StrategyDesk Volume Problem “Resolved”, Core Problem Revealed
I believe I’ve found the source of StrategyDesk’s volume-calculation “problem” … and I think I smell a rat.
First, the volume. What traders are used to getting when we ask for “1-month average volume” (from ANY application) is the average daily trading volume for the last month (i.e. 30 calendar days or 20 trading days thru yesterday or today). The fact that StrategyDesk has no function for Average Volume is, as Blue would say, a big ole CLUE in itself… AvgVol[30] for 30-day average volume, for instance. Is that too much to ask? How could someone NOT have that function in TRADING software? Keep reading.
We can, in fact, get a decent approximation of the average daily trading volume for the prior CALENDAR month by using the (Bar[Volume,M,1]/20) formula. However, as a trader, that’s not what I want, as I discussed in an email exchange with Gabriel this evening:
Whereas Advanced Analyzer, for “Vol Ave 1 Month” gives what appears to be the last 20 trading days’ total volume / 20, a “20-bar moving average of the volume,” so to speak, StrategyDesk does indeed seem to go by calendar months, which sucks really bad, and as you say, requires us to calcluate the average volume for the PRIOR calendar month, very inaccurate as we have to ignore up to 3 weeks’ worth of more recent data in a number which only involves 4 weeks’ worth total, and when the last few weeks are in fact much more important in determining whether the stock is a candidate. Argh. Guess if we insisted on using this POS, we could use (week-1)+(week-2)+(week-3)+(week-4) and divide THAT total by 20, but then again we could just use a pencil and hand calculator…
I also discussed the fact that SD gets excruciatingly SLOW if you ask much of it. I would never recommend that anyone program this v1.0 thing to actually trade for them, which it claims it can do. If its screener is running a couple of minutes behind, and triggers the trade, well, anyone who’s daytraded knows what can happen.
Set it up to take some of the load off, and give you a shorter list of better candidates by filtering down for things like intraday pullbacks near moving averages, as we discussed in the last post. Then use your eyeballs to make the final decision.
Oh, and that smell…
Mr. Krabs: [sniffs the air] Do you smell that? That smell… a kind of smelly smell… a smelly smell that smells… smelly. Anchovies!
Ameritrade did indeed acquire StrategyDesk from outside, as they seem to do everything. Advanced Analyzer, (formerly BigEasy Investor) is a fully-functional and very respectable end-of-day screening and research program, although it’s a little 1998 in its functions. HOWEVER, StrategyDesk is the product of a company called Think Tech, Inc., which Googles out to be ONE GUY named Jiri Janecek.
StrategyDesk is giving me PTSD flashbacks, because it appears to be the type of software I’ve spent my career in healthcare having to suffer with— the CRAP produced by well-intentioned programmers based on what they THINK I do, and I have to spend much of every day working around the problems caused by the discrepancy between what they think I do and what I actually do.
If StrategyDesk does indeed turn out to be the product of a programmer who takes market data feeds and arranges to manipulate them based on what he thinks traders need based on what he thinks traders do, well he’s done an admirable job… for a non-trader. But it means the software will never evolve to the point of being fully functional. It would also explain the lame documentation. Whereas the general public would be stupified by the pretty EMA and stochastics formulas and all, to us they’re like a second language. You wanna program for sewer workers, you’d better know your shit, so to speak.
Born2Code said,
February 26, 2007 @ 9:46 pm
give yourself a break and sign up for TradeStation.
Will said,
February 26, 2007 @ 10:56 pm
B2C - is it true TradeStation is free except for commissions if I trade at least 5000 shares/month, and $99.95/month otherwise? I clicked around on their site for a sec, and that’s what I gathered. I only get to daytrade one day per week on average, but last year I usually topped the 5,000 shares/month pretty easily.
Born2Code said,
February 27, 2007 @ 11:27 am
not exactly. their commissions are pretty low as you probably gathered, allows you to scale in/out of trades with ease. The platform is $99.95/month, and then there is something called “Radar Screen Strategy” — i forgot the actual name — that’s $59.95/month but is waived as well if you meed the trading requirements. To me, i have not had to worry about either, as 5000 shares has not been an issue. You need a single platform, regardless of how many accounts you trade — i have an individual, an IRA, and wife’s IRA. You can trade them all seamlessly from the platform just by switching the account number in a drop down. They aggregate all trades under the same Social Security Number for the purpose of waiving the platform fees, which makes it even easier to hit 5000 shares.
