My mini review After spending a couple of weeks playing with easylanguage, reading the help system, and then finding and reading Trading Systems & Methods by Kaufman, I found this book useful. I found that some of the routines as printed need some debugging, and comments about the input parameters are not as explanatory enough.... I got really excited by how well one of the strategies could be optimized, and I had an expensive lesson this week in why you should never go from optimizing a trading system directly to live money trading, and why a first day success with real money should encourage you to overleverage the strategy the next day.... I've spent all day doing walkforward tests and discovering that for the strategy I was trying, tuning for n days is no predictor of performance for the next x days. So I don't know about the authors claims about walk forward testing. And an attempt to tune the combo strategy on a couple of favorite stocks seems hopeless, too many parameters, it will take a very fast laptop over 16 hours to run the default optimize of all combinations of all parameters. It ends up demonstrating the pitfall of a routine that has too many tunable parameters. Still, the book was useful for getting a better handle on Easylanguage. The TradeStation help topics for easylanguage are not sufficient to learn easylanguage, but now that I've read this book, I can probably survive on the help file. I still need to read the interviews with programmers section, but I suspect it will give useful perspective.

Contents

Contents
Acknowledgments xi
Introduction xiii
Chapter 1 Fundamentals 1
What is EasyLanguage? 1
Variables and Data Types 2
Operators and Expressions 5
Precedence of Operators 6
TradeStation 2001i versus TradeStation 6.0 8
TradeStation 2000i 9
PowerEditor 9
A Simple Program 11
TradeStation StrategyBuilder 13
TradeStation 6.0 18
PowerEditor 18
A Simple Program 22

Conclusions 29

Chapter 2 EasyLanguage Program Structure 30
Structured Programming 30
Program Header 31
Calculation Module: MyRSIsystem 32
Conclusions 37

Chapter 3 Program Control Structures 39
Conditional Branching with If-Then 39
Conditional Branching with If-Then-Else 43
Repetitive Control Structures 48
For Loop 48
While Loop 50
Conclusions 51

Chapter 4 TradeStation Analysis Techniques 52
Indicators 52
PaintBar and ShowMe Studies 59
Functions 65
Strategies 70
Conclusions 75

Chapter 5 Measuring Trading System Performance and System Optimization 77
TradeStation's Summary Report 78
Total Net Profit 81
Maximum Intraday Draw Down 82
Account Size Required and Return on Account 82
Average Trade 83
Maximum Consecutive Winners and Losers 84
Number of Trades and Average Number of Bars Per Trade 84
Average Winning and Losing Trade 84
Trades 85
Analysis 88
Graphs 93
Optimization 96
Conclusions 108

Chapter 6 Trading Strategies That Work
(or The Big Damn Chapter on Trading Strategies) 109
The King Keltner Trading Strategy 111

• King Keltner Pseudocode 112
• King Keltner Program 112
• King Keltner Summary 114

The Bollinger Bandit Trading Strategy 115

• Bollinger Bandit Pseudocode 116
• Bollinger Bandit Program 116
• Bollinger Bandit Summary 118

The Thermostat Trading Strategy 119

• Thermostat Pseudocode 121
• Thermostat Program 122
• Thermostat Summary 123

The Dynamic Break Out II Strategy 126

• Dynamic Break Out II Pseudocode 127
• Dynamic Break Out II Program 128
• Dynamic Break Out II Summary 130

The Super Combo Day Trading Strategy 134

• Super Combo Daily Data Bar Calculation Pseudocode 139
• Super Combo Code 143
• Super Combo Summary 146

The Ghost Trader Trading Strategy 149

• Ghost System Code 150
• Real System Code 151

The Money Manager Trading Stragegy 153

• The Money Manager Code 154

Conclusions 156

Chapter 7 Debugging and OutPut 157
Logical Versus Syntax Errors 158
Debugging with the Print Statement and Print Log 158
Table Creator 160
Conclusions 166

Chapter 8 TradeStation as a Research Tool 168
Commitment of Traders
Report 168
Day of Week Analysis 176
Open to Close and Open to Open Relationships 176
Day of Week Volatility Analysis 177
Time of Day Analysis 183
Pattern Recognition 188
Intermarket Analysis 192
Conclusions 193

Chapter 9 Using TradeStation's Percent Change Charts to Track
Relative Performance 194
Working with Percent Change Charts 196
Conclusions 200

Chapter 10 Options 201
Option Basics 202
Listed Options 204
Nomenclature and Terminology 205
Long and Short 206
Closing Option Trades 209
American Versus European Options 210
The Special Properties of Options 210
Volatility Trading 212
Options and Changing Conditions 212
The Greeks 213
Who Are Market Makers? 214
Option Strategies 215
Single-Option Strategies 216
Long Call 216
Short Covered Call 217
Short Naked Call 218
Long Call with Short Stock 220
Long Put 220
Short Covered Put 222
Short Naked Put 222
Long Put with Long Stock 223
Equivalent Strategies 224
Combinational Strategies 225

Chapter 11 Interviews with Developers 228
Welles Wilder 228
Dr. John Clayburg 232
Keith Fitschen 235
Randy Stuckey 238
Dave Fox 241
Wayne Griffith 243
Mike Barna 247
Ziad Chahal 250
John Tolan and Steve Marshall 254
John Ehlers 258
Charles Le Beau 262
Lundy Hill 265
Peter Aan 267
Michael Chisholm 270
Michael A. Mermer 273
A Talk with Larry Williams by Rob Keener 276

Appendix A EasyLanguage Syntax Errors 283
Appendix B TradeStation 2000i Source Code of Select Programs 309
Appendix C Reserved Words Quick Reference 326
Index 381

Analysis of Trading Strategies

• Analysis of MyRSISystem Trading Strategy - This is being shown at this point just as an example of how programming is done. Default parameters gave horrible performance for GS over a several week period, but performance improved greatly when optimized. It will take about 2 hours to finish optimizing for all combinations of all variables.

Functions given in book

• ChoppyMarketIndex - pg. 66
• SumDiff - pg. 69
• ZoneBands - pg. 69

Book Information