EL: Get High of a Bar from a Specific Time Yesterday

[TraderFoo 10]

Hello, ... first post here. I just started using Tradestation and EL today. I'm working on a very simple strategy for the sake of understanding the basics.

 

I'm trying to figure out 2 things:

 

1. How can I get the high of a bar at a specific time

2. How can I run a piece of logic at a specific time?

 

For example:

 

At 10:30am, I'd like to get the high of the 3:30 bar yesterday to compare, and place a buy order based on the results.

 

 

Makes no sense, but just trying to understand how to work with bar times.

[TraderFoo 10]

i actually got this figured out over the weekend.

 

variables yesterdaysHigh(0);

// if time is 10am
if Time = 1530 then
 yesterdaysHigh = High;

if Time = 1000 then
 // do something with yesterdaysHigh

[GRANDEUR 10]

And is it possible to get the highest high for a period of time?

I mean something like this:

if time > 10:00 and time < 15:00 then the highest high for that period is 'HH'.

[Frank 10]

This is indicator version -- I plotted it as a 'point' on a chart

 

//create variables

//store the 'bar count' in the variable using 'currentbar' keyword

 

vars: startbar(0), endbar(0), length(0);

 

if time=1000 then startbar=currentbar;

 

if time<=1100 then endbar=currentbar;

 

length=endbar-startbar;

 

if time>1000 and time<=1100 then begin

value1=highest(high, length);

 

plot1(value1,"HH");

end;

[GRANDEUR 10]

Frank, thank you for your reply!

I've changed the code according to your advice. Here is what happened:

 

vars: startbar(0), endbar(0), length(0);

 

if time=1030 then startbar=currentbar;

if time<=1039 then endbar=currentbar;

 

length=endbar-startbar;

 

if time>1039 and time<=1100 then Buy next bar at highest(h,length) stop;

if marketposition=1 and time=1200 then sell next bar at market;

 

 

If I followed your words correctly, it doesn't work as intended. There are trades between 1040 and 1100 but they are executed not at the high of the price range between 1030 and 1039. (I couldn't even figure out how 'get in' price is calculated).

Could you, please, check my code again?

[Frank 10]

hi Grandeur,

 

I can't be sure what it is you want to do but I can give you some idea how EL reads bars. study this and see if you can convert it to what you want. If not, give it an honest attempt and I will try again.

 

you have to think about the word 'length' here. length was moving target in your last code because endbar was equal to current bar. so I changed it to 'lock' the variable 'length' to a specific time. see if you can see the adjustment I made --- by using the variable 'value1' -- I am able to lock-in the highest price that was set during the specific time period you chose.

 

 

vars: startbar(0), endbar(0), length(0);

 

if time=1030 then startbar=currentbar;

if time<=1100 then endbar=currentbar;

 

length=endbar-startbar;

 

if time>1039 and time<=1100 then value1= highest(h,length);

 

if time>1039 and time<1200 then Buy next bar at value1 stop;

if marketposition=1 and time=1200 then sell next bar at market;

[GRANDEUR 10]

Yes, Frank, you're absolutely right! I want to lock the variable 'length'. (At first, I tested with 'value1' but overlooked and came to the thought it is the same as without it).

The code you wrote works fine but how can I avoid repeated trades when I add stoplosses and they are executed?

[Frank 10]

try this for n entries (3):

 

and entriestoday(date)<3

 

vars: startbar(0), endbar(0), length(0);

 

if time=1030 then startbar=currentbar;

if time<=1100 then endbar=currentbar;

 

length=endbar-startbar;

 

if time>1039 and time<=1100 then value1= highest(h,length);

 

if time>1039 and time<1200 and entriestoday(date)<3 then Buy next bar at value1 stop;

if marketposition=1 and time=1200 then sell next bar at market;

[GRANDEUR 10]

That is it! The function 'entriestoday(date)' is what I was not aware of.

