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Scan markers on charts   Message List  
Reply Message #5601 of 18772 |
Re: Scan markers on charts

Brent,
this can be very easily done using the Signals statistic (SSTAT)
token in a custom indicator in order to create what I would
call "filtered" trading signals...
If your are not familiar with SSTAT, please read first the
corresponding details on the linnsoft pages...

Anyhow, I will show you how to do it with an an easy example ...

Let s assume you have buy (B) and sell (S) Trading Signals : these
signals may trigger in time in any kind of order ie, if you use scan
signals markers, they could appear for example in following order :

B1 B2 S1 S2 S3 S4 S5 B3 S6 S7 B4 B5 B6 S8

Let s consider a reversal system ie a long trade (resp short) is
exited by a sell signal(resp buy), i imagine that you would like to
see appear on your chart in realtime only the relevant following
scan/signals markers :
B1 S1 B3 S6 B4 S8

In order to do that, you need to define a "STATE" custom indicator
CI = SSTAT_A - SSTAT_B with:
SSTAT_A = Nb of bars since your Last Sell signal
SSTAT_B = Nb of bars since your Last Buy signal

Then you define a "filtered Buy" Trading signal as follows :
CI.1 < 0 and CI > 0
If you plot a scan/signal marker using this signal, you will get only
markers on the reversal bars, ie the B1 B3 and B4 bars and not on the
B2, B5 and B6 one...
Of course, a Filtered Sell signal would be : CI.1 > 0 and CI < 0

Please note that using the same technique, you could get markers
simulating realtime a complete trading system including markers for
indicating stoploss being hit or profit target being reached or when
to scale in/out of an existing position etc etc
Using the System simulator token, (SSIM) you may as well follow live
the P/L of the simulated trade, your daily cumulated Profit/loss etc
etc...

An example of such a "realtime backtesting" chart is available at
http://www.derr.ws/charts/ftrader/ftrader1.gif

(Thanks to Mike for hosting these charts on his webserver..)

Eddy

PS : by the way, in order to know if your are in a buy or sell mode,
I prefer to plot a color marker band using the sign of the STATE CI =
SSTAT_A - SSTAT_B in order to get the colors : >0 for an ongoing
Long trade / < 0 for an ongoing short trade...


--- In linnsoft@y..., "Brent Fry" <bfry@m...> wrote:
> When scans are used in a trading system simulation, the events are
constrained by the "state" of the system. When "long", the "short"
signals are ignored. When short, the long signals are ignored.
However, when scan markers based upon these criteria are merely
placed on a chart, they don't partipate in these constraints. So the
chart is "cluttered up" by multiple buy-longs, and sell-shorts, etc.
QUESTION: is there any way to place these scan markers on a chart as
they would be placed by running a trading system simulation?? Clear
as mud? In other words, there would be only one buy-long, and a
close, then potentially a sell-short and a cover, etc.




Tue Oct 15, 2002 5:40 pm

f_trader01
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Message #5601 of 18772 |
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When scans are used in a trading system simulation, the events are constrained by the "state" of the system. When "long", the "short" signals are ignored....
Brent Fry
bfry5282 Offline Send Email
Oct 14, 2002
7:05 pm

Brent, this can be very easily done using the Signals statistic (SSTAT) token in a custom indicator in order to create what I would call "filtered" trading...
F_trader
f_trader01 Offline Send Email
Oct 15, 2002
5:40 pm
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