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Tick Pulse V12 Stock Indexes

Tick Pulse V12 is an update from Tick Pulse V10. The benefit of this strategy is that it trades on one minute charts instead of 15 second charts. On this time frame we have a longer historical backtest for this strategy and we slow down the decision making of the algorithm. Fast markets with many reversals can present challenges while more selectivity is usually a better proposition for risk management.

The average trade profit and maximum drawdown are in line with our desired objective. This strategy does well when the trend is strong and the stock indexes are trading in good ranges. It will trade less frequently and also generate less profit when the market trades in more narrow ranges.


Recent Long and Short Trades for Tick Pulse



Tick Pulse Version 12
Hypothetical Tradestation Performance Summary
No Slippage or Commission
1/1/2003 - 03/12/2019

Tick Pulse Version 12
Hypothetical Tradestation Performance Summary
No Slippage or Commission
1/1/2007 - 03/12/2019



Tick Pulse Version 12 Inputs for Tradestation

 

Input Descriptions for Tick Pulse V12

cntrcts_Long – number of shares/contracts to trade on the long side.
cntrcts_Short – number of shares/contracts to trade on the short side.
UseMaxDailyEntries – set to True to limit the number of daily entries.
MaxDailyEntries – 10 is the default. Not in effect unless UseMaxDailyEntries is set to True.
UseMaxDailyLoss – set to True to limit the daily loss on a closed bar basis.
MaxDailyLoss –
the amount of daily loss per contract if UseMaxDailyLoss is True.
TakeLongTrades
– set to True to take long trades, set to False to turn off long signals.
TakeShortTrades – set to True to take long trades, set to False to turn off short signals.
LMTOrder – if set to True, it uses PTS_Long and PTS_Short to enter, if False, it enters on market orders.
UseVWAPFilter – if True, the VWAP is used, must be greater than VWAP to go long, less than to short.
UseVIXFilterLongs –
if True, data3, VIX, ranges in next two inputs are used for long trades.
VIXThresholdLongsLower –
lower VIX range for longs if UseVIXFilterLongs is True
VIXThresholdLongsUpper -
upper VIX range for longs if UseVIXFilterLongs is True
UseVIXFilterShorts
if True, data3, VIX, ranges in next two inputs are used for short trades.
VIXThresholdShortsLower -
lower VIX range for shorts if UseVIXFilterShorts is True
VIXThresholdShortsUpper -
upper VIX range for shorts if UseVIXFilterShorts is True
PTS_Long
– part of the entry algorithm for the long trades. (Buy at Close – PTS_Long limit)
PTS_Short – part of the entry algorithm for the long trades. (Sell Short at Close + PTS_Short limit)
UseTickPulseRanges – if True, it uses different levels of the TICK based on the VIXForTickPulseRange
TickPulse_Long
– Tick Threshold for long trades.
TickPulse_Short
– Tick Threshold for short trades.
TickPulse_Long2 – Tick Threshold for long trades.
TickPulse_Short2
– Tick Threshold for short trades.
L1_Long – lookback period for long trades.
L1_Short – lookback period for short trades.
ResetAtEOD – default is to set to TRUE but could be set to False to carry over the previous day’s values.
StpLs_Long – set to true to make sure the stop loss for long trades are on.
StpLsAmt_Long – size of stop loss if StpLs_Long is set to True.
StpLs_Short – set to true to make sure the stop loss for short trades are on.
StpLsAmt_Short – size of stop loss if StpLs_Short is set to True.
PrfTg_Long – set to true to turn on the profit target for longs.
PrfTgAmt_Long – size of profit target if PrfTg_Long is set to True.
PrfTg_Short – set to true to turn on the profit target for shorts.
PrfTgAmt_Short – size of profit target if PrfTg_Short is set to True.
LongStartTime – the time of day that long trades can start signaling.
ShortStartTime
– the time of day that short trades can start signaling.
LongFinishTime –
the time of day that long trades stop signaling.
ShortFinishTime –
the time of day that short trades stop signaling.
LongExTime –
the time of day that long trades exit.
ShortExTime –
the time of day that short trades exit.

The time based inputs are based on EST. These inputs will need to be adjusted for the timezone of your computer based on its difference from EST. For example, if your computer is on CST, then LongStartTime should be 835 instead of 935 since CST is one hour earlier than EST.