Now it works fine. Thank you, Frank!

Afterwards I tried to apply this function to my other daily strategies to test if I can optimize my stoplosses. I load 5-min chart and work with it as with daily bars using OpenD, CloseD, HighD, LowD. Also I need to calculate average range of daily bars but it seems it doesn't work OK.

I calculate average range of two daily bars as follows:

average(HighD(1)-LowD(1),2)

but the calculated average is incorrect. It equals only to the range of the last bar.

Could you recommend me anything, please?

[flyingdutchmen 10]

HighD(1) and LowD(1) will not give you different value's at each bar within an intraday chart as they are daily values stored

in an array.

if you try to average those data's as you are trying to do, you will average two times the same value as HighD(1) will give you the high of yesterday on this bar but also on the next bar untill there is a change of date.

 

what you could do is something like this

If D <> D[1] Then value1 = ((HighD(1)+HighD(2))/2) - ((LowD(1)+LowD(2))/2);

if you need more value's then only 2 days i would recommend using a loop but for 2 days

this should do the trick.

 

 

here is another way you could do it,;

as your calculation of daily high minus daily low represents the same as the function "Range" there is a way you could

use the calculation you have made yourself but in a slight different way.

open another subchart of the same symbol, this time change the timeframe to be daily.

you now have the same symbol ntraday and daily in the same chart.

Value1 = Average( Range of Data2, 2);

if you place this on your intradaychart it uses the data of the second chart which exists from daily bars and therefore should give the

exact same result as first example, only this time you are able to average by a N number without using any loop

Edited November 4, 2009 by flyingdutchmen

[Frank 10]

excellent answer by dutchmen --- let me just elaborate in one way as this HighD(x) LowD(x) syntax is perfect example of how arrays work. An array is just a variable that holds multiple values --- its like a 'hidden spreadsheet' -- you can't see the values but they are there.

 

when you say HighD(1) -- the '1' is referring to a number that exists within a longer list of values --- as each value is assigned an index number, and referred to an 'array element'. HighD(0) refers to the first 'element' within that 'hidden' list of array values. Highd(1) looks into the array (the array is called HighD) and chooses element #2 (arrays start with 0 so (1) refers to the 2nd element within the array). etc...

[GRANDEUR 10]

Thank you Frank and Fflyingdutchmen! I really appreciate it!

There is much that has become clearer for me. Now I'm going to ceck it all out for myself.

It's great that there are such people as you guys, who disinterestly devote their time to solving problems of others.

Good luck in your trading and not only in trading!

[Frank 10]

when you get good at EL, share the wealth by helping someone else. I learned tons about various apps that way --- peer to peer help for no seeming reason. its good karma.

[GRANDEUR 10]

Maybe not karma but definitely good! I'll be trying to follow your advice.

[GRANDEUR 10]

I'm still working on testing Day-strategies on intraday data and encounted a problem. In order to buy at tomorrow's Open and get out on the following day's Open I wrote the following:

 

if entriestoday(date)<1 then buy next bar at OpenD(0) stop;

setstopposition;

setstoploss(1700);

if marketposition>0 and time=2359 then sell next bar at market;

 

The code looks OK for me but buy-trades are not executed at the open of tomorrow. Why is that?

[Frank 10]

opend(0) is the current day open. EL processes bars at the close by default so you can't back up.

 

by definition, there won't be any trades at open of tomorrow so you can just say

 

buy next bar at market to buy the open price;

 

or say you want to buy above the open+ 1pt or -1pt:

 

buy next bar at open of tomorrow+1 stop;

buy next bar at open of tomorrow-1 limit;

[GRANDEUR 10]

When I apply 'buy next bar at open of tomorrow+1 stop;' to daily chart, everything works OK.

But when I apply the same line to 5-min chart, the buying happens not at the open+1 of tomorrow but at the open+1 of the second 5-min bar tomorrow.

