Oct

31

InVivo.System for TradeStation

By Teresa | Filed Under Announcements | Start a Discussion 

InVivo for TradeStation** is the ultimate toolbox. It includes a complete trading system and a number of analytics:

  • _InVivo.System Strategy
  • _InVivo.Status PaintBar
  • _InVivo.Stops Indicator
  • _InVivo.Equity Indicator
  • _InVivo.Range ($) Indicator
  • _InVivo.Range (%) Indicator
  • _InVivo.XC Range Indicator
  • _InVivo.XC Volat Indicator

_InVivo.System

This is the core component. Visually stunning and intuitive to use, the trading system automatically generates buy and sell signals for any market, and calculates precise position sizing for tick, volume, intraday time and daily charts. Pyramiding is optional.

Developed by Teresa for her own use, the system provides advisors with a definitive edge in directional trading because of its ability to generate entries and exits appropriate for both swing and intraday trading.


Swing Trading: 2,500-bar, daily chart, $10,000 starting capital, 1:1 leverage


Intraday Trading: 2,500-tick ESU07 from June 7 - September 13, 2007,
trading between 14:00 - 16:00 Eastern, $50,000 starting capital, 1:4 leverage

_InVivo.Status

This paint bar study colors price bars or candlesticks when the system has a trade on.


_InVivo.System indicates buy and sell signals along with the amount.


_InVivo.Status colors price bars and candlesticks, making it easy to see when the system is in the market.

_InVivo.Stops

InVivo stops are engineered to reflect actual volatility and range, providing us with a definitive edge over.

Use _InVivo.Stops according to the rules below:

  • BUY RULE: When the trading system is on a sell signal, blue dots will appear above the pink price bars to indicate the stop loss/reversal point; if price *closes* above the dot, a buy signal will be issued.
  • SELL RULE: When the trading system is on a buy signal, pink dots will appear below the blue price bars to indicate the stop loss/reversal point; if price *closes* below the dot, a sell signal will be issued.
  • The trading system will NEVER be long and short at the same time.

_InVivo.Equity Indicator

Apply this indicator to view the strategy equity based on your settings. This is the equity curve from the TradeStation strategy performance report.

Technical Specifications

InVivo is designed for pure directional trading. Buy signals, sell signals and trade logistics discussed in Chapter Four of Own The Zone are calculated according to individual symbol settings and the parameters listed below:


_InVivo.System Default Settings

TradeStation Symbol Settings

Launch a bar or candlestick chart. Select the symbol and interval (tick, volume, intraday time or daily). Intraday traders can use 24-hour tick or volume charts to reduce the effects of gaps.

Make security and time frame selection your top priority. Your success depends upon it. Time and again, we have seen that a wide range of trading “problems” tend to be resolved by trading high-priced, high-volatility issues in larger time frames with the stops proportional to volatility and range while simultaneously reducing trade size/ leverage.

Strategy Testing

TradeStation allows users to backtest the _InVivo.System as far back as data permits, and also reads third-party ASCII as well as end-of-day Metastock data formats.

OwnCapital: Default = 10000 (dollars)

Enter the amount of capital you will contribute. For example, if you have $50,000 in capital and wish to trade 10 stocks with equal dollar weighting, apply _InVivo.System to ten chart windows (one window for each stock symbol), each beginning with OwnCapital = 5000.

Another example: If there are 9 stocks you like, but there is one you like a lot, divide the capital into 10 equal chunks. Allot 1/10 to eight of them and 2/10 to the one to overweight. With numbers: If you have $100,000, open 9 charts. OwnCapital = 10000 for eight charts while OwnCapital = 20000 for your favorite.

PercentOwnCapital: Default = 50 (percent)

This is the margin calculation. If you trade a cash account with margin, enter PercentOwnCapital = 100 since you are contributing 100 percent of the funds.

If you trade stocks on an overnight basis in a typical margin account with Regulation T limits, enter PercentOwnCapital = 50 since you are contributing 50 percent of the funds.

Pattern day-traders using 3:1 intraday margin should enter PercentOwnCapital = 25 since you are contributing 25 percent of the funds.

Futures and FOREX generally require very low initial and maintenance margins. For example, intraday margin for most stock index futures contracts is typically 3%. If ES (CME E-Mini S&P 500) is trading at 1,500, then one contract represents $75,000; $1,750 intraday margin works out to PercentOwnCapital = 2.33, 42:1 leverage. If ER2 (CME E-mini Russell 2000) is trading at 850, then one contract represents $85,000; $2,000 intraday margin works out to PercentOwnCapital = 2.35, 42:1 leverage.

