SERSAN-ARTEMISA-S&P500-11
INSTALLATION AND STARTUP
PREVIOUS INFORMATION
All our systems and workspaces have been developed for the 9.1 version of TradeStation, to make
them accessible to the largest number of users. Those who use later TradeStation versions may find
slight differences between the screens shown here and those of their platform. These differences are
only visual and it is easy to deduce its equivalent in version 9.5. We recommend not to change the
default options with which the system is downloaded.
DOWNLOAD AND INSTALLATION
Once you have selected it in the TradingApp Store, either the free trial or subscribe to the system, we
should accept the terms of the agreement, as shown below:
Once you have downloaded the system and the workspace, you will have the choice of launching it
directly on TradeStation, as shown in the following screen:
It is recommended clicking LAUNCH, in which case TradeStation will automatically open the
workspace associated to the system. It will look like this:
In case you do not want to open the workspace now, you can always do it using the TradingApps
floating button, selecting "TradingApp Store Updates":
A screen like the following will appear. You should to click LAUNCH:
It is advisable to create and save a new Desktop that includes the new Workspace opened from the
AppStore. In this way, you can easily reopen the Desktop, which will allow you to access the
subscribed system quickly whenever you want.
SYMBOL AND SESSION FORMATS
Our systems trade on custom futures symbols. The purpose of this decision is to make the change of
maturity at the best time, when the new monthly contract already generates more volume than the
earlier one. For that the chart always receives data, the workspace we give uses the continuous and
custom future symbol, but we do not include the month and year code needed for trading. In this case,
the included symbol for the E-Mini S&P500 is @ES.D = 106XC. Thus, after the first installation and
during the second Friday of each month of March, June, September and December, the user must
change the month code to the following quarter, using the format @ESxAA.D = 106XC, where 'AA'
are the the last two digits of the year and 'x' stands for the month of expiration (H: March, M: June, U:
September, Z: December)
NOTE: TradeStation notifies its customers when the futures expire, as well as the deadline to close
positions in the expiring contract. However, the trader is the only one responsible of rollover and
trading the correct month contract.
This information is accessible in the Message Center, which is in the View Menu:
You can see below an example message:
Let us look at an example of a custom future ready for trading in March 2017 contract:
It is also very important to load at least 2 years of historical information so that the system can
perform the calculations correctly. As can be seen in the previous image, the continuous custom
March 2017 contract is represented by @ESH17.D = 106XC. This screen allows you to change these
parameters and is accessible through Format -> Symbol ...
About trading hours, SERSAN-ARTEMISA-S&P500-11 trades on the future of the E-mini S&P 500 only
during the regular session, from 8:30AM to 15:15PM Exchange Time. This configuration is the one that
comes by default so the user does not have to do anything.
You can check it from Format -> Symbol ... by selecting Properties tab and clicking the button next
to the Session field:
START UP
Once the system is loaded on a chart with a tradeable symbol, you can see both its real-time and
historical trades, but we will not be trading the system on an account yet. For activate trading you
should select the system on the graph then you should access to Format -> Strategies ... menu and
consecutively check the "Generate Strategy orders for display in TradeManager's Strategy
Orders Tab" and "Automate execution using". After that, select the account on which you want to
trade and select "Off" in "account with confirmation". A confirmation window will appear when
you had selected the two checks. You should to answer, "I agree".
The screen with all the correct options will look like this:
DATA FEED AND MARGIN NEEDED
To be able to trade SERSAN-ARTEMISA-S&P500-11 we must have real-time data of the mini SP-500
future who is quoted on CME GLOBEX Exchange.
To do this enter in the TradeStation user’s area, following the route:
Thus, you have accessed the section that allows you to change your data subscription and / or
software:
You will see a page like the following:
To receive data in real time we must contract the data shown in the previous image with the arrow.