Obviously, 'buy next bar at market' won't work right here.

[flyingdutchmen 10]

"of tomorrow" will be ignored making your order behave like a normal "next bar"-order;

you will need to place an order on the first intraday bar on the next trading session which gives you an entry on the second bar of the bar (buy next bar open), or you check on the very last bar of the current

session if your conditions are still valid and if so place an order on the open of next bar that last bar(buy at open of next bar).

[GRANDEUR 10]

An entry on the open of the second bar of the session is not what I'm looking for. I need the open price of the first bar.

When I tried to buy on the 'next bar open stop' on the very last bar of the previous session it also wouldn't work as I'd like to. It is traded not every day but every other day.

Guys, please, help me to code the following simple condition:

the timeframe is less than daily. I want to buy at the open of next session + 500 point. If marketposition>0 then setstoploss(1000). Exit on the open of next day. Every day there should be no more than one entry-trade and one exit-trade on stoploss.

 

The best I wrote myself was:

{2349 - the time of last bar of the session}

if entriestoday(date)<1 and time=2349 then buy next bar at open+500 stop;

setstopposition;

setstoploss(1000);

if marketposition>0 and time=2349 then sell next bar at market;

[flyingdutchmen 10]

An entry on the open of the second bar of the session is not what I'm looking for. I need the open price of the first bar.

When I tried to buy on the 'next bar open stop' on the very last bar of the previous session it also wouldn't work as I'd like to. It is traded not every day but every other day.

Guys, please, help me to code the following simple condition:

the timeframe is less than daily. I want to buy at the open of next session + 500 point. If marketposition>0 then setstoploss(1000). Exit on the open of next day. Every day there should be no more than one entry-trade and one exit-trade on stoploss.

 

The best I wrote myself was:

{2349 - the time of last bar of the session}

if entriestoday(date)<1 and time=2349 then buy next bar at open+500 stop;

setstopposition;

setstoploss(1000);

if marketposition>0 and time=2349 then sell next bar at market;

 

i allready gave you the solution, one must understand there are differents between

 

1)Buy Next Bar at Open + xxx Stop;

and

2)Buy at Open of Next Bar + xxx Stop;

 

1) will place an stop order at the next bar using the open of this bar, this one you could

use like this..

(on the new session)

If High < Open+xxx Then Buy Next Bar at Open+xxx Stop;

 

 

2) will place an stop order at the next bar using the open of next bar, this one you use

on the last bar of current session like this

 

(on the last bar of old session)

If Condition still Valid Then Buy at Open Of Next Bar+xxx Stop;

 

there is absolutely no difference between them beside the fact if you are using example #1

you will need to make sure that your entrypoint has been been reached yet

 

either way you will recieve the open of the first bar of the new session as starting point, the number of bars

do not matter as you dont trade time but price; as long as price did not reach your entry you still have the possebility

to place an order at that price

Edited November 7, 2009 by flyingdutchmen

[flyingdutchmen 10]

what you could do is following

Variables: EP(0);

If D <> D[1] Then EP = Open+(500*( MinMove/PriceScale ));

Condition1 = EntriesToday(Date) = 0 and ExitsToday(Date) = 0 {and any other condition you willing to use to make the purchase};

If Condition1 and High < EP Then Buy Next Bar EP Stop;

SetStopLoss(1000);

If Time = 2000 Then Sell;{here the time of the last bar of the session to exit at the open of the first bar of the next session}

 

note: if your stoploss will get triggered on the same day as the day of entry you could face another entry the next session,

if you do not want to make that trade on the next session then we could build a simple counter to avoid this, to me this litle socalled

system does not make any sence as it has zero sensetivity to changes in volatility. remember you will not recieve entries each second day as there

will be days that your entryprice will not get reached.

 

if your software does not support the function ExitsToday let me know.

Edited November 7, 2009 by flyingdutchmen

[GRANDEUR 10]

Flyingdutchmen, thank you for your help!

