Storing Intraday Crossover Data From Previous Days in a Watchlist

[craigjjmorrison]

I want to compare various potential exit points for positions from previous days. For instance, I would like to know the price at which a stock first crossed below a moving average, such as SMA 10, in each of the past 4 trading days. I would also want the same for an exponential moving average. Ideally, I could store the SMA in one 5-minute column and the EMA in another. To collect history, I would update and export the watchlist for each of the ten days.

I can collect this data for the current day, but I'm unable to retrieve data from previous days using:

Def OpeningBell = 930;
Def ClosingBell = 1600;
Def FloorIsOpen = SecondsFromTime(OpeningBell) >= 0 and SecondsTill(ClosingBell) >=0;
Def SMA10 = SimpleMovingAvg(Close,10);
Def XOver= if !FloorIsOpen then 0 else if XOver[1] == 0 and Crosses(Close,SMA10,CrossingDirection.below) then Close else XOver[1];
Plot X = XOver;

If today were Friday, I would like to use the watchlist to separately collect Mon, Tues, Wed, and Thurs.

 

[antwerks]

I want to compare various potential exit points for positions from previous days. For instance, I would like to know the price at which a stock first crossed below a moving average, such as SMA 10, in each of the past 4 trading days. I would also want the same for an exponential moving average. Ideally, I could store the SMA in one 5-minute column and the EMA in another. To collect history, I would update and export the watchlist for each of the ten days.

I can collect this data for the current day, but I'm unable to retrieve data from previous days using:

Def OpeningBell = 930;
Def ClosingBell = 1600;
Def FloorIsOpen = SecondsFromTime(OpeningBell) >= 0 and SecondsTill(ClosingBell) >=0;
Def SMA10 = SimpleMovingAvg(Close,10);
Def XOver= if !FloorIsOpen then 0 else if XOver[1] == 0 and Crosses(Close,SMA10,CrossingDirection.below) then Close else XOver[1];
Plot X = XOver;

If today were Friday, I would like to use the watchlist to separately collect Mon, Tues, Wed, and Thurs.

Would you be interested in something like this>
Strategy (Best)- This is where it gets interesting.

Example:

Entry:
A+ CALL

Exit Method A:
5m SMA10

Exit Method B:
15m EMA20

Exit Method C:
VWAP

Exit Method D:
Structure Breakdown

Exit Method E:
V6 Trade Grade downgrade

Now ThinkOrSwim produces results like

Trades = 127
Win Rate
Average Win
Average Loss
Profit Factor
Expectancy
Net Profit
Drawdown

for EACH exit method. What I'd want to build keep your entry fixed.

Example:

A+ CALL
or
A+ PUT from Script Institution Market Structure V6. Then create 5 versions:

Version 1 = Exit = 5m SMA10 Cross

Version 2 = Exit = 5m EMA20 Cross

Version 3 = Exit = 15m EMA20 Cross

Version 4 = Exit = Close below VWAP

Version 5 = Exit = Structure Score < 50

Then compare reports. (5 different strategies)

A "Multi-Exit Analyzer Strategy."

One entry. Five exit methods. One report.

At the end it tells you for example:

SMA5
Profit Factor = 1.8X

SMA10
Profit Factor = 1.4X

EMA20
Profit Factor = 1.9X

VWAP
Profit Factor = 1.7X

Structure
Profit Factor = 2.3X

Then you stop guessing and let the data tell you how to manage trades.

This is probably the highest-value research project you could do next. The biggest gains are no longer coming from finding better entries, they're coming from finding the exit method that extracts the most from the entries you're already taking.

This way you can back test multiple exits based off almost any trigger that can be coded. Pretty cool.

https://imgur.com/k7z61H0

 

[craigjjmorrison]

Thanks very much. What you're suggesting is, of course, spot on, and I'd like to give it a try.