TSI Vector Strategy Working in TradeStation Now - Early Results
I am delighted to report that I have finally and successfully written the computer code to run my True Strength Index (TSI) indicator Vector driven strategy on the TradeStation platform.
If you have a good education in programming this may have been an easy task. But for me, it was the most difficult programming challenge I have undertaken in a long long time. I cannot tell you how many hours I stared at my screen trying to figure out how to write one single line of code for this platform, because my ‘now native’ Think or Swim platform does things so much differently. It was like learning to walk all over again. I fell down so many times I began to wonder why even bother to get back up. At this point I’m really pleased I did not quit.
Anyway, that’s behind me now. Thank heavens. The results I get using the TradeStation platform are the same as the code I wrote for Think or Swim. But the advantage is that TradeStation has an infinitely more powerful capability to test input values…..and even better (which I have not gotten to yet) it has the ability to do blind simulations of the code on the price chart, then optimize, so that eventually one should have a real good idea just how well the strategy is likely to really work in real-time trading.
So far – all of 24 hours – I have tinkered with several ticker symbols using TradeStation and I’d like to give you a look at the results. The outcomes include a $7 buy and $7 sell commission expense.
First we’ll look at a chart of 5 ticker symbols which include various measurements of the strategy’s effectiveness on past price performance. And second, we’ll take a look at the Equity Curves for each ticker symbol.
I want to tell you right up front that while what I am showing you is 100% true, I doubt the ‘real-time’ performance (which we will begin watching soon) will look this good. The walk-forward testing I have yet to begin will let some air out of the tires and give me a way to know what values to use for the various inputs so they are not overly optimized (read curve-fitted) while offering a statistically sound likelihood of being dependable.
After I conclude that process then we will begin watching this in real-time and see how it works, OK?
Here are the Equity Curves for each ticker symbol. A little explanation on what to look for is offered in the lower left section of the picture.
Have a great weekend,
John
[email protected]
Source: http://thetsitrader.blogspot.com/2013/08/tsi-vector-strategy-working-in.html
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