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Tick Pulse V10 E-mini S&P VWAP Update

Posted by David Bean on

We add additional input and filtering options to our Tick Pulse V10 E-mini S&P trading system including Tick Pulse Ranges and VWAP. The new input list is below the video. We also go over the platform limitations below the video. We continue to extend the two week free trial since there is so much to test with this strategy. The details are in the video below.

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Tick Pulse V10 Updated Inputs

Platform Limitations and Requirements for Tick Pulse

Tick Pulse requires real time data for the E-mini S&P, NYSE TICK and CBOE VIX otherwise you will get an error message, "You may not mix symbols of different delays".

You can purchase more tick data to get more historical testing but the problem is with the NYSE TICK. The tick data you purchase may not match the tick data of your data feed for the NYSE TICK. There are tick data providers for the NYSE TICK but they don't match the Tradestation data feed. 

If you are not using Tradestation, the NYSE TICK can be different on different data feeds and this can cause the results to be different. There is a video at the bottom of this page that shows the difference in data feeds between Kinetick and Tradestation. 

https://capstonetradingsystems.com/products/tick-count-trend-ii

While market data for markets is the same regardless of data feed, indicators such as the NYSE TICK are calculated and sampled at different rates and generate significantly different numbers.

Additionally, this is the only strategy I offer that uses sub one minute charts. It uses 15 second charts on data1 and 15 second charts on data2. For this reason, sometimes it signals a trade that disappears or changes when the signal is refreshed (Status Off and then On). Sometimes this will work to your benefit (taking a winning trade that disappears) while other times, this will work against you (taking a losing trade that disappears). All of my other strategies match the real time signals when refreshed and I can count on the live results matching the signals minus an average slippage and commission number. With Tick Pulse, your results will vary in live trading. I have gone over the code many times with my programmer. There seems to be a platform problem on both Tradestation as well as NinjaTrader when working with multiple data series on sub one minute charts. It could also be the result of data coming from different exchanges. The E-mini S&P is on the, CME which is on CST timezone and is data 1 while the $TICK is on the NYSE, which is on the EST timezone and is data 2.

The potential solution for this is to refresh the chart after you get the signal to see if the signal is still there and then adjust the trade or wait to put the trade on manually after refreshing the chart whenever you get a signal. This would require watching it all day and potentially missing trades that went quickly in the direction of the trade. Overall, simply automating with this discrepancy will probably average out over time. Sometimes, it would work to your advantage while other times it would work against you, but in the long run, I anticipate that it will average out.


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