The MarketDelta Blog

(This is a continuation in our blog series on creating a trading system from start to finish. Want to see more? Click here for our main RTL support page, which links to the articles in this series and many more tutorials. Questions? Click here for the RTL Community Forum where you can get help on your programming.)

Today we show a nifty little technique for limiting a signal to just the first marker on a chart.

In our previous article in this series, we showed how to create a signal that triggers when prices rise to the 200% IB High.

The problem is obvious: usually, many bars in a row meet the signal conditions, so you end up with a rather inelegant series of overlapping signals that are redundant and not particularly useful. With some short and simple RTL code, you can limit a signal so that it only appears once on a chart.

It is important to note that this is only necessary to beautify the visual depiction of a signal, on a chart. This is entirely unnecessary when backtesting. A backtest allows you to specify how many trade entries to take, regardless of how many signals appear.

In the above screenshot, the signal is added directly to the chart, which creates all the visual cues you see. To limit a signal so it only displays once, the first step is to remove the signal from the chart entirely. Or, you can start with a chart that does not already have the signal added. To remove a signal, click once on any signal marker on the chart, and this will highlight the signal so you can delete it by pressing the “Delete” key on your keyboard. You can also use the trash can icon on the chart’s toolbar (not the main MarketDelta toolbar).

We introduce two new RTL tokens to make this happen:

SIGNAL token : This very simple token indicates whether a signal is valid or not; that is, if the signal’s conditions are met. It is sort of a “signal of a signal” and will be clear in the example below.

SSTAT token – “Signal Statistics” : This versatile token lets us get information about the signals on a chart, and it has many, many options.

In short, we simply need the following information from each token:

1. We want a marker to appear if the signal itself is valid. This is obvious, and we use the SIGNAL token for this.
2. We want a marker to appear only if it is the first marker on the chart. We use SSTAT for this, using the setting of “Sum of Session Signals (Intraday).”

With the SIGNAL token, a value of “1″ means the assigned signal to the SIGNAL token is valid and its conditions are met. For the SSTAT token, we also use a value of “1″ to indicate that the total number of triggered signals on the chart is 1; this essentially means that we only take the first signal.

Our code will look like this:

The settings for SSTAT are:

You can access the SSTAT or any token’s settings later by right-clicking on them in the token list on the right of the RTL window. If you right-click on the SIGNAL token, it conveniently opens a new RTL window for that particular signal you are working with.

When you save and add this to a chart, using the same signal marker method instructed in our previous article, you will see only 1 marker, the first marker for the signal.

Here is a comparison between the raw signal on the chart, and this new code which limits the signal:

In this example, I used the “offset” parameter in the signal marker so the green marker did not overlap with the other markers. Without the offset and the extra signals, we just get this:

Since last time we showed the full RTL code for the 200% IB High, here is the similar code used in this signal:

LO <= ((SESST_LOW  – (SESST_HIGH – SESST_LOW))+1) AND TIME >1030 AND TIME < 1500

Note the “+1″ — as we noted last time, this creates the signal within 1 point of the actual 200% IB level, so you can enter the trade slightly ahead of time. Many market reversals occur just before this level, so this prevents the trader from missing the trade altogether. This will be an important part of backtesting, which we start looking at in the next article in this series.

(This is a continuation in our blog series on creating a trading system from start to finish. Want to see more? Click here for our main RTL support page, which links to the articles in this series and many more tutorials. Questions? Click here for the RTL Community Forum where you can get help on your programming.)

Today we look at creating the actual trading signals based on the 200% Initial Balance rotational strategy previously outlined. In the last segment, we created a custom indicator to display these levels on the chart. Today, we use the same math from the custom indicator to build the signal. The advantage of first creating the indicator is to make sure our math is correct. Added to the chart, this indicator also lets us easily verify that the signal is triggered at the moments we would expect. So if you haven’t already, refer to Part 2 of this series for an explanation of the math involved, and how to setup the RTL tokens to study the 200% IB range.

Creating the signal is actually quite straightforward now that we are sure about the tokens and their settings and relationships.

