AnyHour_TimeBox

A “Scalping” Strategy for Tradestation Version TS8.x

Author: Clyde Lee, SYTECH Corporation Copyright: 2003….2008

This is a licensed product and is distributed on a fee paid basis only.

See the power of the “box”

Click on following for License.

A license to use this strategy on a single Tradestation platform is

available. The price of the license is $2,500 USD and as usual

the source code is open. Click on any of these lines to go to

the purchase zone.

The following information is from the frontend documentation that is provided for the
AnyHour_TimeBox strategy for Tradestation Version 8.x. This version supports multiple

overlapping boxes (up to 6).

After examining this information in detail, you will find graphic representations of these
parameters and their effect on the behavior of the strategy.

{Strategy: AnyHour_TimeBox

Over the years a number of authors have suggested that the behavior of prices

within the first hour after opening could be used as a screening tool to

determine the direction of trading (long or short) and levels at which one

should make such an entry.

After examining the above concept extensively I decided to implement a

strategy which:

1. Allowed the user to set the beginning time for construction of the set of

prices to be evaluated at any time within the trading session.

2. Allowed the user to set the period of time after the time set in 1 above

over which price behavior was to be examined/evaluated. To provide some

frame of reference a "box" is constructed with vertical sides at the time

of 1 above and time 1 plus this time period. Top and bottom of the box

will be set by the high and low values within the indicated time zone.

3. Establish a percentage of the price range within the described box at

which a price level is established to define whether the trade is to

be entered or not. Direction of the trade is established automatically

by determining whether the low of the box or the high of the box

occurred first in time.

4. Allow user to establish a stoploss point based on either a percentage

of the high/low price range of the box or a multiple of Average True

Range.

5. Allow user to establish a take profit point based on either a percentage

of the high/low price range of the box or a multiple of Average True

Range.

6. Specify a maximum time period for a trade.

7. Specify an option to invert the direction of trading.

Input:

BeginTime(9.25), {0=use begin of session time. }

{Negative=use begin of DAY time. }

{HHMM format or HH.dd format where HH is an }

{hour specification and .dd is a multiple }

{of 60 minutes to set the minutes. This is }

{done to allow "optimization" without any }

{wasted and unachievable time values. }

NumbMinutes(75), {Number of minutes in "first hour" box }

NumbBoxes(1), {Number of boxes to create on following }

{Maximum number boxes = six (6). If set to }

{zero the default is 1. }

BoxIncrement(75), {Time interval between END of boxes. }

{This interval must be in minutes. }

EntrLimPercHL(-5), {To enter a trade long the close price of }

{each hour box must be above the lowest low }

{of the box plus this % of HH-LL of the box.}

{To go short the closing price of the box }

{must be less than the highest high of box }

{If this value is negative then the absvalue}

{is the number of bars to check direction to}

{see it is same as for box. }

{minus this % of HH-LL of the box. }

StopLimPercHL(125), {Stop/Reverse -- dollars for stoploss limit }

{If set to zero then no stop will occur }

{If set negative is a multiplier of ATR }

TakProfPercHL(250), {Take Profit -- dollars for stoploss limit }

{If set to 0 then no take profit will occur.}

{If set negative is a multiplier of ATR. }

ExitAfterMins(120), {Exit any active trade after this # minutes }

{Negative=Time for exit in HHMM or HH.dd. }

NumbCont(2), {Number of contracts/shares to trade }

InvertTradeDir(0); {Set positive to invert trading direction. }

The following shows installation each hour – not recommended since strategy closes any

trades from prior instances.

The vertical lines were put in manually to indicate time and date of installation of strategy.

You will note that whenever a new box is entered, any trade from earlier box is closed out.

The dotted lines of the box indicate the extremity in time and price. A diagonal line is

drawn indicating the relative position of the high and low prices in the box. So:

BeginTime(0), {0=use begin of session time. }

{Negative=use begin of DAY time. }

We now concentrate on:

NumbMinutes(90), {Number of minutes in "first hour" box }

This parameter is used to establish the number of minutes that will be used to setup the

First “box” that provides a set of values to establish conditions for entry and exit. The

BeginTime and NumbMinutes parameters should ALWAYS be optimized concurrently.

Takes some time but do it anyway.

If the user desires to use more than one OVERLAPPING box then such should be

Indicated using the following input parameter. Remember, maximum of 6 boxes is

supported.

