Summer heat and thoughts of upcoming vacations can make it harder to build trading systems. Below are some shortcuts to make the work a little easier.
The first two tips involve true/false conditions for trading rules. Once you’ve built the rules, you can use the average and sum indicators to meet the following conditions.
Buy if a condition occurs on all of the past 3 bars
You could create a trading rule that says
Buy if RSI < 50 AND Lag(1)[RSI < 50] AND Lag(2)[RSI < 50]
However, if your conditions are complex, this can become quite tedious. A more elegant method is to create a simple moving average of the entire rule over 3 periods.
We first created the RSI < 50 rule on the chart, displayed as blue bars when the condition is true. Next we created the average of the entire rule, Avg(A < B(RSI(Close,5),50),3),which is illustrated by the red bars on top of the chart. Whenever all three of most recent bars are true for the condition RSI < 50, the average of the rule is equal to 1, which you could use as a Long Entry signal. You can even let the optimizer choose a more profitable number of periods for the average.
The top of the chart illustrates how to determine if a condition is true over consecutive bars. The bottom shows how to find conditions that are true “2 out of 3 times”.
Buy if a condition occurs on 2 out of 3 bars
In the second example illustrated by the green bars, we are looking for confirmation of bars when the close is less than the previous close. However, this time we want to buy if this is true condition occurs on 2 out of 3 most recent bars.
Once again, we add the condition to the chart as a simple rule (displayed as green bars). Since the condition may occur on any two of the last three bars, we used the sum indicator with a window size of three to total the number of occurrences in a three bar window
The bottom set of red bars shows the rule that is used for the buy condition, which says to buy when the sum is greater than or equal to two.
To view these rules in action,click hereto download the chart fromwww.ward.net in the Examples section.
We often receive questions on why common securities that appear in Trader Workstation from Interactive Brokers have problems when added to NeuroShell Trader. Compared to other datafeeds and brokerages, Interactive Brokers is unusual in the number of spaces that are included in symbol names. If you copy the Symbol from Trader Workstation and paste it into Word or notepad, you’ll notice that they put 3 spaces between the YM and SEP in the symbol for the Dow EMini futures contract. So the proper symbol to map in NeuroShell Trader for sending trades to Interactive Brokers would be YM(space)(space)(space)SEP(space)16 [obviously replacing the (space)’s with real spaces].
If you want to learn more about the interactions between NeuroShell Trader and Interactive Brokers, visitwww.ward.net and look for Interactive Brokers in the Datafeeds and Brokerages section on the first page after the login page. Look for the section called “Practical Aspects of Integrated Trading with Interactive Brokers”.
July 2016
