Building winning trading systems with TradeStation

416 Pages·2012·15.285 MB·English

by  Pruitt, George, Hill, John R

Building Winning
Trading Systems
(cid:2)
with TradeStation
R
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Building Winning
Trading Systems
(cid:2)
with TradeStation
R
Second Edition
GEORGE PRUITT
JOHN R. HILL
JohnWiley&Sons,Inc.
Copyright (cid:2)C 2012 by George Pruitt and John R. Hill. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by
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The advice and strategies contained herein may not be suitable for your situation. You should consult with a
professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any
other commercial damages, including but not limited to special, incidental, consequential, or other damages.
TradeStation(cid:2) R and EasyLanguage (cid:2)R are registered trademarks of TradeStation Technologies, Inc., an affiliate
of TradeStation, the use of which has been licensed to TradeStation.
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LibraryofCongressCataloging-in-PublicationData:
Pruitt,George,1967–
BuildingwinningtradingsystemswithTradeStation[electronicresource]/GeorgePruittandJohnR.Hill.–
2nded.
1onlineresource.–(Wileytradingseries)
Includesindex.
DescriptionbasedonprintversionrecordandCIPdataprovidedbypublisher;resourcenotviewed.
ISBN 978-1-118-26431-7 (mobipocket) – ISBN 978-1-118-23972-8 (epub) – ISBN 978-1-118-22643-8 (pdf) –
ISBN978-1-118-16827-1(cloth)(print) 1.Investments–Dataprocessing. 2.Stocks–Dataprocessing. I.Hill,
JohnR.,1926– II.Title.
HG4515.95
332.64(cid:3)2028553–dc23
2012017829
PrintedintheUnitedStatesofAmerica
10 9 8 7 6 5 4 3 2 1
Idedicatethisbooktoallofthestrugglingtraders;Ihopeitprovidesinsightand
guidancetotheirefforts.
J.H.
(cid:2) (cid:2) (cid:2)
IdedicatethisbooktoMary,Cliff,Butch,andMarilynfortheireternalcourageand
support.Eventhoughtheymaynotallstillbewithus,theirmemoriescarryon.I
wouldalsoliketothankmysuccessfulandlovingwife,Leslie,andmywonderful
children,BrandonandEmily.
G.P.

Contents
Foreword xi
Preface xvii
Acknowledgments xix
CHAPTER 1 Fundamentals—What Is EasyLanguage? 1
VariablesandDataTypes 2
OperatorsandExpressions 4
TradeStation2000ivsTradeStation9.0 7
Conclusions 32
CHAPTER 2 EasyLanguage Program Structure 33
StructuredProgramming 33
ProgramHeader 34
CalculationModule:MyRSIsystem 35
Conclusions 40
CHAPTER 3 Program Control Structures 41
ConditionalBranchingwithIf-Then 41
ConditionalBranchingwithIf-Then-Else 45
RepetitiveControlStructures 50
Conclusions 53
CHAPTER 4 TradeStation Analysis Techniques 55
Indicators 55
PaintBarandShowMeStudies 62
Functions 68
vii
viii CONTENTS
Strategies 72
Conclusions 77
CHAPTER 5 Measuring Trading System Performance and
System Optimization 79
TradeStation’sSummaryReport 80
TradeAnalysis 90
OptimizationOldSchoolStyle 95
Conclusions 126
CHAPTER 6 Trading Strategies That Work (or the Big Damn
Chapter on Trading Strategies) 127
TheKingKeltnerTradingStrategy 128
TheBollingerBanditTradingStrategy 131
TheThermostatTradingStrategy 134
TheDynamicBreakOutIIStrategy 141
TheSuperComboDayTradingStrategy 147
TheGhostTraderTradingStrategy 165
TheMoneyManagerTradingStrategy 168
BonusTradingStrategies 171
Conclusions 174
CHAPTER 7 Debugging and Output 175
LogicalversusSyntaxErrors 176
DebuggingwiththePrintStatementandthePrintLog 176
DebuggingwiththeBuilt-InDebugger 178
TableCreator 184
Conclusions 190
CHAPTER 8 TradeStation as a Research Tool 191
CommitmentofTradersReport 191
Conclusions 210
CHAPTER 9 Using TradeStation’s Percent Change Charts
to Track Relative Performance 211
WorkingwithPercentChangeCharts 213
Conclusions 217
Contents ix
CHAPTER 10 Options: Introduction and Strategies 219
PartA:GettingStartedwithOptionsTrading 219
PartB:Real-LifeOptionsStrategiesandTrades 242
Conclusions 250
CHAPTER 11 Interviews with Developers 251
APPENDIX A TradeStation 2000i Source Code of Select
Programs 295
BollingerBandit 295
DynamicBreakOutIIbyGeorgePruitt 296
DBSIIFadebyGeorgePruitt 297
KingKeltnerProgrambyGeorgePruitt 298
MyAdxSys 299
MyMomRsi 300
MyMovAvgSys 301
MyTrailPrcntStop 302
SeasonalSoybean 303
SuperCombobyGeorgePruitt 304
ThermostatbyGeorgePruitt 307
TheGhostTraderbyGeorgePruitt 309
TheMoneyManagerbyGeorgePruitt 311
APPENDIX B Reserved Words Quick Reference 313
About the Website 389
Index 391