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I've spent the last month trying to figure out the right method based on all the posted code examples for calculating some very important and fundamental aspects of any trading system, stops (either trailing or fixed, and profit targets). It's very discouraging that something as powerful and central to any trading system, ie., money management, is so difficult and cumbersome to program into efs strategies.
There are early examples, based on DOJI3333's work where code examples, 1-13 ( EXAMP1.efs) using the engulfing strategy that uses one technique based on close(1) and then other examples also by DOJI3333 from the Gude to Developing Trading Strategies, (which by the way the Guide to Developing Realtime Strategies which is mentioned as being available is NOT anywhere to be found), which depending on which technique is used yields DRAMATICALLY different results, ie, one way makes alot of money and the other looses!!!
Then there are a few more recent examples by Alex Montenegro that starts using Math.Max functions which yields even different results, this is what I do for a living and I could easily find myself unemployed or broke when my trading decisions are based on code examples that yield such dramatically different results based on what "flavor of the month" for stops or limit orders is used.
I appreciate the help you guys provide but remmeber people are going to basing trading decisions on the results yielded from the back testing, and the fact that one ealry published technique, makes a fortune and one later technique looses a fortune, and by the way watch out if you use STRATEGY.MARKEY, because it really means STRATEGY.OPEN and again you will go broke wondering what happend to all your backtested profits.
There is also another issue "backtesting" where the efs strategy tester thinks it's OK to execute several orders for the same bar and some people have given rise to the "bPosition" programming samples which again has us going through convulted code gyrations to compensate for the backtesting component of esignal apparent limitations/problems.
There should be no ambiquity, confusion, or uncertainity in any strategy development tool of any value whatsoever when calculating and determining such fundamental trading components for exiting positions such as stops (for losses) and limit orders for winners. It's very frustrating and incomprehensive that I have to read through pages and pages of documents, efs code examples, countless threads, and still esignal hasn't gotten it straight.
I understand that efs is a fairly low level programming tool and get's invoked once per bar, and we have to code the logic to determine if a stop/limit is executed. Which sounds to me like the STRATEGY STOP and LIMIT functions are not not doing their job as by definition a sell STOP order is a sell order below the current market and if the market prints there which then becomes a market order. Why do we have to code and check for these events/conditions ourselves. Limit orders are even more or a problem.
By the way, tradestation, has easy language statements: setstop, settrailing, and setprofittagget, which althought I'm not a easylanguage fan, and really prefer esignal's efs javascript,
Can someone please provide me with valid examples based on the "latest" thinking on this topic for stop and limit orders for realtime intraday trading.
Thank you.
[email protected]
There are early examples, based on DOJI3333's work where code examples, 1-13 ( EXAMP1.efs) using the engulfing strategy that uses one technique based on close(1) and then other examples also by DOJI3333 from the Gude to Developing Trading Strategies, (which by the way the Guide to Developing Realtime Strategies which is mentioned as being available is NOT anywhere to be found), which depending on which technique is used yields DRAMATICALLY different results, ie, one way makes alot of money and the other looses!!!
Then there are a few more recent examples by Alex Montenegro that starts using Math.Max functions which yields even different results, this is what I do for a living and I could easily find myself unemployed or broke when my trading decisions are based on code examples that yield such dramatically different results based on what "flavor of the month" for stops or limit orders is used.
I appreciate the help you guys provide but remmeber people are going to basing trading decisions on the results yielded from the back testing, and the fact that one ealry published technique, makes a fortune and one later technique looses a fortune, and by the way watch out if you use STRATEGY.MARKEY, because it really means STRATEGY.OPEN and again you will go broke wondering what happend to all your backtested profits.
There is also another issue "backtesting" where the efs strategy tester thinks it's OK to execute several orders for the same bar and some people have given rise to the "bPosition" programming samples which again has us going through convulted code gyrations to compensate for the backtesting component of esignal apparent limitations/problems.
There should be no ambiquity, confusion, or uncertainity in any strategy development tool of any value whatsoever when calculating and determining such fundamental trading components for exiting positions such as stops (for losses) and limit orders for winners. It's very frustrating and incomprehensive that I have to read through pages and pages of documents, efs code examples, countless threads, and still esignal hasn't gotten it straight.
I understand that efs is a fairly low level programming tool and get's invoked once per bar, and we have to code the logic to determine if a stop/limit is executed. Which sounds to me like the STRATEGY STOP and LIMIT functions are not not doing their job as by definition a sell STOP order is a sell order below the current market and if the market prints there which then becomes a market order. Why do we have to code and check for these events/conditions ourselves. Limit orders are even more or a problem.
By the way, tradestation, has easy language statements: setstop, settrailing, and setprofittagget, which althought I'm not a easylanguage fan, and really prefer esignal's efs javascript,
Can someone please provide me with valid examples based on the "latest" thinking on this topic for stop and limit orders for realtime intraday trading.
Thank you.
[email protected]
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