Building Winning Trading Systems with TradeStation™

8

TradeStation as a Research Tool

Before you can create a trading strategy, you must develop and research a trading idea. A strategy starts out as an initial hunch, “What if I buy when the market makes a new five-day high and the ADX is greater than 40?” The life of this trading idea is either ended quickly or extended through research. If we program an idea and test it and it fails miserably, then we usually file it in the circular file. However, if the idea shows some potential, then we go on from there. The next step is adding some other ideas to the core; “What if I force a 19 bar Stochastic reading to be in the oversold region in addition to a new five-day high and the ADX reading is greater than 40?” This is usually how the developmental cycle of a trading strategy works. In this chapter, we will show how to use TradeStation, EasyLanguage, and optimization as tools for developing, researching, and testing trading ideas. These ideas may or may not evolve into complete trading strategies. The ideas that we will expound upon involve the use of external data, pattern recognition, and intermarket analysis. We hope the ideas and programming that we present in this chapter will provide a sound foundation for you to build your research tools.

COMMITMENT OF TRADERS REPORT

Many of the trading strategies and ideas that we have tested over the past fifteen years solely relied on price data. However, there are trading ideas and strategies that incorporate data outside of market prices. ...