Meta-Trader - Range Bands - Part 3

Welcome Back, Meta-Traders.

In this post, we delve into strategy trading inside TradeStation. Coming from Meta-Trader, TradeStation was a bit of an adjustment. In MetaTrader, you have a single file that has all the logic, all the buys, sells, etc.  I'm a programmer and that's the way I would think to design it.

In TradeStation, you have "strategies" which get applied alone or in groups. By convention, there are separate files for Long Entry (LE), Long Exit (LX), Short Entry (SE) and Short Exit (SX).

There are also pre-built Strategies to close a position at a certain dollar loss or point loss, or time of day if you want it to day trade only.  While this seems a bit messy, its so much more powerful than trying to get a single program to do all the work.  You can create a whole combination of items and move them up and down in the hierarchy of priority.  This program is such an awesome money-making machine, it reminds me of a print ad I recall seeing for this product in the past "Don't bring a knife to a gunfight."

Anyway, the combination of strategies required to trade the range bands is shown above.  Each Easy Language file is the height of simplicity as follows:

inputs: Length( 14 ), Price( Close );

if ( Close > EaUpperBand( Length ) ) then
Buy ( "EaRangeBandsLE" ) next bar at market ;

Once I figured out how to download the data, and apply the strategies, voila!  Range Bands in TradeStation against EUR/USD! 

Historical data for EUR/USD and GBPUSD only went back to about 2002, which was a bit of a surprise since we have it on the Meta-Trader side. But it was still 10+ years of signals which is enough to get a large number of trades done.

Once the strategy is applied, you can scroll around in the data and see the trading displayed on the chart which is a pretty cool feature.

The strategy performance report is just a mouse-click and a few seconds away and has a very impressive set of statistics on the system's performance including summary,  Trade-by-Trade Analysis, Periodic returns, Performance Graph including equity curves. 

Here are the results of the Range-Bands system on an hourly chart of EUR/USD from 2002 through 2012:

- Meta-Trader MQL system earned $17,000 on a 100K account for a profit factor of 1.01
- TradeStation system earned $41,000 on a 100K account for a profit factor of 1.05
- Meta-Trader took 1620 trades while the TradeStation took almost double at 2820
- Meta-Trader trades were profitable about 37% of the time and on TradeStation 36.8% profitable

A comparison of the periodic returns were more murky where the year-by-year returns in Meta-Trader were much worse than in TradeStation.  The year-by year results don't line up very well except that they agree more years were losers than winners and that 2010 was a huge positive year for Trend Following in EUR/USD.

To summarize, the results between Meta-Trader and TradeStation were more the same than different, though somewhat better for TradeStation.  TradeStation is head-and-shoulders above anything you can do with MT4, it makes me wonder why I spent so much time in the MT4 world.

As for the Range Bands indicator, they aren't a pancea, but they will also keep you on the right side of the move in hourly and above time frames.

I will upload a ZIP file of the EasyLanguage files for the Range Bands indicator and Strategies to my yahoo group at FX-Mon Group.