How do you write a strategy based on market internals?

[JT47319]

How do you write a get long/short strategy using a mundane indicator, like say MACD or CCI, that's applied to the internals from trin, tick, a/d, etc. and apply it to the e-minis (or any other instrument) so you can use and backtest?

[Doji3333]

Possible Solution

One way to accomplish this would be to ...

Use Global Variables to track the internals of the indicators that you want. For example, setup the charts with your indicators to track the MACD and other indicators.

This way, you'll have multiple charts tracking the indicator values and reporting these conditions (as global variables) to the other system that will trade the e-mini (of other markets).

Now, you have multiple charts with EFS files reporting information (as global variables) to the "main EFS" (this one actually generates the trades)...

So, now you need your "main EFS" file to read the global variables and execute trades based on the information generated from the other EFS files.

This system will only work in RT and you can't BT this code. But this is how you would accomplish this type of system.

Brad