Just as we had two indicators for each of the 200% IB High and 200% IB Low, we will also have two separate signals for the “buy at the low” and “sell at the high” entries.

Using either the RTL button on your toolbar or the File > New menu, create a New Signal.

We know that the 200% IB calculation is going to be the same as in our indicator, so the first thing you can do is copy/paste or type the indicator code into the the new signal window. We will start with the code for the 200% IB High:

Note: Because a signal requires a comparison between values, which this indicator code does not have, you will see an error in the title bar of this window after you press Save. This is because we are not yet done with the algorithm and have yet to turn it into a trading signal.

Next, we compare the current price to the level calculated using a “relational operator.” There is some room for variation here, but lets assume, for starters, that we want the signal to indicate a “sell” whenever price reaches the 200% IB High level. We will state that if the highest price of a bar/candle penetrates the 200% IB High, we signal a short entry. This occurs if the High (with RTL token “Hi”) is equal to or greater than this IB level:

Press “Save” again. If you already have a chart open to which you want to add this signal, use the Send To button, as we did last time with the custom indicator. You will choose “Signal Marker” from the options.

Alternately, you can add this to any chart in the same way you would add an indicator. Right-click on a chart and choose Add > Technical Indicator or press the Insert key on your computer keyboard to bring up the same window. Select the Signal Marker indicator and configure it as desired:

Press Add and Close and the 200% IB High signal is now on your chart. Where it is placed will depend on the “Location” setting you chose. Any bars that meet the condition of the signal will show the signal, so in our example so far, you may get multiple bars in a row that trigger the signal:

Because we have the custom indicator also on our chart (the blue line), we can quickly verify that the signal is indeed triggering in the right places.

However, we may wish to reduce the actual number of signals. One way to do this is by editing the signal.

To edit the signal quickly, you can double-click on any marker to bring up the marker’s settings. You can then press the Edit button to open the RTL window.

If you omit the “>” sign and save the signal, then the chart will only show a marker when a bar’s high exactly equals the 200% IB High level:

As you can see, this removed some of the markers from the chart, but we still see several consecutive markers for bars that fluctuated back and forth at the 200% IB High level. I demonstrate this here to make two points:

1. A slight variation in your RTL code or the relational operator can make a big difference in your signal, so attention to detail is critical.
2. You can quickly experiment with your code and try different algorithms without closing the RTL window; the markers update every time you press Save.

This code, without the “>”, is very limiting. It requires that the high of a bar exactly equal the 200% IB High level.

There is a more robust way to limit a signal from only displaying once on the chart. This method requires two additional tokens, making the RTL a bit more complicated. We will introduce this technique in the next blog post in this series. For now, I recommend you keep the original relational operator, “>=”, in your code.

Adding Conditions

We now have a signal that accurately displays when a bar passes above the 200% IB High. This is the only condition for the signal, currently.

Often, you will want a signal that triggers based on multiple conditions that must be met. We will add two such conditions to our signal based on the time of day.

The IB, by definition, is not complete until after the first hour of trading. Any signals that might appear during the first hour are not truly 200% IB signals. So we want a condition that prevents signals at that time.

Additionally, many traders don’t want to enter such a rotational trade too late in the day. The idea is that such a price extreme late in the day might continue until the end. Or,there may also not be much time left in the day to see a true rotation and make decent profit.

So we will add two conditions: one to limit the signal to times after the first hour, and another to limit it to times before the last hour. In the Eastern time zone, this means the time is after 10:30 am but before 3 pm. Addtional conditions use the “AND” operator.

This is easy to do by adding the following code to our signal:

AND TIME >1030 AND TIME < 1500

All times for the TIME token are in military format.

Adjusting Entry Level

Just because this strategy uses 200% IB levels does not necessarily mean that a trader will always enter exactly at these levels. Some traders like to get in a bit early, as clearly the market often reverses a few ticks away from this level. Other traders may want to wait until the market passes through the level by a few ticks. Whatever the preference, we can add this to our signal. In backtesting, we can determine the best entry point, but for now we will hard-set it into the RTL code.

