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data series (timeframe) optimization


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data series (timeframe) optimization

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  #11 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,191 since Apr 2013
Thanks: 385 given, 1,427 received

GuppyDRV,

legacy EasyLanguage orders will (and can) only be executed on Data1. If your data1 is a one minute chart, you'd get fills on the one minute data, too.

These links can provide a start (even though some of them are for Multicharts, the logic dealt with in these links applies to TS, too):

https://www.multicharts.com/trading-software/index.php/Variable



Regards,

ABCTG

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  #12 (permalink)
Seattle
 
Experience: Intermediate
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@ABCTG

Thanks for the heads up reply. I'll take a look tomorrow after morning trading, I'm Pacific time. Looks like some homework for me.

GuppyDRV

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  #13 (permalink)
Seattle
 
Experience: Intermediate
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Broker: InteractiveBrokers, IQFeed
Trading: ES
 
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@ABCTG

O.K. so I think I get the idea of assigning the DataStream but am still not sure if I'm on the right track. This is my stab at it so far. It compiles but I'm still seeing trades all over the place. Data1 is still a I minute chart so I'm guessing I have not set the streams correctly. I took a look at the page with the code for FundValue (Function) etc.... but am still not completely certain of how. Once I get this ironed out I'm guessing that I can just sub an Input into the formula......... LTradeET (0, data(Input 1)) in order to have the ability of optimizing different time periods.

Inputs:
LongSide (10),
ShortSide (10);

Vars:
LTradeET (0, data3),
LTradeEX (0, data5),
STradeET (0, data3),
STradeEX (0, data5);

LTradeET = //Place logic here(close, LongSide) data3;
LTradeEX = //Place logic here(close, LongSide) data5;
STradeET = //Place logic here(close, ShortSide) data3;
STradeEX = //Place logic here(close, ShortSide) data5;

Thanks again and any help is always appreciated. I enjoy the learning process.

GuppyDRV

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  #14 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,191 since Apr 2013
Thanks: 385 given, 1,427 received

GuppyDRV,

you can't trade on any other stream as Data 1 with legacy EasyLanguage. This is outside of your control. What you can control is when you issue signals (at the end of a bar for a respective datastream for example), but the order will always be executed on Data 1.

I can't see the results you get, nor would the code snippet compile so I can't test things and only give you some pointers. From your snippet it appears you are using the Data 1 close in all your computations - not sure if this is what you intend and I can't say/see it if matters.

I would suggest that you start adding print statements to your code and that you turn it into an indicator to plot the values you compute. This will give you the chance to compare the values that your code comes up with versus the values that you expect (which you'd also compute and plot/print via an indicator).
Then you can investigate it further.

Regards,

ABCTG

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