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STRATEGYDESK JOURNAL


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STRATEGYDESK JOURNAL

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  #21 (permalink)
 COTtrader 
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Shrugged:

I would be suspicious of specious tick data/time data coming from or through Ameritrade. You need to find out who supplies them with the tick data that you receive. The discrepancy may be Ameritrade's real time data is computed on the OPEN bar. However, backtested (i.e. historical data) data is being computed on the CLOSED bar. Without complete/ unadulterated tick data download for accurate backtesting, clean testable, EOD data for testing, is not possible. For retailers, DTN IQ and other re-branded data feeds like Kinetick that come from the same source are trusted, tested tick data.

Running a ticker plant is expensive, or so I have heard, and if Ameritrade does not operate their own ticker plant and therefore outsource the data feed for their SD system, then you need to know the source of that feed and whether or not it is reliable.

COTtrader
"Ken"


ShruggedAtlas View Post
I usually do an end of day backtest to compare my alerts to actual trades that met my strategy conditions. Today I received only 4 real time alerts and 9 total backtest results. this is very disappointing because I'm obviously expecting the alerts to catch in real time any condition I have set in my strategy. As you can see from the backtest results shown below, the 9 trades yielded over 77% winners 7 out of 9 with only 2 losers. Even more important, the reward:risk ratio is very good. The average winner is about $80 today based on a flat $10,000 traded on each trade. The largest loser was $10 so overall this is very good. These are typical results that I get most days that show a lot of trades. I'll begin to show these every day so readers can examine them.

What i'm most frustrated at is that none of the trades that my alerts triggered showed up in my backtest. In other words, I got a few alerts but none actually ended up on my backtest. This has happened a lot and it is causing me to be suspicious of the effectiveness of StrategyDesks alerts and screeners. I've got to get along to dinner with my family now but i'll post more later.


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  #22 (permalink)
 ShruggedAtlas 
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I'm watching my daughter this morning while my wife is out at meetings so I won't even paper trade today. Still, I have my alerts active to see what my net catches. As a test today I have my 5 minute screen up and also added a 10 minute screen as well to see if the 10 minute catches the appropriate signals. In earlier posts I was trading on the 10 minute time frame with 5 minutes used for early entry. More recently I adjusted my alerts to inform me of 5 minute conditions. I think that the StrategyDesk alerts may not be able to process those conditions quickly enough to trigger timely. This test should hopefully help to validate that theory or rule it out.

One thing to consider. I'm screening from the S&P 500. By adding a second set of 500 (10 minute time frame) I may be introducing lag that will effect the validity of this test.

Also, I did some backtesting on shorting this strategy and predictably it did very well catching many good stocks that bounced up (triggering my strategy) then continued a nice slide down in keeping with the market these last few days of trading. As I suggested in a previous post, I am anticipating a lot of down days in the coming weeks and so it would be advisable to begin including shorts. If only I can work out the alerts/screener problems.

Plenty of opportunities out there to make this good strategy work but still trying to find a way to get a consistent stable signal. If only I had 500 eyes watching every tick *sigh*

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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  #23 (permalink)
 ShruggedAtlas 
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Ok, I've finally made the decision. I've officially left Ameritrade and put my money with Lightspeed trading. I have found a very powerful screener solution using TC2000 and have already begun the lengthy process of writing my conditions in the new platform.

I would encourage anyone reading this to give the TC2000 platform serious consideration for real time screening. Can't trade with it at the moment but the feature set is very impressive. I will post more on my experiences using TC2000 in the coming days for anyone interested.

A word about Ameritrade:

Anyone reading my post will recall that I have been having some recent problems getting a timely signal from Ameritrades StrategyDesk alerts/screener. I have submitted support emails numerous times in an attempt to more fully understand the limitations and best use for the screeners/alerts. Todays email I received from 'support' answers the ultimate questions.

1. Is StrategyDesk screener quick enough to alert me on complex multi-timeframe conditions? NO
2. Should I count on Ameritrade support to help me to fully utilize their software? NO
3. Should I do business with Ameritrade? NO

Here is the final email after several attempts to get them to understand my needs.