For more detailed information about the price of real-time data feeds, please visit the TradeStation
website:
http://www.tradestation.com/pricing/market-data-pricing
To know the margins necessary (minimum capital that must be in the account to open a position with
each future):
http://www.tradestation.com/products/futures/margin-requirements
HOW TO MAKE A BACKTESTING
We can perform a backtest to view what the historical behavior of the system would have been. It is
advisable to have enough historical information loaded on the chart so that the result is statistically
relevant. In the configuration of the symbol that we saw previously (Format -> Symbol) we can select
how much data we want to load.
To get the backtest we should select "View -> Strategy Performance Report":
The platform's help offers us a very complete guide to understand all this information. Press F1 to
access it. We can also view the following video:
https://www.tradestation.com/education/university/school-of-strategy-trading/video-tutorials/thestrategy-performance-report
CONFIGURATION SETTINGS
You can change the configuration options of your strategy through the menu Format -> Strategies...
and clicking Properties for All...
Here we show the ones we have selected by default, in order to make historical tests and orders
routing more reliable.
General sheet:
In this sheet, we show the operating costs and the slippages that we expect between the live trading
and the theoretical price at which the system send the orders. These values are based on TradeStation
commissions and our experience in live trading.
As you can see in the image above, we chose to check Use Look-Inside-Bar Back-testing. In this
way, the strategy works with the real formation of the daily candles, which allows to get a more
reliable Backtest because it guarantees that the stop and limit orders of the historical are executed
at real prices. We believe that a resolution of 5 minutes is enough for daily candles.
Backtesting sheet:
In this sheet, we check Fill entire order when trade Price exceeds limit price to avoid that the
backtests generate unrealistic prices with orders limit. We check also Enable Intra bar Order
Generation Optimization with Look-Inside-Bar Back testing to improve the processing speed.
Automation sheet:
Here we check Strategy will fill non-historical orders only when the TradeManager reports them
as filled. This choice will only allow to automate the strategy to be automatically sent orders to the
market if the strategy position matches with the position of the account. It is the safest choice.
We check Wait for an UROut confirmation before sending a subsequent entry order for the same
signal to the Market. Thus, we want to avoid that the reactivations of the strategy duplicate orders
in the broker.
We also mark the two checks in Stop orders. We deduce from our live trading that having our stop
orders on the TradeStation execution server is the choice that best ensures execution and price, and
it avoids rejected orders.
However, if the user has plus automated strategies trading on the same account over the same
future, in this workspace or another one, the options we have previously selected for Strategy fill
logic cannot be used. In this case, you must select Strategy will fill non-historical orders based on
Price-activity and mark the check Allow multiple automated strategies on multiple charts.
As shown below:
For more information about automation options:
http://help.tradestation.com/09_05/eng/TradeStationHelp/st_testing/strategy_properties_strategie
s_chart_automation.htm?CSHID=139674
OPTIONS ON GRAPHIC DATA
We also changed the default options for recalculating charts after a scheduled download of
historical data. We decided to recalculate the strategies and indicators that the chart has whenever
there is an update of the information.
These options are accessible from View -> Chart Analysis Preferences ... We uncheck all marks "Do
not automatically recalculate ..." and the choice to show the download scheduler, as you can see in
the following window capture:
DISCLAIMER
U.S. Government Required Disclaimer - Commodity Futures Trading Commission Futures and
Options trading has large potential rewards, but also large potential risk. You must be aware of the
risks and be willing to accept them to invest in the futures and options markets. Do not trade with
money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures or options.
No representation is being made that any account will or is likely to achieve profits or losses like those
discussed on this web site. The past performance of any trading system or methodology is not
necessarily indicative of future results.
CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN
INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS
DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED,
THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF
CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS
IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT
OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY
TO ACHIEVE PROFIT OR LOSSES LIKE THOSE SHOWN.
SERSAN SISTEMAS, SL assumes no responsibility for any loss, direct or indirect, that may result
from the use of our strategies.