Strategy Desk Pro

ToS Range Bar Volume

2011-12-07T07:47:00.001-08:00

I was doing a little more reading on the thinkorswim Resource Center and confirmed that volume is ignored when using the Range Bar aggregation type. Just know that when you are looking at a chart with associated studies that causes them not to show up correctly.

Given that, how would you show a time based data on a study with range bars specified? Many of the Fundamental functions all you to specify an aggregation period using the term "period". For example, let's say you wanted to plot the ten day average closing price with daily aggregation:

thinkscript:

plot CloseData = Average(close(period = AggregationPeriod.DAY), 10);
plot VolumeData = Average(volume(period = AggregationPeriod.DAY), 10);

The CloseData plot works great. But, the plot for the "volume" fundamental function doesn't appear to function as expected. Additionally, it may be causing the ToS platform to hang. I've also had some other adverse behavior with the platform when trying to view other tickers with range bars enabled. I'm going to update the development team and see if there are some known issues. Maybe there are some limitations that I've missed. I think it'd help to read the release notes.

Range Bars in the TOS Platform

2011-12-06T06:56:00.001-08:00

ToS Range Bars

Today I was changing the style on one segment of my ToS platform chart, and noticed a new menu entry titled "Aggregation Period". I hadn't seen that in the recent days, but figured it was a way of managing and seperating the ticks and the time intervals. Much to my surprise I saw an new entry there for Ranges. I've been looking for the ability to see ToS charts with ranges, and the closest I've been able to find has been the range bar approximation indicator from Prospectus. That was a great solution to address the basics of range bars, but with an integrated component, this will be a great addition to this powerful trading platform. Here is a screenshot of the e-mini S&P 500 Index (/ES) with a 1 month timeframe and a $1 range bar:

Setting Up Range Bars

It's very simple. In the ToS platform, navigate to the charts tab, select charts, then for the Style, select the Aggregation Type to Range. Once the range aggregation has been set, select the time-frame whether you want Intraday or Daily. Not too much work to do there, but what I did notice is that with range bars, you do not see any volume information, nor to other studies that rely on volume show up appropriately. That may be by design. Another observation on the chart are fine dotted markings that show the 15 minute periods. Good luck with the range bars and thank you to the ThinkOrSwim development team for incorporating that into the TOS Platform.

How To Build A Thinkscript Scan

2011-04-16T20:21:00.000-07:00

Basic Overview

When using the ThinkorSwim (ToS) platform for online trading, you'll want to find stocks that meet characteristics you've determined to be advantageous for buying or selling. Criteria could be volume, price ranges, or a custom calculation based off another value such as the MACD indicator, all of which are called Study Filters in ToS. These filters can either be Fundamental Filters or Scanner Custom Filters. Be aware that if you are learning with ToS and using the Paper Money tools, you can only add Fundamental Filters to your scans.

In order to set up a scan, open up your ToS platform and select that Scan tab and ensure the the Stock Hacker option is selected in the subsection. You can scan the entire listing of stocks or a subset of a market or industry, as well as your own watch list from researching stocks.

Selecting Scan Criteria

When selecting your criteria for a Thinkscript scan, you may find that too many results are found and more tuning is needed or additional elements are necessary to bring the resulting count down to a more reasonable number. Additionally, you can also specify a limit to be returned by the scanner, and sort the equities based on a specific column.

Basic Filter Setup

Leave the default "Scan in" set to NYSE Stocks
Click Add Fundamental Filter
Change the criteria to Volume and set the minimum value at 1,000,000
Click Add Fundamental Filter
Change the criteria to EPS and set the minimum value at .50
Set the Show value to 20 sorted by EPS in Ascending order
Click the Scan button

You'll notice friendly histograms of the distribution of the criteria, which you can scrub back and forth to obtain the values you desire. After the scan completes you are presented with a listing of stocks that met your criteria arranged with a number of other columns of data for those equities. These columns can be customized, removed, and added to, as well. From here you can research this listing, fine tune your scan, and even create a watch list our of the results.

Adding Advanced Criteria

Here we are going to add a criteria to filter out the value of the MACD line often seen in stock charts like the one below.

Now click the Add Study Filter
Change ADXCrossover to Custom
In the Scanner Custom Filter window that pops up type:
MACD() > 0
Click OK and then click Add Study Filter
Change ADXCrossover to Custom on the new entry
In the Scanner Custom Filter window that pops up type:
(MACD() > (MACD() - MACD().DIFF))
Set the Show value to 20 sorted by EPS in Ascending order
Click the Scan button

Wrapping Up

The additions in the second scan allowed us to compare equities based on a technical analysis aspect of recent price movements. In a matter of seconds all NYSE equities could be scanned which had strong earnings, respectable volume, and an improving to strong recent price movement. Of course if you wanted to buy penny stocks, you could simply change the filter to limit price to less than one to a few dollars.