However, they do not give you real-time quotes for free and you cannot trade if you are getting the delayed quotes. The subscriptions i use are $1/month each. I think i pay 4 of them in total and get the nasdaq, NYSE, S&P indexes and options… again, the $4/month is not an issue for me in the grand scheme of things.
They do charge an annual fee for an IRA account which i can live with.
There is one thing though that just drives me nuts, so you may want to take it into serious consideration. If you are not a pattern day trader — to qualify you need $30k in equity initially and to maintain it above $25k– then the platform does not allow you more than three day trades a day. On the surface this may not seem to be a big issue.
However, the TradeStation folks do NOT understand that the pattern day-trading margin rules are MARGIN rules setup by the exchange. By definition, they do NOT apply to cash accounts like IRA accounts. I have talked to them several times and they are both clueless and ignorant about the subject.
The way the platform enforces the “rules” is by rejecting your opening orders if you already have a combination of three day-trades/open orders in the last 4 trading days.
This is important because for example you cannot have 4 open limit orders, even if you had never day-traded in your life and you do not intend to. Also, if you get whipsawed on Monday for example, with two entries that got stopped out, then you cannot have more than one open order for the rest of the week.
And they aggregate all types of orders, so for example a covered call option order factors in, even though the Day-Trading Margin rules have nothing to do with options…
When all of this happens in an IRA CASH account that has no margin to start with, it becomes really aggravating…
Mind you, i am not trying to day-trade, though i occasionally do, all i want is to leverage their awesome platform and sophisticated order entries and low commissions to scale into positions…
so, if you intend to be a pattern day trader and have the equity in your account, then TradeStation is the way to go… They have some videos and live “marketing” seminars that show you the platform in action, so you can become familiar with it without signing up.
BNJ said,
February 27, 2007 @ 4:31 pm
For the moment, I’m still happy to have *any* such tool at my disposal at TDA, but it certainly does have its shortcomings.
For starters, being able to define variables would certainly be nice. Granted, I may be missing a lot since pretty much everything I know about StrategyDesk I’ve had to infer from the meager documentation, but if I’m reading it correctly, they seriously expect me to do this:
Bar[Open,D,5]=EntryPrice
as an exit rule if I want to dump a stock after 5 days. Kludgy, but I guess it works… so long as the stock doesn’t just happen to open at the same price I bought it for on some earlier date. And you should see the monstrosity of a formula I wrote just to express “the high of the first 30 minutes.” You’d think that’d be simple, right?
A lot of this would be helped if you were allowed to add custom columns as you can custom formulas. I’ve taken a peek at the file “columns.dat” and this does appear to be possible in theory, but I haven’t completely cracked the file format yet, and it’s not terribly obvious.
traderted43 said,
February 27, 2007 @ 10:27 pm
SD is a POS unless you convince me otherwise. If you do not already have it, here is a great tool. It’s called Trade-Ideas Pro. It costs $60/month (first 30 days free trial). Simple to use and will pay for itself after one winning trade. You cannot write out formulas but it has a ton of built in formulas. I only use the gap up, pre-market highs, high volume, and new highs filters. Set the price range and average volume I am looking for and let it run. When the stocks come in click them and they pop up on a QuoteTracker chart (after you set that up which is real easy). No lag time, everything is real time. Plus you can look at history. A great timesaver and very effective. SD just seems to hokey, pokey, slow, confusing, and just downright funky!
Will said,
February 28, 2007 @ 10:45 am
Born2Code - thanks for the great info on TradeStation. I’ve never tried trading a retirement acct (the hospital only offers us a 403b with el-zilcho match and a limited number of mutual funds as “choices”), I’ve just got my old personal account with all the dried blood on it from my education of the last umpteen years. So for my purposes, if I continue churning enough shares to cover their minimums, it may be right up my alley. I’ve stuck with AMTD for years due to all the freebies, and the fact that there’s no penalty for not trading, which is good for folks like me… more incentive to make more trades is the last thing we need!
BNJ- I feel your pain! I spent some time trying to devise a formula for some “intraday backtesting” starting with only their lame example of what they consider to be an IF-THEN/ELSE statement about the high of the first 90 minutes, and couldn’t make it spit out anything useful at all. Trying to deconstruct poor examples is so much more difficult than starting with a good reference and a blank sheet of paper…
Thanks for the visit, and btw, I’ve already spent too much time this morning reading your cynicalnation site; it’s great!
