Creating a New System
Contents
Overview:
To get you started with learning how to use Trading Blox Builder, we have created two groups of topics that show what is important for each of the stages in creating a block that will perform a system task. As each topic lesson progresses, the details in the stages needed with a system will become more clear. For example, the main components needed in a system will be covered in the two groups of lessons as we continue each lesson and create a simple Moving Average Crossover system.
All the details that follow in this part of our tutorial area, and in the following tutorial section, are intended to provde insight for how to work with some of Trading Blox features. This process where blocks are scripted and created, will develop some understanding of what are some of a system's important features. As the lessons continues, the features required for trading methods will be shown
need, those insights are best found by spending time examining and working with the provided trading systems, and by spending time reading some of the topics in our Trader's Roundtable Forum.
Tutorial System Creation:
For our tutorial we will use a Crossover System based upon two Exponential Moving Averages (EMA) using the MACD as an oscillating indicator to create Buy and Sell signal orders that go in Long or Short position direction.
Crossover will be determined by using the Moving Average Convergence-Divergence (MACD) indicator. This indicator is a process that uses two Moving Average calculation results to create Convergence-Divergence (MACD) indicator. This indicator is one of the simplest and most effective momentum indicators available. The MACD turns two trend-following indicators, moving averages, into a momentum oscillator by subtracting the longer moving average from the shorter moving average. As a result, the MACD offers trend indication and momentum direction. In operation the MACD indicator values will move above and below zero as MACD value averages converge, cross and diverge.
In our new system we will use the "standard" MACD calculation to determine the difference between an instrument's 26-day and 12-day exponential moving averages. This is the formula that is used in many popular technical analysis programs, and quoted in most technical analysis books on the subject. Of the two moving averages that make up MACD, the 12-day EMA is the faster and the 26-day EMA is the slower in responding to market changes. Only the Close prices of the instrument are used to form the moving averages.
For our signal trigger we will generate a Buy signal to go Long when the MACD is positive, and a Sell signal to go Short when the MACD is negative.
Tutorial Steps & Topics:
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•During our discussion we will to use the term Price Bar, and Bar to refer to any type price record in a data file. For daily data a price bar is a trade record for that date. For intraday data a price bar is dependent upon the number of minutes, i.e. 5-min, 10-min, 60-min, etc., of trade transactions contained as a series of data records for a specific date. An Intraday data record can be any one of the multiple price records of data aligned to the same trade date. However, each intraday price bar will have a unique time stamp so that the system can distinguish each intraday bar regardless of the time it was created.
Weekly price bars contain the week's range of prices printed by the market during that calendar week. Its prices reflect the Open price as the first market price reported and the Close price is the last price reported. A weekly High price is the highest price and the Low price is the lowest price reported during that same week. Monthly price bars for the same timing logic, but use the calendar month as its timing basis.
Weeks in most markets contain the trading data for each trade day of the week. Most often that means there are 5-trade days in a week, unless there is an exchange holiday or a day when the exchange closed for other reasons. Trading Blox can build weekly data price bars from the daily data file loaded when Trading Blox's Preferences dialog shows the Process Weekly Data option in the Data Options section of the Data Folders and Option menu item is enabled.
•Take a few minutes to understand how Trading Blox Basic uses its language operators by reviewing the tables on this page: Operator Reference |
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Edit Time: 9/13/2020 2:57:12 PM |
Topic ID#: 235 |