Before closing your session, save your criteria so you can quickly reference it on a different day. Simply choose "Save Scan Query" just above the scan criteria and give it a memorable same, so that it can be loaded up at a later time and ran again. Hopefully, these basics will be helpful and be a stepping stone into more advance scanning criteria to quickly identify potential stock trading candidates in your ThinkorSwim platform.

TD Ameritrade Platform Costs

2011-04-09T09:26:00.000-07:00

I recently spoke with a friend and we were discussing trading platforms. I'm a huge fan of Strategy Desk, but have recently switched to Think or Swim. I just like it better for some reason. Although, I think that there are strong points to either platform.

One of the questions that came up in our discussion was cost. These tools are significant applications, and it's obvious that a lot of resources have gone into their development. As a TD Ameritrade trading customer, you can download and use these platforms for free!! There are quite likely other stipulations, but at this point, I've never been charged for the systems.

Think Or Swim was acquired, and it's possible that there were service charges in previous times. Additionally, TD Ameritrade offers mobile platforms that are available for your iPhone, iPad, iTouch, and the Android systems. These are handy and at no cost. Also, as a clarification, "no cost" meaning no additional costs, because we all know day trading has it's costs.

Check out the site or a complete listing of online trading tools offered by TDA.

Fighting The Tape

2011-02-09T19:50:00.000-08:00

Bad idea. I couldn't stand the pain, even with paper money. I hadn't posted an update, but I did pull the trade off the table. The short and put options went hard against me, even when AAPL looked poised for a pull back.

This stock is loved and it's a leader right now. Betting against it is not recommended; I tried that and it was a losing battle. If one was going to consider a short on this security, it would have to be in conjunction with a negative tide of the entire market. Quite possibly, even that wouldn't matter.

I'll update this post and put up my losing numbers, but take my word for it even paper money was painful for me.

By the way, what's your opinion of the OEX ($OEX.X) put/call ratio and the upcoming direction of the market? Something I'm watching, but if you have a thought you'd like to share, please do.

AAPL Puts or Short

2011-01-02T12:28:00.000-08:00

I wouldn't say I'm an expert at all, but I thought I'd post an idea that I had, mainly as a reminder to myself of what I was looking at. After one month, I'll follow up on this simulated trade and check to see if it was a good "business" decision based on likely probability.

Using charts from the TOS (ThinkorSwim) platform I'm entering a trade using the Investopedia Simulator. I like this simulator because of the ability to buy and sell options, but I'm wondering now, if I should just try the "Paper Trading" simulator with the TOS platform? I'll look at that for a later post, but the main point is to look back.

Short Order: $33,000

I was also considering in this test, I'd check the different costs between buying a put and shorting the stock. Above is the order entry for the short from Marketwatch's VSE.

Put Order: $9,600

To the right is a screenshot of my option trade order from Investopedia Simulator. As we look at this trade, you can see I'm considering the Put options on Apple for January 2012. I'm basically making the assumption that the stock price will fall below $330 within the next year. At this time, I'm considering holding this position for 2-3 months depending on whether the future price reaches what I think will be $300. Either way the trade is being simulated, because I don't have 10-35K sitting around to take this risk, but I can still test my theory, scans, and charting.

Along the way, I'll monitor the faux trade, and post my thoughts on where I may have went wrong or right. I've also grabbed another screenshot from the TOS platform to show what I was seeing in the charts that led me to believe the price would likely fall. I'll follow up with a little analysis on that and include that image then.

Conditional Checking in Strategy Desk

2010-12-29T10:04:00.000-08:00

In October of 2009, I opened a support ticket with Strategy Desk support team asking about If, (Then), Else conditionals within the scanning and study component of the application. The response was positive, but the likelihood of when the functionality would be available was unknown:

We have requested to add if/then logic to the strategydesk. We do not have an ETA or information on when this is planned. Personally, I do believe we will see this ability, but it won't be until next year sometime. If you have any further questions or comments, please contact us. - Strategy Desk Support

It's been over a year, but the last time checked and read the manual the feature wasn't there. This brings up another request -- support for variables. Storing the value of a calculation would be helpful and more efficient that creating giant AND OR logic. Nonetheless, these items may take some time to get baked into the product and may not even be feasible to the development team.

Despite not finding these features in Strategy Desk, I have found that the ThinkorSwim platform does support variables and if, then, else logical conditions. I'll write further on this and some of the other differences I have found in the two platforms. I've come to the conclusion that they both have strengths and compliment each other in various aspects. Additionally, the mobile versions of both of these products are fantastic when away from the desktop. I guess that's a todo, find out what mobile platforms are available on the Android and Blackberry devices. I'm currently and iPhone users, so that's what I'm aware of off the top of my head. More to come!