---------------------------------------------------
Hello Mr. Foley,

I'm sorry, without the actual alerts files and setups by screenshots, I will not be able to test what you are running. I think we have been through this backtest vs real time alerts issue enough by now.

Just an FYI, the Strategy Desk tool will be retired at some point in the future, and an exact date is not known.

Thank you.

John Engquist
Active Trader
Educational Support
Division of TD AMERITRADE, Inc.
---------------------------------------------------

I gave them screenshots of my alerts and backtest code on a previous email, they completely misunderstood what I was trying to accomplish and rather than ask for clarification and see the problem through to a resolution decided to blow me off. I inquired again to see if they were still working on the problem after a few days had passed and the above email is the response I got.

This is what I get for months of strategy development, talking up Ameritrade and Strategydesk and trying against all frustration to get their screener to do what it is supposed to do. Disappointing :-(

Time to move on I guess. Fortunately I suspected something was wrong and had already made the move to Lightspeed - primarily because of commissions which are unacceptably high compared to competitors. Now I have a new reason for leaving them.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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  #24 (permalink)
 ShruggedAtlas 
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I spent the morning working on TC2000 screener features. The scripting language is very simplistic but the symbols even though very basic can combine to create some very complex indicators and conditions on every possible time frame. The only problem is they seem to have a bit of a bug in the new version of TC2000. Any formula requiring an exponential calculation or any formula that requires a lot of look back data like an EMA or an ADX seems to be out of sync with the chart indicators. I learned it's because the formula isn't getting enough data. they have made it a high priority to fix but in the meantime, I won't be able to rely on the accuracy of my formulas until they fix it. this is disappointing.

No real trades today or for the foreseeable future. Not until I find an alternative method (set of rules) to screen stocks for trade opportunities. Then, I will need significant time paper trading before I can actually put real money at risk.

I have to work very hard on not getting impatient and resorting to impulse trades. This will be very difficult to me. I'm very very anxious to get back to work.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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  #25 (permalink)
 ShruggedAtlas 
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It just occurred to me that in my last post I made a reference that I was ready to get back to work. It just dawned on me that this isn't work! I love trading more than the other business I own. I can't imagine a better way to spend my time! How do I spend my time? mostly it's strategy development, watching charts, fighting the brokers and otherwise just immersing myself in the world of trading. I'm hooked and is there a better way to spend ones time than doing what they love? I "work" hard every day for 10+ hours every day but you know..I don't think of it as work. It's more like a game to me. Funny that I would use the phrase get back to work in my last post. A better phrase would be....I'm very anxious to get back in the game and have some fun.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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  #26 (permalink)
 ShruggedAtlas 
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I spent the last two days setting up my trading strategy/conditions in the new TC2000 software that I've recently subscribed to.

I'm in my first paper trade and I'm pleased to show that it is a winning trade - caught the bottom nicely and had a nice thrust up after hovering around my entry price for about three bars (15 minutes) Price is attempting to push past a short term resistance line shown on the lower 5 minute chart as a trend line. 5 minute volume was moving higher into the move up and seems to be moving higher than the average even as it pushes through that resistance - good sign!

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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  #27 (permalink)
 cory 
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you should open a tc2000 thread Im still waiting for them to add futures tho.

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  #28 (permalink)
 ShruggedAtlas 
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cory View Post
you should open a tc2000 thread Im still waiting for them to add futures tho.

I just might do that! For now I'm going to need time to understand the software better, paper trade on it for a while and make sure that my first priority is met which is to earn a living trading :-) I'm sure that they will add futures as time goes by. They only recently released TC2000 from Beta and it still has a couple of significant flaws that need to be worked out. I'll definitely consider starting a thread in the very near future. thx again!

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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  #29 (permalink)
 Big Mike 
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Yes please do create a new thread in Platforms section. I've been a fan of Worden since using StockFinder when trading equities. And in fact have been considering renewing my StockFinder subscription, you can see my search for a scanner here:


I always thought they had some innovative ways of doing things compared to mainstream charting apps.

Mike

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  #30 (permalink)
 ShruggedAtlas 
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I traded using TC2000 with real money last Friday but was disappointed about TC2000 watchlist sorting features. It's alerts features are limited to only price alerts and some sort of reminder alert which isn't tied to any price action. I need an alert that rings a bell (literally) when my specific conditions are met and puts those stocks that meet the condition at the top of the list. Not scattered somewhere down a list that's 500 stocks long.