Explore the effects of leverage with TradeStation’s strategy testing engine. Click Format Strategies > click _InVivo.System > click Format > select Inputs tab > click PercentOwnCapital > click Optimize and enter a range of values.

StopFactor: Default = 1.5

To reflect the probabilistic nature of trading, the reversal points and stops (see Chapter Three, Own The Zone) were calibrated to be adaptive and robust rather than perfect (see Chapter Two, Own The Zone).


Optimizing the StopFactor with TradeStation

The StopFactor parameter was added to allow users to explore the effects of tightening or loosening stops. If you wish to test the stops with the TradeStation strategy testing engine, my suggestion is to test the range between 1 and 1.5 at 0.1 increments. StopFactor settings under 1 are insufficient. When it comes to directional trading, it is perhaps not possible to tighten the initial stop or trailing stop beyond what volatility dictates.

ShortFactor: Default = .5

Given the challenges of shorting (see Chapter Four, Own The Zone), the ShortFactor parameter was added to help users formulate their own shorting policy by exploring the effects of ratios other than the standard 1:1 short vs. long size using TradeStation’s optimization engine. By default, the trading system executes short positions at 50% of “full size”.

To turn shorting OFF, click Format Strategies > click Short Sell dropdown menu > select OFF.

TrendFilter: TrendFilter = 0 (off)

The TrendFilter allows users to avoid contratrend trades and facilitate multiple time frame trading.

If you input any number greater than 2, the system will take that to mean the periodicity of the weighted moving average that you wish to use. For example TrendFilter = 20 tells the system not to buy unless price is above the 20-period weighted moving average and not to short unless price is below the 20-period weighted moving average. The weighted moving average is used to get a “head start” over others using the simple moving average.

Buy signals generated by the strategy when the TrendFilter is on will be marked “TFLE” for “TrendFilter Long Entry” while short sale signals generated by the strategy when TrendFilter is on will be marked “TFSE” for “TrendFilter Short Entry”. When TrendFilter = 0 (OFF), buy signals are marked “LE” for long entry while short sale signals are marked “SX” for short entry.

Using TrendFilter to Avoid Contratrend Trades
TrendFilter Avoids Contratrend Short

When the system is out of the market — when there is no trade on — the price bars will not be colored by _InVivo.Status. Use of this parameter is documented with examples in Chapter Four, Own The Zone. An intraday example is provided in Chapter Four, Own The Zone. Users can explore the effects of other settings using TradeStation’s strategy testing engine.

Pyramiding: Default = ON, up to 50 times

The trading system will capitalize on profitable trades on the long side. The algorithm is built-in.

TradingSystem Pyramiding ON and OFF

To turn pyramiding OFF, click Format Strategies > Properties for All > UNCHECK “Allow up to X entry orders in the same direction”. Users can also limit the number of times the trading system will add to a position by changing the default from 50 to 2, for example.

When Pyramiding is ON, the Total (Running Total) refers to the total number of shares of the long position

TradeStart and TradeEnd for Intraday Charts

It is often more profitable to restrict intraday trading to certain periods of the day rather than trade all day or all night. We use TradeStart to tell the system when to begin and TradeEnd to tell the system when to stop trading.

The time filter is in 24 hour time. This means that trading can be set to start on one day, ending on the next. Exits generated by the time filter will be marked “EOS” for End of Session.

Alerts Generated by _InVivo.Stops Indicator

There are two ways to track pending buy and sell signals with the TradeStation alert system. The first method is to generate them using the _InVivo.Stops indicator.

Click Format Analysis Techniques > (select) _InVivo.Stops > Format.

Use the Inputs tab to select how close (in percent) you wish the current price to be to the reversal point/stop loss for an alert to be triggered. Be sure to adjust the TrendFilter to match the settings in _InVivo.System.

You can choose to be notified of alerts by means of an audio notification, visual notification, and/or email messaging. You can set up a single notification type for a specific alert or use a combination of notifications. For example, for News alerts, you might want to receive an email notification along with a sound alert.

Use the Alerts tab to select and configure the type and duration of the alert.

Alerts and Trade Automation with _InVivo.Systems Strategy

Alerts can also be generated using _InVivo.System.

For alerts, Click Format Strategies > (select) _InVivo.System > Format.

Check the “Generate strategy orders for display in TradeManager’s StrategyOrders tab” box on the lower left-hand corner.

For intraday orders check the “Automate execution” box below to automate trade execution via TradeStation brokerage. _InVivo.System will only generate buy and sell orders. It WILL NOT generate or transmit trailing stop orders.

Questions and Comments

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