***
traderted43 - SD is Klunky with a capital KLUNK, but even at this embryonic stage, it’s a bit more of the type of tool I need than Trade Ideas. I’ve already got a system (of free tools) which throws as many “interesting suspects” at me as I can handle, sometimes more- for instance, any of our “usual” basic screens would have been barraged with hundreds, perhaps thousands of “suspects” yesterday (I can only imagine what TI with “new lows on big volume” would have looked like), and risk overwhelming us with too much information exactly on the day we need more focused info… the best potential moneymaking day in years.
I’ve needed something that’s at least partially programmable, so I can use it to eliminate my having to look at so many charts. For example, we can take all the stocks that gap up or down, have a certain volume, etc and then manually click thru charts, but there are SO many that we have to look thru that don’t turn out to have any potential…
So what I need is a tool that can take that list, then give me the ones which, for example, have risen away from their 6ema for 2 bars, then closed below it for 2 bars with the second one having a lower high, and now is within 5 cents of breaking the high of that last bar.
In effect, I’m working down to where I don’t look at charts of stocks for potential setups… I only look at charts of stocks that ARE set up, but haven’t actually triggered, and I only need to evaluate whether I like the looks of them or not.
And as for the new highs, for me that’s always been a minute late and 50 dollars short. I need a tool that I can program to alert me when a stock is approaching a breakout, say within 2 percent of its 50-day high, or within 10 cents of its intraday high, or that the 4ema has crossed the 10ema and the last bar has a lower low than its predecessor, etc. In other words, an impending event versus being alerted that one just happened, usually while I was refilling my coffee cup.
I have nothing against Trade Ideas; it’s an awesome piece of work, and I’ll subscribe in a “heartbeat” if I ever see that it can make me, with my style of trading, one penny more than it costs.
I’m absolutely a HUGE fan of QuoteTracker… my favoritest and bestest tool. If some firm has it integrated with customizable screening and backtesting tools (like SD tries to be, but functional), I’d probably switch brokers on the spot.
traderted43 said,
February 28, 2007 @ 11:00 pm
Will I see what your saying. It seems like SD would do all of the above if it were not so slow. I made the mistake of loading the entire Nasdaq symbol list and starting a scan. It kept disconnecting from the Streamer Server then more or less locked up which made me declare it a POS. But I am going to continue tinkering with it and see what I come up with.
TI does allow filters which cuts down on the noise. I guess you could call me old fashioned, I am not into every technical analysis out there. When you think about it there are two components that drive a stock price: volume and emotion. Happy volume = price rise, fearful volume = price decline. And many TA indicators are rooted in price and volume.
So I look for higher volumes than normal at the open. I never trade before 10am. I let it settle a little. I created a paintbar in QT that identifies an inside bar. Then I wait for the opening of the next bar. When it is >= the high of the inside bar I buy and set my stop just below the bar I bought on. That is the setup I want to automate.
I think I am rambling. I am very tired and need sleep. Today was a killer day. Made up for all my losses in today’s rebound for February and ended with a decent profit for the month. That just doesn’t happen, but thankful it did. Good night!
BNJ said,
March 3, 2007 @ 8:51 am
Thanks, Will, although you must’ve been pretty bored to be reading my site.
I’ve really been enjoying this one, however, and after learning that TradeStation now waives its monthly fees for relatively modest trading activity, I will probably fund my TS account as soon as the tax refund comes in. Meanwhile, I’ll struggle along with StrategyDesk, trying to coax it into doing something useful.
John said,
March 3, 2007 @ 6:29 pm
There is a new version of StrategyDesk (Ver. 1.1) available for download at Ameritrade. Still very buggy but has some improvements. Looking forward to your posts in this area.
Will said,
March 4, 2007 @ 11:48 am
Thanks John- downloaded SD 1.1 Friday night, and have toyed around with it a little. I’m liking the subtle improvements they’ve made, and now we have a direct link and 800-number for questions/feedback! Maybe AMTD is listening and realizes they can increase their profit (commissions) substantially by giving us active traders more/better tools. Now we just need some decent documentation. Here’s to hoping.
BNJ - I’m still kinda a stuck-in-the-mud, staying with the familiar. I’m going to hang with AMTD for at least a few more weeks and see what they do with StrategyDesk. In the meantime, am gonna be exploring TS documentation, etc, for when/if I make the switch.