Unfortunately, I faced some difficulties implementing your pieces of advice.

i allready gave you the solution, one must understand there are differents between

1)Buy Next Bar at Open + xxx Stop;

and

2)Buy at Open of Next Bar + xxx Stop;

About the second solution. When I just compile 'Buy at Open Of Next Bar+500 Stop;', an error comes up - 'syntax error, expecting 'stop', 'limit', 'contracts', or 'shares''(after the word 'open' as far as I see). I use MultiCharts. Then I verified the same line in TradeStation - it's the same. That's why I skipped on this solution before. I thought I missed something but you're still writing it. Does my software not understand the function your software does?

 

About an Average range of daily ranges.

what you could do is something like this

If D <> D[1] Then value1 = ((HighD(1)+HighD(2))/2) - ((LowD(1)+LowD(2))/2);

...

here is another way you could do it,;

 

Value1 = Average( Range of Data2, 2);

I tested those two variants but the calculations aren't equal. It seems, that in the second variant an average equals just the previous day's range. I don't know why.

 

The last code you posted (slightly edited)

Variables: EP(0);
If D <> D[1] Then EP = Open+500;
Condition1 = EntriesToday(Date) = 0;
If Condition1 and High < EP Then Buy Next Bar EP Stop;
SetStopLoss(1000);
If Time = 2359 Then Sell next bar at market;

works somehow strange. Sometimes it buys on the first bar that satisfy the condition, sometimes not. Here is the image (buy on the 28-th).

 

I found out that the code that works is

If time=1030 {first bar of the session} then value1=o;
If entriestoday(date)<1 then 
buy next bar at value1+500 stop;
SetStopLoss(1000);
If Time = 2359 {the last bar of the session} Then Sell next bar at market;

But it's a bit complicated.

[flyingdutchmen 10]

Flyingdutchmen, thank you for your help!

Unfortunately, I faced some difficulties implementing your pieces of advice.

 

About the second solution. When I just compile 'Buy at Open Of Next Bar+500 Stop;', an error comes up - 'syntax error, expecting 'stop', 'limit', 'contracts', or 'shares''(after the word 'open' as far as I see). I use MultiCharts. Then I verified the same line in TradeStation - it's the same. That's why I skipped on this solution before. I thought I missed something but you're still writing it. Does my software not understand the function your software does?

use the Buy Next Bar at xxx Stop; it is all you need as you have detemined your entry

at the beginning of the session and it will compile in each EL compatible programm

About an Average range of daily ranges.

 

I tested those two variants but the calculations aren't equal. It seems, that in the second variant an average equals just the previous day's range. I don't know why.

 

correct, i have forgot to place a displacement, simply write an " [1] "behind the word "range"

and it will refer to the data of 1 bar back, my mistake. i simply make up these things here without testing them.

Value1 = Average( Range[1] of Data2, 2);

 

The last code you posted (slightly edited)

Variables: EP(0);
If D <> D[1] Then EP = Open+500;
Condition1 = EntriesToday(Date) = 0;
If Condition1 and High < EP Then Buy Next Bar EP Stop;
SetStopLoss(1000);
If Time = 2359 Then Sell next bar at market;

works somehow strange. Sometimes it buys on the first bar that satisfy the condition, sometimes not. Here is the image (buy on the 28-th).

 

i do not see any differences in the scripts, where you are using 1030 as startingpoint i

have used the start of a new date, where you are asking if entriestoday are lower then 1

i am asking if entriestoday is equal to zero, it can never be below 0.

where you are determing the open only at start of a session day an later give an order to buy

at that open + 500 i determine the open at the start of a new session and add 500 to it;

the codes are equal.

it can only be an time-issue, you can verify this by printing the times.

