Historical Intraday signals
Author: ukarlewitz
Creation Date: 12/14/2009 11:12 AM
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ukarlewitz

#1
I'm trying to screen stocks intraday. When I hit back test for a data set, it turns off the streaming (which is fine) but only gives me results as of the last full trading day. As a result, I miss intraday alerts. My charts are set for 30 minutes and trades are missed that are more than 60 minutes old. Any help? I can do individual stocks manually - one by one - but this eliminates the advantage of using this program.
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Cone

#2
You're not using the right tool. Instead, use the Strategy Monitor.

Alternatively, you could run the backtest and update automatically by enabling File > Update Data on Demand, however this update would slower than the Strategy Monitor since it would update one symbol at a time.

Finally, if you're looking at fewer than say, 16 symbols, I'd just set up 2 or 3 Workspaces with Streaming charts and Auto-Stage/Place the Alerts.
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ukarlewitz

#3
Strategy monitor doesn't pick them up either. And I have long list I am screening.
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Cone

#4
Are you a Fidelity customer, logged in, and using Fidelity data?
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ukarlewitz

#5
Yes I am.

What is strange with the Monitor is that it doesn't pick up any trades in the past week for any of three strategies.

I can find all of these trades if look at each chart individually.
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ukarlewitz

#6
Example: AMGN crossed 50dma at 10:30am. I can see the trade marked on the chart and after enabling File/Update data on demand (thank you for that) I can see it in the 'Trades' for today. But it does not show up in the monitor.
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Cone

#7
QUOTE:
But it does not show up in the monitor.
Historical trades are only "tallied" in the S. Monitor, you can see only Alerts for trades to place now. It's impossible to determine a particular trade that is made in the past.

Are you looking at the Trades number to determine that that particular trade is not made?

If so, are you certain that you've specified a sufficient range of data in the S. Monitor Activation Settings?

If so, does the same missing trade occur in a Static (not Streaming) Strategy Window?
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ukarlewitz

#8
I can get the trade when I run the strategy and look under 'trades.' This works fine. Under the Monitor I have many trades but now only one buy, the rest are all sells. It seems it only gives the results for the last 60 minutes so if I miss it I won't know about it. I have the data range set for 12 months.
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Cone

#9
This is normal. You said that you are trying to screen stocks intraday. Trades that have already occurred are no use to you for a screen - you should already be in those trades or have rejected them with discretion. The S. Monitor will show you the Alerts for the most recent bar. That's a screening function.

If you want a historical backtest up to the present time, then do as you were before, but make sure to enable Data on Demand so that you get the most recent bar. This, however, will take a long time to complete the backtest as WLP will have to go out and get each symbol's data one by one.

You can also update the DataSet through the Data Manager and turn off on-demand data for a faster backtest. It's an extra step however.
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ukarlewitz

#10
I now see the Monitor has removed all trades, so it must display them for the last 30 minutes only. Can I have the Monitor show the trade for the last 2 hours or so? I'm screening intraday but these are swing trades that are live for several days.

Thanks for your help,
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ukarlewitz

#11
Also, in Monitor next to each strategy, it lists 30-150 alerts in the Alerts column. But none are listed below.
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Cone

#12
The S. Monitor shows only the Alerts that occurred for the most-recent bar. Looking for prior Alerts is not an option.

QUOTE:
But none are listed below.
Alerts are shown for the selected Strategy. If you want to see Alerts for all Strategies, then select that option in the Alert pane toolbar. (User Guide: Strategy Monitor)
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