BNJ said,
March 5, 2007 @ 8:47 am
Will, I’ve been doing the same thing, familiarizing myself with EasyLanguage etc., in anticipation of a possible move. Given the trading requirements, I’ll want to hit the ground running when and if I do jump to TS.
I also downloaded 1.1 of StrategyDesk, but after 30 seconds of playing with it, I haven’t noticed any changes yet. In any case, I’m at least cautiously encouraged that they do seem like they plan to do active development on the product — to some extent, at least.
Dave Race said,
March 5, 2007 @ 11:11 pm
Will:
A few nights ago I installed TDA’s StrategyDesk software. After doing a GOOGLE search for info, I discovered your site. A great site I might add… just what I was looking for; someone who likes to share trading ideas and info. In addition my search resulted in finding www.metasubverse.com/strategydesk where he lists a couple Stochastic buy and sell ideas. I also found on the HSM forum board an MACD buy idea from username Dicksan. I then put these ideas together, along with an RSI idea I had, and created a BackTesting filter. I’m trying it out now and find it very interesting. I’m not a day-trader so I like to hold a stock a few weeks or months before selling it. So far my filter seems promising, but I’m sure it could use more work. In one case, going back about a year, it found 24 stocks; 16 were gainers and 5 were losers. The remaining would still be held at this time. If you’re interested, I’ll send you a copy and maybe between us and others on your site, we might be able to improve on it.
Thanks, Dave
Will said,
March 6, 2007 @ 8:08 am
Dave- Certainly! I’m always open to learning, and if it helps any of us make a buck, all the better. Feel free to post any formulas/ideas you’d like to share in the comments- if WordPress gives you too much agony re-formatting them for you (and misreading things as HTML tags), email ‘em to me and I’ll do the requisite HTML escape code substitutions, then I’ll post them.
I do ask that everyone be patient as we work on this stuff. I work full-time and have 3 kids, so sometimes I get hung up a couple of days at a time without even being able to LOOK at the site. But as we know, Mr. Market will always be waiting.
Thanks for the visit and the info!
Dave said,
March 6, 2007 @ 5:06 pm
Will:
Ok here it is:
For the buy equation I’m using:
RSI[RSI,14,D] Stochastic[StocD,14,3,1,10] AND Stochastic[StocK,14,3,1,10,1] 60 AND (Stochastic[StocK,14,3,1,10] Stochastic[StocD,14,3,1,10,1])
The parentheses may or may not be needed but they do show where one segment of the filter begins and ends. I wanted three tests for a buy and two for a sell. As you can see the RSI is the standard 14 day version using 40 and 60 as the trigger rather than 30 and 70. This seemed to loosen up the filter a little. As for the MACD filter, that is directly from Dicksan at the HSM forum. The Stochastic equations are from the Metasubverse website.
This filter seems to catch a stock early enough that you can spend a few hours or days analyzing the results before plopping down your money; or taking your money off the table.
Dave
Will said,
March 6, 2007 @ 10:05 pm
Dave- I think it’s misreading the “greater than” and “less than” signs as opening/closing HTML brackets. Try replacing each “greater than” symbol with its escape code “>” and of course “<” for the “less than” symbol and see if the entire equation gets thru. Should be OK to put them all in the same comment. [DOH! I put the actual escape codes in MY comment, so they just displayed as the symbols… I’ve fixed it now; sorry]
I’ve had a bit of a problem with some of the simple crossover rules (X is greater than Y today AND X was less than Y yesterday), particularly moving average crossovers, in that when I combine them with price criteria they sometimes miss signals if price gaps. But I’m eager to give this one a run!
Dave said,
March 7, 2007 @ 1:15 am
Let’s try this:
Buy:
RSI[RSI,14,D] < 40 AND (MACD[MACD,Close,12,24,9,D] AND MACD[MACD,Close,8,13,6,D] AND MACD[MACD,Close,5,8,4,D]) AND (Stochastic[StocK,14,3,1,10] > Stochastic[StocD,14,3,1,10] AND Stochastic[StocK,14,3,1,10,1] < Stochastic[StocD,14,3,1,10,1])
Sell:
RSI[RSI,14,D] > 60 AND (Stochastic[StocK,14,3,1,10] < Stochastic[StocD,14,3,1,10] AND Stochastic[StocK,14,3,1,10,1] > Stochastic[StocD,14,3,1,10,1])
[escape codes edited- Will]
Will said,
March 7, 2007 @ 4:40 pm
I’m bumping this topic up to a more recent (3/7/07) post… please check there for additional comments– Thanks!