Jump Into Stocks? Why?

2010-12-17T07:51:00.000-08:00

Today I saw an article on the front page of the USA Today paper stating that "It's time to get back into stocks". I'm no expert, but hasn't the market ran up nearly 22% since July? That's a pretty strong return for that short time period. I guess to be fair the article and video series with the experts are primarily looking forward to 2011. My plan today was to write about CDOs and the securitization of debt, but the article caught my eye, and it shifted my focus. I'll focus on the roulette wheel of collateralized debt obligations another time.

Barron's recently reported in their money manager poll, that most consider the market to move higher in the next six months toward July 2011. The bears in the poll were few, though they were present. What's attributing to this consensus? Most recently two things have occurred. The Federal Reserve has started their injection approximately $600 billion into the economy through QE2 (quantitative easing), and secondly the fact that there will be an extension to the Bush tax cuts through the next couple of years.

I've been looking for a statistic or report that shows current debt liabilities in order to determine when the belt starts to get tightened. If you can point me in that direction, that would be great! As long as we operate In Debt We Trust , still spending borrowed, or printed, money, I think this market will continue to rise based on these three factors:

Put off dealing with the debt
Put off increasing taxes
Continue pumping money into the economy

Seems to make sense, so the smart money is saying jump into the market. Out of the three, taxation is the only thing I agree with, and it's only getting passed through because the Obama's congress was downsized. By the way, the smart money are from tarnished companies like Merrill Lynch, BlackRock, and Goldman Sachs. Again, I'm no expert, I'm like you just trying to figure this market stuff out.

Crisis Economics: Greed to Bailout

2010-12-14T20:51:00.000-08:00

I've been reading the book Crisis Economics by Nouriel Roubini and Stephen Mihm, and it has been an interesting, modern history lesson on the financial system and government intervention and its work to ease the blow of financial destruction for which the US and the world economy was on the brink. If you've heard the term credit default swaps, mortgage backed securities, collateralized debt obligations, or the alphabet soup of these terms -- cds, cdo, cdo squared, cdo cubed, mbs, abs, and the numerous others, but never understood what they were, check out this book.

It's quite possible that we'd be in a world wide depression if some sort of intervention wasn't put forth, but seeing to what extent well known monetary and fiscal tools have been put into place, in addition to the numerous experimental tactics. But, you'd need this kind of intervention when the financial community was putting together magic bonds made up of risky subprime mortgages and other products such as student loans, airplane leases, and car loans to name a few. One such tactic is quantitative easing, which we are into a second phase of, affectionately dubbed QE2.

Take a look at a chart of the S&P 500 from March 2009 to the present (linked below). Something took place at that time, which corrected the market and it started in a completely different path. From my understanding the initial stab at quantitative easing took place at that time. It had a very significant impact on the market. $1.2 trillion dollars would likely make a splash like that! But, that is one of my concerns, how can someone make a decision on the market, when it can be manipulated in this regard? Clearly, the market was in a free fall, and it may have been an investor's outlook that the market will continue in a downward spiral. Intervention, would cause a person shorting the market to lose money on their trade, because of some unnatural market force.

This is just one of the many policies and economic reforms described in Crisis Economics, considering how much backstopping that has taken place, you'd have to think that the government intervention must unwind at some point in time, only delaying the inevitable, even though it eased the blow of what was occurring in early 2009. Before I forget, one of the key points I've pulled out of this writing, so far, is that there is nothing new under the sun; crisis economics has been around for a long time, and there's a lot to be learned about the history of the latest edition of crisis, because there is bound to be another in the future.

Chart for the S&P 500 (2009-2010)

Dig a little deeper - Crisis Economics at Amazon:

thinkScript Color Output

2010-12-11T09:48:00.000-08:00

thinkScript Problem

I was working on a scan and wanted to give an indication to whether the recent price trend was ascending or descending. There are a couple of built-in functions that represent this, but I was looking for a way to output the results in a custom scan column. At first I wanted to return a string like "Ascending" or "Descending". I need to go back to this, but I had first concluded that the output must be a numerical value.

So how do you make a distinction? Try a different color value depending on whether the security is ascending or descending. Didn't seem too difficult, but what I found is that you can't perform some functions within the if/then/else block. For example:

plot ema = roundUp(MovAvgExponential(close, 5), 3);

if IsAscending(close, 3) {
ema.AssignValueColor(Color.RED);
} else {
ema.AssignValueColor(Color.CYAN);
}

Didn't work for me; the result was the error "can not be called within branching: assignvaluecolor". I had tried a few other ideas, but found the same error related to functions within if/then/else branches.