Consider the following variation for our signal:

HI >= (SESST_HI + (SESST_HI – SESST_LOW))-1

We have enclosed the prior math into parenthesis, and then subtracted 1 point from this. The signal will now trigger when we get within 1 point of the 200% IB High. You could change this to 0.5 or even add 1 instead of subtracting 1 to change where the signal forms around the 200% IB High level. Later, we will change this to a variable and let MarketDelta tell us what is the best option here.

Putting it all together

Here is our final signal code for the 200% IB High:

You would then create the mirror image of this signal in the same way for the 200% IB Low, using the same math as we used in our custom indicator from last time.

(This is a continuation in our blog series on creating a trading system from start to finish. Want to see more? Click here for our main RTL support page, which links to the articles in this series and many more tutorials. Questions? Click here for the RTL Community Forum where you can get help on your programming.)

Summary

Last week, we took a look at the Initial Balance concept and how you can predict a day’s rotational extremes using Double IB extensions. We outlined our goals for a trading system based on this strategy.

Today, we will build a custom RTL indicator that mirrors the Market Profile 200% Initial Balance level on a regular candlestick or bar chart. It is important to note that the creation of a custom indicator is not the same thing as creating an actual trading signal that notifies you of trade entries; in fact, for a backtest, this custom indicator is not necessary at all. However, building the indicator offers two important advantages:

1. It lets us test our algorithm’s math so we can verify that the calculations for Initial Balance price levels are accurate and properly reflect the same levels on a Market Profile chart. The same math will be used in the RTL signals, later.
2. After we create the RTL signal, having both this indicator and the signal on the same chart makes it easy to verify that the signal is in fact signaling at the right moments, as we’d expect. Without the indicator, we’d have to constantly refer to a separate Market Profile chart to check if the signal works properly.

Build the Indicator

To get started, create an intraday Session 2 chart using a simple minute-based periodicity, such as a 5-minute. We use Session 2 because our Initial Balance levels are based on the first hour of RTH trading, which is 8:30 am to 9:30 am Central Time. The overnight price action is not a part of this strategy.

Next, use the File menu > New > Custom Indicator, or use the RTL button on your toolbar to pull up the RTL window.

First, we will build the indicator that shows the 200% IB Hi level. Separately, we will then build a second indicator to show the 200% IB Low level, for a total of 2 custom indicators.

In the RTL code, we use a “token” which automatically pulls in a value based on the outcome of a standard technical indicator. Each RTL token typically offers many different customizations, so the goal is to determine the right token(s) and then setup the tokens appropriately.

Before we can choose a token, we need to clarify the math used to create the 200% IB levels:

As you can see, the actual 200% IB levels depend on only one thing: knowing the high and low of the first hour of trading. The rest is simple math once we know this information.

The token which provides us with the high and low of the first trading hour is: SESST (“Session Statistics”). The SESST indicator is one of the most useful tokens in MarketDelta as it lets you quickly parse through a day of price data for just the information you need. It can do many different things, so the token must be configured for the 1st Hour Hi and Low at some point during the process. Because the same token cannot simultaneously show both the 1st hour Hi and the 1st hour Low, we will actually use two different instances of SESST in each of our indicators.

There are two different ways to configure tokens in the RTL code:

1. Write the code from scratch, and include the name of the token in your code. When you Save the custom RTL work, MarketDelta automatically prompts you for the parameters for the token(s) you selected. SESST, for example, can be set to show many different things.
2. Instead, add the tokens to the RTL window first and set them up as you wish. Then, write your RTL code. When you press Save, the custom indicator simply saves. You are not prompted to configure your tokens since you already did this prior to writing the code.

Either method is fine. Here we will show method 1, as it is faster once you get familiar with RTL coding. If you want a tutorial for method 2, click here for another blog post on creating custom indicators.

In the RTL window, we simply write the code for the 200% IB Hi, based on the math illustrated above. We use parenthesis to organize the math, and we substitute the token SESST whenever we wish to include the first hour High or first hour Low. Since the Hi and the Low are each their own SESST variable, we differentiate between the tokens of the same type by adding an underscore and a name to each token.