The other major flaw (temporary I hope) is that the watchlist calculations for indicators and custom formulas that incorporate long lookback data such as exponential averages et al are not accurate. This has been recognized by the company as a 'bug' and they've said they will make it a priority. One caveat; they also said that in the next release that it is not likely to show up as a fix because it may in fact be a difficult fix and they will likely fix 'easier to fix' bugs first! To be fair, the chart indicators are purported to be correct (even though they didn't match my strategydesk version) But, for people who trade like me - based on signals received from the screener/alerts it is unusable.

Accurate signals in my opinion are critical. I want to know that the the custom formulas I create reflect reality. I can't imagine trading on signals that are suspect. As such, until they get that fixed, I'm not going to waste my time with this software. Too bad really, it has so much potential. At $100 per month, I would be throwing money down the toilet if I tried to trade with it.

Regardless, I made a little money for the day. I made three trades. I won't discuss details but was up $33 on the first trade, then down $74 on the second trade and then finally caught the 'real' bottom of the day and was able to recoup the loss and end with a gain of $47. It was a lot of work for $47 and it was primarily due to flying blind with regard to the accuracy of the signals, and the frustration of having to constantly manually resort the watchlist all day long.

A note about Lightspeed: I switched brokers from Ameritrade to Lightspeed. I have been very impressed with how fast lightspeed fills are. I've only traded a few times now since I switched and seriously, it has been shocking how fast I can get into a trade even at limit. With Ameritrade I got used to missing entries because I'd enter on limit and the price would move right past me or I'd be one step behind it and end up chasing it. With lightspeed it enters the trade with virtually no slippage instantly. It's really insanely fast and I would highly recommend them if only for that reason alone. The major flaw with Lightspeed is that the platform has very little to offer besides that. It's ideal for traders that trade the level II and who don't care too much about chart analysis or chart trading. Also, it doesn't seem to interface with very many chart analysis platforms out there. eSignal is one that it will interface with and I think madScan and trade ideas. Unfortunately none of these charting/scanning programs will be usable for me because none allow me to incorporate my custom designed indicators into the screens. (you have to pay Madscan to create them for you and then you pay them a maintainance fee for the use of your own indicator!! - Lame!) Trade ideas, very similar to Madscan in the fact that you are forced to use the fundamental/technical parameters they give you. Theres no way you can code your own proprietary indicators/formulas.

*sigh*

So I'm back to the drawing board. Trying to find a charting package that can give me the ability to create my own custom indicators and then reliably apply those indicators to a custom strategy through the use of a true real time screeners.

I'm back to considering NinjaTrader. I gave up on NT fairly quickly because of the complexity of C# relative to the simple scripting languages I was used to with StategyDesk and Tradestation. But even more so, I couldn't get the data from Ameritrade to work with NT! Data would stream but it was incredibly slow. my custom indicators wouldn't work and would dog the NT platform to the point that it was simply unusable. I thought that odd since it was working fine with my StrategyDesk platform and It seemed to me to forshadow future problems with NT so I didn't take too much time to problem solve it. I just moved on to another alternative. I've downloaded NT again and now it's worse, my Ameritrade data won't stream at all even though i'm connected properly, charts won't load, they hang forever! now, I can't even get the Kinetich data to give me proper end of day data. thats supposed to be free and built into NT but it won't work. Nothing works! It's very frustrating. I'm scared about wasting weeks working with the software only to come to the conclusion that it's unusable. But, the feature set sure looks amazing!

I wonder sometimes why there are so few platforms out there that actually conform to my way of working!

1. code custom indicators in a powerful but easy to use scripting language
2. set up charts to view those indicators accurately in real time
3. apply those custom indicator formulas to a multi-timeframe strategy that displays signals on the chart
4. apply that strategy to a fast and reliable real-time screener that dynamically streams results
5. Set alerts to visually and audibly signal when conditions meets my strategy requirements
6. Backtest a strategy on a portfolio of stocks


That's it! That's all I need and so far every single software I have tried fails one or more of those six requirements.
Am I the only trader that trades using all six of those requirements?

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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