Documentation Saves The Day

I was on the right track with the AssignValueColor function, but I wasn't using it correctly for what I wanted to do. I didn't realize the function could take a condition as input. Clearly described in the example, I was able to adapt the code to suit my needs.

plot ema = roundUp(MovAvgExponential(close, 5), 3);
ema.DefineColor("Asc", Color.CYAN);
ema.DefineColor("Des", Color.RED);

ema.AssignValueColor(if IsAscending(close, 3) then
ema.color("Asc")
else
ema.color("Des"));

And with that, I was able populate my column, and have a visual distinction to securities within the scan that are ascending or descending in price for the time period. I'll refactor the code to see if I can return a string value, like I had originally thought. thinkScript and the Think or Swim platform is great, but not always intuitive. Hitting the TOS_thinkscript Yahoo! Group and the documentation, is your best option when stomping through little gotchas within the platform.

Think or Swim

2010-08-17T10:34:00.000-07:00

You know, about a year ago I looked at this tool, but didn't dig in. Over the last few days, I've really found that this trading platform gives you plenty of rope to, you know, to strangle yourself. The interface is loaded with tiny, but useful buttons that are almost hidden in plain sight. This isn't a critique, just an observation. Since I'm running on a Linux box, I'm going to focus on this system and see where I can pull the details that I like out of Strategy Desk and apply them here.

The fundamental depth of Think or Swim comes from the ability to write your own scripts. Strategy Desk has some of this too, but I'm hopeful to be able to write conditional checks. For instance, check to see of the average daily volume has been exceeded, then show me stocks with an oversold stochastic condition. It might be there, but I haven't dug deep enough yet. The platform, looks more sophisticated and quite possible has what I'm looking for.

If you've seen a PDF of the thinkScript language reference, I'd appreciate a link; I'd like to get a printed version. Also, drop some comments or suggested references if you've found some resources that have been useful.

StrategyDesk Resources

2010-08-13T21:17:00.000-07:00

Despite not finding a blog, I did find a few resources that might want to keep handy while learning the "ins and outs" of the StrategyDesk application.

Resources

These are just a few options to get the ball rolling. If I can find an official blog, I'll update this post with that information.

No Blog for Strategy Desk?

2010-08-13T17:32:00.000-07:00

I was searching on the TD Ameritrade site, and I had thought there was a blog dedicated to the development of the Strategy Desk platform, but apparently not. There's documentation for the platform, as well as guides, but the only news about the tool, is quite likely the release notes. Well, it's not the end of the world; I was just hoping to put a resource other there.

I'm sure you've heard of "Think or Swim". It's another of the TD Ameritrade trading tools that's available as a customer. I was slightly intrigued because the platform is supported under the Linux OS, which I'm quite likely the only person that's using Linux. I'll give it a go, and see how it functions and try to make some comparisons between the two systems.

Over the last week, I've also taken a number of notes from the radio programs I typically listen to. I'll jots some of them down and try to pull together a listing of resources and criteria to use as a best practice for investing in the market. This week was bad for the market, but quite possible and entry point depending on the sentiment of the upcoming days. Jobs for one, is a major indication that needs to get going to ensure a strong economic recovery, and this week's news releases were less than ideal.

Let's Get Started

2010-08-02T13:43:00.000-07:00

I've been listening to Phil's Gang for about 2 years now, and it's a very educational program, though some would say that it's a bit controversial. I agree to an extent, but think the program makes some valid points and brings to light topics that are lost in the mass media world we live in today.

This blog isn't about Phil's Gang, or any other financial program on the radio for that matter, but others like the Ray Lucia & Gary Kaltbaum shows are educational and if you hear an archive or catch them on the radio, it's free information. Like the many of the tools that will be discussed, the cost is limited because I think a lot can be learned from content available on the radio and the internet. Tools such as TD Ameritrade's Strategy Desk, MarketWatch's VSE, Yahoo! Financials all give you powerful information for testing your methods for buying stocks, exchange trade funds, shorting stocks, and understanding economic indicators. Let's get going and see what can be done; read, research, document, and learn.

Oh wait, I mentioned reading. Is there a book that discusses economic indicators and how they relate to stocks, the dollar, and bonds? There is; it's a little deep, but very interesting, as well as a wealth of information and resource. It's called The Secrets of Economic Indicators: Hidden Clues to Future Economic Trends and Investment Opportunities. That's quite a title, but over the course of time, I hope to bring out interesting details I've found reading this book. Check the book out at Amazon, there's a 2nd edition available in paperback and available on the Kindle.

Okay, now let's get going.