Type the RTL code into the RTL window for the 200% IB Hi:

As you can see, this math simply means:

First Hour Hi + IB Range

But it is expressed using the RTL token SESST.

Press Save and you will get pop-up windows to configure the two SESST tokens used:

Change the noted parameters so SESST_HI properly pulls in the highest price of the first hour.

After you press OK you are prompted to do the same for the next token, SESST_LOW, which is set to Lowest Price of the Low price of the First 60 minutes.

Finally, after the tokens are configured, you are prompted to give a name to your new custom indicator.

While not always necessary, it is a good idea to get into the habit of using the Check button in the RTL window after you are done and before you actually use the new RTL indicator.

When you use parenthesis or involve complicated math in your RTL code, you should make sure the software is interpreting your math exactly as you’d expect. The Check button breaks down the algorithm into its parts so you can verify it is processing in the right order. After you press Check, a window appears:

Here, we see that the expression’s parenthesis is calculated first, and stored internally as a variable, T1. Then the program adds T1 to the SESST_HI token. This is exactly as we’d expect. Sometimes seemingly simple mathematics will not work as expected because of the ordering of your expression, thus you should always use Check, and parenthesis, to control how math is processed.

Our 200% IB High indicator is now complete. Press “Send To” to add it to your chart that is currently active. Alternately, you can always add a custom indicator to any chart through the standard technical indicator window:

Or:

Either way, the indicator will then appear on the chart as a new separate pane:

All technical indicators appear by default as their own individual pane when you add them to a chart. To overlay them on top of another pane, in this case the price pane, simply click and drag the indicator’s line up to the price pane.

As an alternative, you can select the price pane at the time you initially add an indicator so ends up where you want it right away. You cannot use this method after the indicator is already on the chart. In the Add Indicator window:

Either way, after you add/move the indicator to the price pane, it appears:

If you so desire, you can customize its color and visual style by double-clicking the indicator line and select appropriate options in the Update Indicator window:

The 200% IB Hi custom indicator is now complete. Look at a Market Profile chart to make sure the indicator lines up with the same price points created by the IB Price Levels.

You would repeat this process to create the 200% IB Low.

The math:

This is simply the equivalent of:

First Hour Low – IB Range

Configure the tokens in the same way as for the prior custom indicator.

After you complete this second indicator and add it to the chart, you will see your completed 200% IB price levels:

Always check the results visually to make sure the indicator lines up with what you expect. In this case, we compare the lines drawn on the chart with a Market Profile chart to ensure they are mirroring those levels accurately.

Once we are confident that the indicator is correct, we no longer need to refer to Market Profile charts throughout the rest of this process as we build signals and backtest the strategy.

In our next tutorial, we build our first trading signal based on this strategy.

We are happy to announce the birth of our RTL Community Forum where you can ask questions and get help on learning RTL, and for troubleshooting issues with your custom indicators and signals. We encourage you to post your RTL questions at the forum, as you will benefit from many readers who can offer insight into your programming. Our technical support team also checks the forums on a daily basis to provide input.

For an introduction to RTL, please read our previous article on building a custom indicator to familiarize yourself with the features of RTL. You can also quickly access all of our blog articles on RTL by viewing the RTL category link for this blog.

MarketDelta Professional versions provide an advanced engine for creating custom indicators, scans and signals, and then running backtests on those signals. Custom trading signals place markers on a chart that alert you to specific entry or exit criteria. You program these criteria into the software using RTL. They can notify you in real-time when your desired conditions are met, and they also show historical signals from prior trading days.

Creating a custom signal is similar to building a custom indicator. The window layout and RTL syntax is the same. In this article, we outline the basics of programming a signal and showing signal markers on a chart. In future articles, we will take this to the next step: backtesting a signal to determine its historical profitability.

Concept

All trading signals begin with an idea you have for a particular trading strategy. Today we look at a basic idea using the Value Area. By Value Area, we refer to the prior day’s value area high and low.

