Trading Systems Code in Pruitt Trading Strategies

December 16th, 2019, 12:12 AM

Experienced programmer, new to TradeStation/EasyLanguage has questions:

I just entered the code for four of the trading systems in the Pruitt text. Here are my results:

King Keltner, page 129: Code compiles when added to charts, I get no response or visible output.

Bollinger Bandit, page 133: Works and I love it!! This is the a really great example of the kind of systems I'd like to write.

Thermostat Program, page 138: My compile error is:
cmiVal = ChoppyMarketIndex(30);
Unknown Identifier
I think I know what's going on, but not how to fix it. I am guessing that the capital C in Choppy tells me that this an internal function inside EL, and that all I have to do is call it. My reasoning is that all user defined functions in the text start with a lower case letter and since this function appears nowhere else in the code, it must be inside the EL code library and I just don't know how to call it properly.

Dynamic Breakout II, page 143: Same as Kink Keltner above. Compiles but no visible output.

I'll continue looking for systems source code so I can speed up my learning curve for EasyLanguage.
My goal for my first two systems programs are:
1. Scan for all stocks that have been in a tight trading range for ten days or more.
2. Write a strategy that draws two boundaries above and below the trading range (using points or percents) and that alerts for a Buy or Sell when either boundary is crossed.

My questions:
1. Any solutions or hints to the problems above?
2. Can you provide any sources for systems programs that I can code, run and learn from?

Since the Bollinger Bandit worked, here is the EasyLanguage source code for those that don't have the text:

Code

// Bollinger Bandit
// Code from page 133 of Building Winning Trading Systems... Pruitt

Inputs: bollingerLengths(50), liqLength(50), rocCalcLength(30);

Vars: upBand(0), dnBand(0), liqDays(50), rocCalc(0);

upBand = BollingerBand(Close, bollingerLengths, 1.25);
dnBand = BollingerBand(Close, bollingerLengths, -1.25);
rocCalc = Close - Close [rocCalcLength - 1];
if(MarketPosition <> 1 and rocCalc > 0) Then
	Buy("BanditBuy") tomorrow upBand stop;
if(Marketposition <> -1 and rocCalc < 0) Then
	SellShort("BanditSell") tomorrow dnBand stop;
if(Marketposition = 0) then liqDays = liqLength;
if(Marketposition <> 0) Then
begin
	liqDays = liqDays - 1;
	liqDays = MaxList(liqDays, 10);
end;

if(Marketposition = 1 and Average(Close, liqDays) < upBand) Then
	Sell ("Long Liq") tomorrow Average(Close, liqDays) stop;
if(Marketposition = -1 and Average(Close, liqDays) > dnBand) Then
	BuyToCover("Short Liq") tomorrow Average(Close, liqDays) stop;

February 22nd, 2020, 07:14 AM

Hi,

A few years ago, a friend of mine told me that to get the signals of the Trading System: Dynamic Breakout II, in the window: Format Analysis Techniques & Strategies (Properties for All label), you have to write: 1500 in the voice:
Maximum number of bars study will reference and then OK.

For the Trading System Thermostat, I found in my archive, the function: ChoppyIndex, which could be similar to the function: ChoppyMarketIndex;
you can try it, of course you'll have to give it the name: ChoppyMarketIndex(30)

This is the Function: ChoppyIndex:

If HighestBar(TrueHigh,30) <= LowestBar(TrueLow,30)
then ChoppyIndex = 10(Highest(TrueHigh,30)-Lowest(TrueLow,30))
else ChoppyIndex = - 10(Highest(TrueHigh,30)-Lowest(TrueLow,30));

April 1st, 2020, 06:29 PM

Choppy Market Index is a function that you create in chapter 4. Make sure the name you give it when creating in chapter 4 is what you update the code to. In mine below you will see I named in $PruittChoppyMarketIndex. Same as Shaban's before, but this is pasted directly from the book.

Code

{Choppy Market Index FunctionThis function returns a value from 0 to 100. 
A lower value denotes higher market indecisiveness (choppiness), 
whereas a higher value denotes a trending market. 
The only input is the number of bars that we look back.}

Inputs: periodLength(NumericSimple);

Vars:
	num(0),
	denom(1);
		
If 
	(periodLength <> 0)
Then
	Begin
		denom = Highest(high,periodLength) - Lowest(low,periodLength);
		num = close[periodLength-1] - close;
		num = Absvalue(num);
		$PruittChoppyMarketIndex = 0.0;
		
		If	
			(denom <> 0)
			Then
			$PruittChoppyMarketIndex = num/denom*100;
	end;

April 2nd, 2020, 02:19 AM

I've tried the T.S. King Keltner and it doesn't give any signal, even setting: Maximum number of bars study will reference: at 1500 and also at 2000;
if anyone has any suggestions for solving this little problem....

This is the code:

{King Keltner}

Inputs: avgLength(40), atrLength(40);
Vars: upBand(0),dnBand(0),liquidPoint(0),movAvgVal(0);

movAvgVal = Average((High + Low + Close),avgLength);
upBand = movAvgVal + AvgTrueRange(atrLength);
dnBand = movAvgVal - AvgTrueRange(atrLength);
if(movAvgVal > movAvgVal[1]) then Buy ("KKBuy") tomorrow at upBand stop;
if(movAvgVal < movAvgVal[1]) then Sell Short("KKSell") tomorrow at dnBand
stop;
liquidPoint = movAvgVal;

If(MarketPosition = 1) then Sell tomorrow at liquidPoint stop;
If(MarketPosition = -1) then Buy To Cover tomorrow at liquidPoint stop;

April 2nd, 2020, 08:55 AM

Shaban thanks for your note on the Dynamic Breakout, I just had to update my number of bars to reference.

For the King Keltner there was an error in the book. I think he posted the correction on his website if you google it. For the movAvgVal calculation it needs to be divded by 3 as below-

Code

{This program�based on a trading system presented by
Chester Keltner�is an example of a simple, robust and effective strategy.}
 
Inputs: 
	avgLength(40),
	atrLength(40),
	numATRs(1.0);
Vars: 
	upBand(0),
	dnBand(0),
	liquidPoint(0),
	movAvgVal(0);
 
movAvgVal = average((h+l+c)/3,avgLength);

upBand = movAvgVal + AvgTrueRange(atrLength);
dnBand = movAvgVal - AvgTrueRange(atrLength);

{Remember buy stops are above the market and sell stops are below the market
 -- if the market gaps above the buy stop, then the order turns into a market order
 vice versa for the sell stop}

if(movAvgVal > movAvgVal[1]) then Buy ("KKBuy") tomorrow at upBand stop;
if(movAvgVal < movAvgVal[1]) then SellShort("KKSell")tomorrow at dnBand stop;

liquidPoint = movAvgVal;
 
if(MarketPosition = 1) then Sell tomorrow at liquidPoint stop;
if(MarketPosition =-1) then BuyTocover tomorrow at liquidPoint stop;

April 2nd, 2020, 11:38 PM

Thank you bacou for correcting King Keltner's formula, in my haste I hadn't noticed.
P.S. What is the Input: numATRs(1.0) for?

Probably for T.S.: Dynamic Breakout II, maybe it depends on the version of Tradestation, e.g. for Tradestation 2000i you might need to set: Maximum number of bars study... to 1500, while I tried Tradestation 8.2, 100 is enough.

Trading Systems Code in Pruitt Trading Strategies

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Trading Systems Code in Pruitt Trading Strategies