saving you hours and days of hard manual labor, displays results ar 3D View or spreadsheet Matrix. Advanced visual Strategy Input Parameter Analysis providing. Tradestation can be your one stop shop - market data, analysis tools and Walk Forward Optimizer – TradeStation's new Walk Forward Optimizer aids in the. 4X Made Easy (Wizetrade for Forex) Grail Genetic Optimizer, Grail Walk Forward Optimizer Rina Dynamic Zones Analysis for Tradestation. CRYPTO MINING CASE
There is a common saying in trading - "past performance is not indicative of future results. I have been a proud user of Tradestation for over 15 years. Most of my Strategy Factory students also use Tradestation. It is the best software tool to help you develop automated and algorithmic trading strategies. Backtesting is historically testing a strategy on market data. Tradestation makes it easy to do. Let's say you notice that Gold tends to rise every Tuesday.
You've seen this the past month, and it has risen consistently. So, you think this might be a nice trade to do on future Tuesdays. But one month of results is pretty flimsy. That's where Tradestation can help. Using Tradestation Easy Language, you can easily program your "buy Tuesday" strategy, apply it to a chart of Gold, and in seconds you'll see how it has performed the past 1, 5, 10 or even 20 years!
If it performed poorly over the test, you'd probably just throw it away. Why trade something that has not worked in the past? On the other hand, if it performed well over your test period, you may decide it is worth trading.
Now, just because it worked historically does NOT mean it will continue to perform, but if you learn a proper strategy building approach like the approach I teach! By the way, that buy Tuesday idea, sell Wednesday is not so hot for Gold: Of course, this is a really simple example.
One feature you might want to add to that strategy is a stop loss. Like everything else with Tradestation, you can customize it to your desires. For instance, some people like dollar based stops, and some people like Average True Range based stops.
I actually compare the two in this article. What Is Tradestation Easy Language? Most traders utilize what is called "Easy Language. The best part about the language is that it truly is "easy. OOEL expands the capabilities of Tradestation to new levels. There are minimum account funding requirements, but they are pretty reasonable. You will want to ask your Tradestation rep for details. One thing to beware of though - if you try trading with an underfunded account, you run a high chance of getting wiped out.
It is called " Risk Of Ruin " and you need to avoid this!! Here is how "easy" Easy Language is Let's say if the market closes at a 10 bar high close, you want to buy at the market at the next bar open. Conversely, if the market hits a 12 bar low close, you want to reverse and sell short. Truly "Easy Language! But even with those complicated algos, the programming platform commands and structure helps keep things simple for you. The big benefit in this is that you do not have to spend time programming - you can spend time developing, building and testing strategies!
By the way, here is what the strategy above looks like for Crude Oil, which literally took me about 1 minute with a 30 second break! The Easy Language code is fully disclosed, and you can analyze it, modify it or do whatever you desire! Up to this point, I've discussed Tradestation strategies - code that you can backtest and see performance statistics for.
Plus, it is code you can automate to place trades for you. Tradestation also allows you to program indicators. Indicators in Tradestation allow you to visualize patterns, averages, etc on a chart. Here is an example of a 8 bar moving average indicator on our Crude Oil chart.
This can help you understand what your strategies are doing, and can help you create better algo trading systems. Here is the code for the moving average indicator: Plot1 average close,8 ,"Avg" ; Notice the simplicity, once again, of Easy Language! Yes, here are some very useful indicators ones I have on every automated chart I am running. I teach the Easy Language programming you need to know in my Strategy Factory workshop.
Here is a video which describes my approach to Easy Language instruction in my course - as of Jan , Easy Language instruction and support is included at no additional cost. Charting — Simply stunning charts — combined with the features and flexibility that serious traders need in an ever-changing market.
Strategy Back Testing and Optimization — Create, back-test and optimize your own custom trading strategy using on historical data and then analyze its performance to validate your trading ideas. The more precisely you can visualize the options market, the more precisely you can execute. Research — The TradeStation Research Window, featuring Reuters fundamental data, gives you the tools to fully evaluate any equity.
Plus, take a look at the industry comparison to measure the stock against its peers. Of course! There are quite a few ways to enter and track both simulated and real money account trades in Tradestation. With the software, you get professional-grade tools for placing trades — from stress-free simulated trading to the powerful, single-click Matrix trading and analysis window to fully automated trading.
Quick Trade Bar — The Quick Trade Bar is a simple, fast order-entry tool allowing you to interact with the current market more efficiently. Market Depth — Place trades directly from the Market Depth display. TradeManager — Manage your positions like the professionals do — TradeManager lets you easily view and manage your orders and positions in real time.
TradeManager Analysis — An objective and balanced view of your trading performance, helping you to view trends and identify where you are strongest. Trade Allocation Tool — Institutional traders and investment advisors can place equity trades and view and allocate them among client accounts within TradeStation. Signals are useful fundamental information. More information on overfitting here: What is Overfitting in Trading?
A walk forward optimisation forces us to verify that we are adjusting our strategy parameters to signals in the past by constantly testing our optimised parameters in out-of-sample data. Inexperience traders tend to spend a lot of time optimising every parameter on the entire set of past data. This is usually a recipe for disaster. What is an Objective Function An objective function is a metric that we maximise or minimise to in our optimisations.
To find this out, we look at which parameters maximise or minimise a certain metric. This metric is called our objective function. For instance, if our objective function is overall profit, we find the parameters that maximise the overall strategy profit during the in-sample period. In most cases, we want an objective function that has an element of reward and risk. This is called a risk-adjusted metric. Some examples of these risk-adjusted objective functions are: Sharpe Ratio which is Excess Returns divided by Standard Deviation of Excess Returns Returns divided by Maximum Drawdowns Returns divided by Average Drawdowns What should the Size of my In-Sample and Out-of-Sample Data be The size of your in-sample data should be large enough that it can predict certain behaviour in the out-of-sample period but not too large that it incorporates too much noise.
Underlying rationale is that the in-sample data contains some predictive prowess that lets you forecast something in the out-of-sample data. If your in-sample data is too large, it contains too much false signals. If it is too small, it does not cover enough data to make accurate predictions. The actual size depends on your trading strategy. Example 1: Large in-sample vs small out-of-sample A group of similar bond futures are supposed to move similarly.
A smaller sample out-of-sample dataset is preferred as you are regularly adapting your parameters to the recent behaviour of the bonds. In-sample data is a few days. Out-of-sample data is 3 months. It reduces overfitting but does not eliminate it completely. Reason 1: Look-Ahead Bias When we observe a market inefficiency that occurred in the past, we are fitting to an extent. For instance, by observing that comments in ride-share forums could predict Uber and Lyft prices and designing a strategy based on this, we are fitting to past data.
Another example will be to spot that Amazon stock trends over the years. We then to run a walk forward optimisation using a trending strategy. No doubt that the walk forward optimisation performances will be awesome. A small extent of fitting is not a bad thing.
In fact, some fitting is required for us to start building strategies, and this is acceptable. Reason 2: P-Hacking P-hacking is also-known-as data dredging, data fishing, data snooping and data butchery. It entails analysis testing many random variations of parameter sets without a proper hypothesis and only focusing on the ones which perform well.
The performances were bad. We then proceed to modify the strategy rules a little and run another walk forward optimisation. The performances were bad again. This is repeated for 10 times until we found a set of strategy rules that has a positive walk forward optimisation performance.
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