If D<>D[1] then print( Time ); if this will give 1030 as outcome it is ok

 

 

I found out that the code that works is

If time=1030 {first bar of the session} then value1=o;
If entriestoday(date)<1 then 
buy next bar at value1+500 stop;
SetStopLoss(1000);
If Time = 2359 {the last bar of the session} Then Sell next bar at market;

But it's a bit complicated.

 

which part do you find complicated?

 

if you run your code like this on here, it will give you an entry each session.

this is not what you wanted to achieve in your initial post.you are not making sure there

has not been any exit at the same session

Edited November 8, 2009 by flyingdutchmen

[GRANDEUR 10]

I am sorry for delays in my posts. I'm not always able to test what you write rightaway.

First of all, I'd like to thank you so much for 'Value1 = Average( Range[1] of Data2, 2);'! With loops you mentioned I'm not aquainted yet and once it was easier for me to write '((HighD(1)+HighD(2))/2) - ((LowD(1)+LowD(2))' for 30-time period:)

 

i do not see any differences in the scripts...

I don't see either. Moreover, I like your script more because it doesn't depend on the timeframe. In my script I have to change the beginning and the end of the session each time I change the timeframe (5-min, 15-min, etc.). That's what I called 'complicated'.

However, your script sometimes misses the first bars in the session and doesn't trade on them and mine does. I don't know why.

 

But I faced here another problem. Let the script be the same. Usually it works fine but some trades are weird to me. At first, they were absolutely weird but then became just weird

Sometimes buy trades happen not on next day's open+500 but happen on the next day's first bar but at the price of previous day's open+500 (on the previous day there was no trade because the condition was not fulfilled for that day). How can I handle this?

[flyingdutchmen 10]

I am sorry for delays in my posts. I'm not always able to test what you write rightaway.

First of all, I'd like to thank you so much for 'Value1 = Average( Range[1] of Data2, 2);'! With loops you mentioned I'm not aquainted yet and once it was easier for me to write '((HighD(1)+HighD(2))/2) - ((LowD(1)+LowD(2))' for 30-time period:)

 

I don't see either. Moreover, I like your script more because it doesn't depend on the timeframe. In my script I have to change the beginning and the end of the session each time I change the timeframe (5-min, 15-min, etc.). That's what I called 'complicated'.

However, your script sometimes misses the first bars in the session and doesn't trade on them and mine does. I don't know why.

 

But I faced here another problem. Let the script be the same. Usually it works fine but some trades are weird to me. At first, they were absolutely weird but then became just weird

Sometimes buy trades happen not on next day's open+500 but happen on the next day's first bar but at the price of previous day's open+500 (on the previous day there was no trade because the condition was not fulfilled for that day). How can I handle this?

 

there are various ways to make your script fully undependent of the barinterval in which

your script is running, by example you could use the reserved word Sess1StartTime

which would return 0930 wenn aplied to a stockchart tradet on the nyse.

 

you can check the first bar of the day on an intraday chart with:

if time = calctime(sess1startTime, barinterval)

or the last bar of the day

if time = calctime(sess1endTime, barinterval)

 

the reason you are getting this entry on the next session is because you did not have

any position on the prior day which makes it entriestoday(date)=0 then if your instrument

gaps up you still have that order lying in the market from the last bar of the former session,

this giving you the entry you do not wish.

 

you could avoid this by NOT placing an entry on the last bar of the session,

you may keep the order troughout the whole session but must remove it on the last bar,

change your script to

Variables: EP(0);
If D <> D[1] Then EP = Open+500;
If EntriesToday(Date) = 0 and and High < EP and Time < CalcTime(Sess1endTime,BarInterval) Then Buy Next Bar EP Stop;
SetStopLoss(1000);
If Time = Calctime(Sess1endTime,Barinterval) Then Sell next Bar at Market;

 

and give it another try

also try make a search in the help-files for the reserved words Sess1StartTime, Sess1EndTime, CalcTime it will clarify a bit more

Edited November 10, 2009 by flyingdutchmen