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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.

One of the greatest things about blogging is how much we learn from each other. I think our trading evolves much faster that way than working in a vacuum. For instance, in the comments of my previous post Gabriel enlightened me to the fact that StrategyDesk (hereafter SD) does indeed have a formula for monthly average volume. So my life suddenly became much easier due to some simple generosity.

Let’s get into the meat of this thing a little. Here’s a better-annotated shot of my intraday SD monitor screen with the three windows I keep open. Click for a larger version:

In particular please notice the “Sym” (symbol) and “Inv” (intervals) buttons on the charts. If the Inv buttons are the same color, every time you click a ticker in your screener list, both charts will switch to the SAME time interval. So, make sure the Sym buttons are the same color (so all windows will change to the same ticker when you click it), but that the Inv buttons are different colors, else you’ll get frustrated pretty quickly as your “minute charts” keep changing to “daily” or vice-versa.

To enter a screening formula, highlight the Screener window, then click “Screener” in the toolbar of the MAIN Window. Yes, poor programming. The screener toolbar should be in the screener window. Instead, the MAIN toolbar changes based on which window you last highlighted. Perhaps in a later version…

Under “Screener” in the toolbar, click Add Screener or Edit Screener. This will bring up the Screener Settings window, which is where we do all the “under-the-hood” work. Here’s a screenshot with an important warning:

As of v1.0, SD doesn’t support different directories (”folders”) for groups of formulas- they’re all under the Formula Library list, which can get unwieldy really quickly as you save all your tweaks. For now, I’d suggest you begin each of your custom formulas with a particular letter or symbol so they’ll all stay grouped together within that long list. For example, I start all of mine with a number sign “#“, so the title looks like “# 15-minute Dummy Spot Test“. That way, when I drop down the Select a Formula list, all of my custom ones are grouped together.

Time for that formula! As I’ve said before, your rules have to be extremely specific to be useful. What we’re going to do here is write a formula which will give us, in real-time:

Pretty specific! But that’s what we need if this is going to be really useful. We’re wanting to use this tool to narrow the field the way we previously had to with our eyes, and free our eyes up to pay more attention to the prime suspects as they appear.

Let’s walk through the construction of this formula:

• First, price and volume. The formula for stocks with a prior closing price above 20 is Bar[Close,D,1]>20. The “D” is for “daily bars” and the “1″ tells SD to look at the bar “1″ day before the current day.

  The formula for volume (thanks, Gabriel!) is (Bar[Volume,M,1]/20)>200000. This takes the previous month’s volume and divides it by 20 (trading days in a month), and we’re wanting stocks for which the result is higher than 200k.

  2/25/07 Warning: I’ve been toying with this formula more tonight, and there’s some problem with this volume statement. The lack of documentation by Ameritrade makes this a trial-and-error arrangement, so I haven’t isolated the problem yet. I will post the update/solution once I work it out or someone emails it to me; until then, consider eliminating this statement from your formula and pre-screening your stock list for volume.

  2/26 - formula has been edited and should work reasonably well; please see next post for more details.

• Next, our gap. The formula for a gap simply divides today’s open by yesterday’s close, and, for a 1% gap, looks for a result greater than 1.01. It goes like this: Bar[Open,D] /Bar[Close,D,1]>=1.01

• Now for our 30-minute bar formulas. The high of the current 30min bar would be written Bar[High,30] and the low of the previous bar would be written Bar[Low,30,1] (remember, the “1″ tells SD that we’re talking about “1″ bar prior).

  For our formula, we want the previous 30min bar (bar “1″) to have a lower HIGH than its previous bar (bar “2″), so we would write the formula as follows: Bar[High,30,1] < Bar[High,30,2].

• The formula for a 5-period exponential moving average of 30min bars based on the closing price of each bar is this: ExpMovingAverage[EMA,Close,5,0,30]. I know having to write “ExpMovingAverage” and then having to write “EMA” is redundant. Poor programming again. They should hire someone who actually uses the program as a consultant. Or maybe my 7th grader- she’d catch that one easily.

  Since we want our previous 30-minute bar to have a low which is within 1% of the 5ema, we’d write that part of the formula like this: Bar[Low,30,1] < (ExpMovingAverage[EMA,Close,5,0,30] * 1.01)

• Finally, now that we have a pullback and a price which has come within spitting distance of the 5ema, we want SD to only notify us once the current price reaches more than halfway up the previous bar.. in other words, when it may be approaching a breakout. No need to waste our cerebral processor cycles otherwise– we’ve got better things to do.

  Our formula to say “Last price higher than 50% in the previous bar’s range” requires us to take the high of the previous bar minus its low, divide by 2 (thereby giving us “half” of the hi-lo range), then adding that number back to the low for our cutoff price.

  The way we write that part of the formula is: Last > Bar[Low,30,1]+((Bar[High,30,1]-Bar[Low,30,1])/2).

