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Too Much Mousing

by Bill Brower on July 7, 2016 | Categories: tradestation |

Too Much Mousing

One of the features of Tradestation’s charting environment is giving the user access to the “Runcommand” from the keyboard. That command will execute macro like shortcuts when you press the “Enter” button. This allows you to change symbols, bar types and bar intervals without using the mouse which is painfully slow at executing the exact same commands through the menu or even from the pull down icons. (more…)

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Something is wrong with daily data!

by Bill Brower on July 7, 2016 | Categories: tradestation |

Something is wrong with daily data!

You built a strategy, were careful to avoid over optimization and even used walk forward strategy testing to prevent curve fitting. You have invested a lot of time and effort in this project and finally launch the strategy in the simulator (if you are smart). The strategy runs on daily bars of futures data and entry trades at the close depending on where the daily bar closes in relation to the other prices. Back-testing shows it is a killer strategy. However, in the simulator, it misbehaves and profits are not what they should be. Worse yet, you find that it is entering at prices that are nowhere near the daily close on some days. What gives?

As unbelievable as it sounds, there is nothing wrong with Tradestation or the data. Daily data in futures contracts has a manipulated close price established by the exchange to reflect the price at the time of the close of the old pit session. When trading was extended to include overnight sessions, the trading day end times were extended. For the e-mini S&P 500 contract, the pit session close was always 15 minutes after the NYSE closed which put it at 1615 Eastern time (1515 Central time). The exchange captures the close price at that time and reports it as the official close price of the future contract. However, the 24 hour electronic contract trades until 1700 Eastern time. This means it closes 45 minutes after the pit session time and allows the price to move away from the reported close price of the day. (more…)

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