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TRADESTATION: SEPTEMBER 2012

In “Developing A Multilevel Strategy” in this issue, author Vladimir Vladimirovich Voznjuk describes comparing the close minus open range for four longer time frames against a shorter time frame’s close minus open range. The code shown here makes this comparison and allows the strategy optimization engine to switch between time frames by changing the SignalData input. Optimization also allows changing trigger thresholds and trading style: channel breakouts or zero-line crosses.

To download the EasyLanguage code for the indicator, first navigate to the EasyLanguage FAQs and Reference Posts Topic in the EasyLanguage support forum (https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=47452), scroll down, and click on the link labeled “Traders’ Tips, TASC.” Then select the appropriate link for the month and year. The ELD filename is “Multi-Level.ELD.”

Multi-Level ( Indicator )
{ TASC - September 2012 }
{ Developing A Multi-Level Strategy }
{ Vladimir Vladimirovich Voznjuk }
{ 
Chart setup of data streams:
Data1 = 1 minute
Data2 = 5 minute
Data3 = 15 minute
Data4 = 30 minute
Data5 = 60 minute
}
Inputs:
SignalData( 2 {use 2,3,4,or 5}),
BuyThreshold( -10 ),
SellThreshold( 10 ),
IndexFactor( 10000 ) ;
Array:
Signals[5](0);
Variables:
Z( 0 );
Signals[1] = Close - Open ;
Signals[2] = Close data2 - Open data2 ;
Signals[3] = Close data3 - Open data3 ;
Signals[4] = Close data4 - Open data4 ;
Signals[5] = Close data5 - Open data5 ;
Z = (Signals[1] - Signals[SignalData]) * IndexFactor;
Plot1( Z ,"Signal");
Plot2( SellThreshold,"SellTrigger");
Plot3( BuyThreshold,"BuyTrigger");
Plot4(0, "Zero" );
Multi-Level ( Strategy )
{ TASC - September 2012 }
{ Developing A Multi-Level Strategy }
{ Vladimir Vladimirovich Voznjuk }
{ 
Chart setup of data streams:
Data1 = 1 minute
Data2 = 5 minute
Data3 = 15 minute
Data4 = 30 minute
Data5 = 60 minute
}
inputs:
SignalData( 2 {use 2,3,4,or 5}),
BuyThreshold( -10 ),
SellThreshold( .10 ),
IndexFactor( 10000 ),
TradeStyle( "Channel" ) ;
arrays:
Signals[5]( 0 ) ;
Variables:
Z( 0 );
Signals[1] = Close - Open ;
Signals[2] = Close data2 - Open data2 ;
Signals[3] = Close data3 - Open data3 ;
Signals[4] = Close data4 - Open data4 ;
Signals[5] = Close data5 - Open data5 ;
Z = (Signals[1] - Signals[SignalData]) * IndexFactor;
if Lowerstr( TradeStyle ) = "channel" then
begin
if Z crosses under BuyThreshold then
Buy next bar at market 
else if Z crosses over SellThreshold then
SellShort next bar at market ;
end 
else  
begin
if Z crosses over 0 then
Buy next bar at market
else if Z crosses under 0 then
SellShort next bar at market ;
end ;

A sample chart is shown in Figure 1.

FIGURE 1: TRADESTATION, MULTI-LEVEL STRATEGY ON EUR/USD. Here are two displays of the multi-level strategy operating on charts of the EUR/USD forex pair. In both cases, there are five datastreams on the chart: 1, 5, 15, 30 and 60 minutes. The chart on the left displays all five time frames. On the right, only the one-minute data is displayed. The multi-level indicator is at the bottom of each chart, displayed as a red line.

This article is for informational purposes. No type of trading or investment recommendation, advice, or strategy is being made, given, or in any manner provided by TradeStation Securities or its affiliates.

—Mark Mills
TradeStation Securities, Inc.
A subsidiary of TradeStation Group, Inc.
www.TradeStation.com