NumbBoxes(1), {Number of boxes to create on following }

{Maximum number boxes = six (6). If set to }

{zero the default is 1. }

If the number of boxes defined above is greater than one then the user must specify an

Increment between the END of each box relative to the end of the prior box. This is

A time increment that is specified in minutes.

BoxIncrement(75), {Time interval between END of boxes. }

{This interval must be in minutes. }

When we have a working “box” then we need to look at:

EntrLimPercHL(-5), {To enter a trade long the close price of }

{each hour box must be above the lowest low }

{of the box plus this % of HH-LL of the box.}

{To go short the closing price of the box }

{must be less than the highest high of box }

{If this value is negative then the absvalue}

{is the number of bars to check direction to}

{see it is same as for box. }

{minus this % of HH-LL of the box. }

and determine a level for entry or the length of a momentum measure that will yield the

best return on drawdown. Typically this will run somewhere around 50 for level but it

should be optimized from zero to 95. The length of the momentum operator will often

be around -5 but I always optimize from -21 to zero.

Because this is a scalping system and a trade does not exist too long, it is not always

necessary to have a stoploss setup. However, you should always test to see if one makes

sense for the model you are creating. I always use a multiple of ATR (a negative number)

but you may find a percentage of box price size is workable.

StopLimPercHL(35), {Stop Percent of HH-LL from HH/LL }

{If set to zero then no stop will occur }

{If set negative is a multiplier of ATR }

As a scalping system/model perhaps the most influential of all the parameters is the next:

TakProfPercHL(165), {Percent of HH-LL as take profit target. }

{If set to zero then no take prof will occur}

{If set negative is a multiplier of ATR }

The strength of the scalping – and to some extent the profitability of the strategy – is

controlled by the size of the take profit parameter. Again, I use multiple of ATR but you

may find the percentage of box price limits to work best.

If the take profit amount is very small the profit will be limited but the percentage of wins

will be very high. Winning percentages can approach 90 for small take profits. However,

for maximum profit the take profit amounts will need to be large or excluded and just use

the end of day or expiration of time limit to close the trade.

The following parameter is used to limit the length of time that a trade is active.

ExitAfterMins(0), {Exit any active trade after this # minutes.}

{Negative=Exact time for exit. }

If set to zero then exit will be at end of session. However, I have found that an exit may well

not occur if you depend on the Tradestation end of session exit. I strongly recommend that

you set this parameter so that there is an exit on the bar before the end of the session.

Because of certain requirements of internal logic it is important to tell the system how many

contracts are to be traded in each box. The NumbCont parameter satisfies this need.

NumbCont(2), {Number of contracts/shares to trade }

There are starting times and box width minutes that will result in profitable trades over a

Significant period of time. The following optimization report indicates a couple of such

times/box width combinations that resulted in profitable trades.

However, these are not as profitable as the best “conventional” trades.

InvertTradeDir(0); {Set positive to invert trading direction. }

This parameter is available but seldom is it the most advantageous.

The following picture shows a couple of days trading using the inverted definition.

As you can see the trading is opposite what the “normal” box trading would be.

Now for a bit more discussion on TAKE PROFIT parameter. Look at the following

picture which is an optimization report of optimizing the take profit parameter (multiplier

of ATR was used).

The horizontal grey area indicates the most profitable parameter (7 times the ATR) and the

black lighted column shows the percent profitable. The beauty of this strategy is that the

user can pick and choose the performance desired.

The following are a few studies of the strategy in action.

Trading YG (mini gold) from 8:00am CDT with moderate scalping.

Trading YG (mini gold) starting shortly after midnight – moderate scalping

Trading YG (15 minute mini gold bars) starting at 8:00am CDT – moderate scalping.

Mini gold 30 minute bars trading after 8:00am CDT – moderate scalping

Trading Mini DOW starting just after midnight – moderate scalping.

Click on following for License.

A license to use this strategy on a single Tradestation platform is

available. The price of the license is $2,500 USD and as usual

the source code is open. Click on any of these lines to go to

the purchase zone.

The prior information was related to trading just ONE box. The following covers what

may be seen with multiple boxes.

This first picture of this group illustrates (within one day on GOOG) the three types of trades that can

occur. The system has facilities to define a stoploss trade, a take profit trade, and a trade that is based

on some time interval after entry.

The following pictures are explained by notes within each picture.

Click on following for License.

A license to use this strategy on a single Tradestation platform is

available. The price of the license is $2,500 USD and as usual

the source code is open. Click on any of these lines to go to

the purchase zone.