Ok, bored yet? Let’s put it all together so we can move along to more entertaining subjects. Here’s the completed formula, with each part (hopefully) explained above:

Well, all the formula yakking is great, but what does this accomplish? For your viewing pleasure, here’s a chart from Wednesday which shows the kind of setup we’re trying to catch with this scan:

Well, that’s that. It’s just a basic start, but maybe it’ll give you some ideas. Feel free to copy the above and edit it as you see fit to make yourself a scanner. I’d also encourage anyone who comes up with a useful scan to share the formula in the comments so we can collectively speed up our learning curve.

Cheers, and best of luck!

I’m going to focus tonight on what I feel is the most important ability of StrategyDesk: its real-time scanning capability.

First, you’ve got to have a very clear idea what you want to do. You never realize how “flexible” all your trading rules are until you try to put them in writing, or even better, program them. You’ll often find that your “rules” have so many “exceptions” that they aren’t really rules at all. More like suggestions, if that, and your constant bending of them causes you great agony in the end.

I’ll write more about this in a separate article, but in scanning for potential daytrades what we’re trying to do is simultaneously narrow the field and improve the quality of candidates with each “rule” or criteria we add. For instance, the first “cut” many daytraders make is with gaps. Not all stocks that make a big run start with a gap, and not all gaps result in big runs (in fact, if you read my ramblings I’m sure you know one of my favorite plays is on an Opening Gap Reversal), but requiring a gap can drastically reduce your workload and improve your odds- you might be looking at a list of 100 stocks of which 20 are likely to be strong winners, as opposed to 5000 stocks of which 50 are. Yes, you cut out some winners, but you improve the quality of the remaining field by an exponential amount.

Ideally, we’d continue to add this requirement and that filter, and end up with a list of 5 stocks with 4 very likely winners. That’s a little pie- in- the- sky (at a certain point additional criteria do more harm than good), but you see what I’m getting at. We can’t mourn for every winner we may have excluded; that’s not what’s important. What we want is a small, strong set of candidates, and then we use our chart-reading, executions, stops and money management to spank those puppies.

Ok, so we’ve fired up StrategyDesk and arranged our layout. I close everything except three windows:

(not clickable, just for show)

• Window 1 is my intraday chart, ranging from 3min to 30min bars. I do not use this chart to make trades! It’s too clunky. I have Medved Quotetracker (another freebie) running on the other monitors for that.

• Window 2 is a daily chart, about 30-40 bars long. I cannot overemphasize the importance of knowing exactly where a stock is on its daily chart when you’re trying to daytrade it. Daily bar support/resistance levels play a large role in intraday thrusts and reversals, and without them you’re driving blind.

• Window 3 is my Screener window, which shows the real-time results of whichever scan I have running at the moment.

Let’s Build That Screener!

For this example, I’m going to use a setup that most of you have seen or traded already: the famous 30-minute pullback to the 5ema. Sounds pretty simple, no? Au Contraire! Read on…

I like stocks over $20, and I like stocks with reliable volume. You may not agree, and you may make millions on lower-priced, thinly-traded stocks. More power to you. But they give me gas. So the first thing I want to do is reduce my universe of candidates to stocks over $20 with a 30-day average daily volume of over 200,000 shares. So far, I have found no way to screen for average volume with StrategyDesk, other than to take today’s volume, today minus one, today minus two, etc for the past month, then add them up and divide by 30. Yeah, you gotta be kiddin’ me.

Also, StrategyDesk won’t scan “the stock market” as it is. You must choose a list of stocks on which the Screener operates. Here is where I saw an opportunity. But more about that in a minute.

SD (I’m tired of typing the name out) comes with only a handful of default symbol lists: The NDX, the S&P 500, the OEX, the S&P Midcap 400, the Dow, and the Nasdaq Financial 100. That’s right- the Nasdaq composite is not included! However, this is relatively straightforward to remedy:

• Go to the Nasdaq Market Site. Locate the option to download the Composite list to a spreadsheet.

• In the spreadsheet, delete all the rows and columns except for the ticker symbols. Now drag over them (guess you could do this without the deleting, but it’s clearer this way) and Copy & Paste them into Notepad.

• Once you have that long list (over 3000 stocks!) running down the left side of your Notepad window, do a Save As- and here’s the tricky part: save the file in your TD AMERITRADE\StrategyDesk\Symbols\Stock Indexes directory, and save it with the extension “.sym“. It’s still just a text file, but this way the Screener will recognize it as a symbol list.

Voila, you now have the Comp at your disposal. Now that we’ve walked through how to do it, you can collect any variety of symbol lists you like, and as for the Comp, you can see I’ve been there and done that, so feel free to grab the .sym file from me.

The opportunity I saw with this crazy symbol-list stuff was that I could include my volume screens via a pre-screened symbol list. I fired up a different program (Advanced Analyzer, yes, another freebie) and set up a screen for all the stocks over $20 and with average volume over 200k. I exported the results of that screen (about 1000 stocks) using the method described above. If you want to grab that one too, here it is. And now, only 85 lines of html later, we’re ready to start writing formulas.

My apologies, but it’s late, I’ve installed a new stereo in my car today, wired HyperLites onto my motorcycle, grilled for the girls, watched a movie with them, and gotta get up at 0530 to go to work. Will do my best to finish this article tomorrow night.