2(50), Target_3(100); Variables: LT_SMA(0), ST_SMA(0), Counter(0); LT_SMA = Average( Price, LT_Length ); ST_SMA = Average( Price, ST_Length ); If ( ST_SMA crosses over LT_SMA ) Then Buy ( "Long" ) 3 contracts next bar at market Else If ( ST_SMA crosses under LT_SMA ) Then SellShort ( "Short" ) 3 contracts next bar at market; If ( MarketPosition = 1 ) Then Begin If ( CurrentContracts = 3) Then Sell ("LT 1") 1 contract next bar at EntryPrice+Target_1 limit Else If ( CurrentContracts = 2 ) Then Sell ("LT2")1 contract next bar at EntryPrice+Target_2 limit Else Sell ( "LT 3") next bar at EntryPrice+Target_3 limit; End Else If ( MarketPosition = -1 ) Then Begin If ( CurrentContracts = 3) Then BuyToCover ("ST 1") 1 contract next bar at EntryPrice-Target_1 limit Else If ( CurrentContracts = 2 ) Then BuyToCover ("ST 2") 1 contract next bar at EntryPrice-Target_2 limit Else BuyToCover ( "ST 3") next bar at EntryPrice-Target_3 limit; End; SetStopLoss( StopLoss$ );