Whether you study Market Profile charts or use the Profile or TPO indicators on candlestick or footprint charts, you no doubt realize how import Value Area highs and lows can be.

Here is an example showing the reversals that often take place at the Value Area:

This particular chart uses the Profile indicator on a day session chart (Session 2 for the E-mini S&P futures), with the following settings:

This instance of the Profile indicator is only on the chart to help see the validity of the signals you create. These particular settings do not apply to the actual RTL signal you will create, which will have its own instance of Profile indicator inside the RTL window, called a “token.”

To see all the profiles for all the days on your chart, the “Compute Last” should be set to a large number, equivalent to the number of days you show on your chart.

Strategy

We want to create a signal that alerts us as the instrument (in this case, the ES contract) approaches the Value Area Low from below. That is, the session begins with the contract trading below yesterday’s established value. As it rises and approaches value, the signal suggests a short entry.

This is an easy signal to create. It’s important to note that this is only one signal that might exist as part of an entire strategy built around similar entries. For example, you might also go long at the Value Area High as price drops from above value. That would be a separate, distinct signal, and you would apply both of these to the same chart or trading system. In this article, we look only at the short entry, to get you started with the process.

Coding the Signal

Click your RTL button on the main toolbar to open a signal, and then choose “New Signal.”

The syntax for this signal is simple, as follows:

There are three tokens used in this RTL code: SESST, PROF and HI. Two of these are indicators: SESST and PROF. The two indicators must have specific settings, and the program automatically prompts you for these settings when you save this signal. Otherwise, you can instead, optionally, first create the tokens from the list, pulling them over into the right side of this window for use in your code.

In any case, the settings for these two tokens are:

This pulls in yesterday’s (Prev) value area low.

This finds the highest price reached during the day (session) by the time the current bar prints.

The RTL code, shown above in the RTL window, is:

SESST.1<PROF AND (PROF-HI)<1

This code will create a signal as price gets within 1 point of the Value Area Low, from below. This makes it possible to signal a potentially rewarding short trade even if the price doesn’t exactly hit the level.

The first part of the code states that the highest intraday price reached by the end of the previous bar is lower than the value area low. This means that the market opened, and has remained, below the value area so far during the day. “SESST.1″ refers to the historical value of the SESST indicator/token from one bar ago. Since PROF remains the same all day, it is not necessary to add a “.1″ after it, though you could and it would make no difference in this particular case.

The second part of the code simply requires that the price difference between the Value Area Low and current bar’s highest price is less than 1 point. Again, this is optional; I include it here to give some “front running” potential to the trade. In a backtest, you could experiment to see if front running was really necessary, or if front running by a greater or lesser amount would make a difference to long term success. We’ll investigate this in future blog articles.

After you save and send this signal to the chart, you will see markers such as these:

Because we have the Profile indicator added to the chart, we can verify if the signal is working properly. Note how the signal correctly triggered a short entry marker when the market bounced off these Value Area Lows from below.

The signal marker itself is highly customizable. You can change the icon, the color, the placement or even trigger sounds when the signal criteria is met:

Hopefully this will get you thinking about how you can quickly build these indicators. As you can see, the actual RTL code is often quite minimal for common trading ideas.

Check back with this blog to see more examples in coming weeks.

The Real-Time Language (RTL) within MarketDelta allows anyone to harness the program’s internal compiler for building custom technical indicators. Access to RTL is available in the Professional versions of MarketDelta.

MarketDelta offers a wide assortment of technical analysis tools to please chart enthusiasts, especially novel indicators such as the Volume Breakdown, Profile and TPO indicators, as well as numerous tools designed for statistical analysis. But sometimes you may want to take matters into your own hands. Using RTL, you can design your own indicators or mirror those you’ve seen elsewhere.

The “3/10 Oscillator” is a simple technical analysis indicator made famous by trader and educator Linda Raschke (who appears in the popular book, New Market Wizards). As with most oscillators, the 3/10 is an effective way to gauge momentum and see price divergence. The 3/10 oscillator resembles other well-known oscillators, such as the MACD, RSI and Stochastic indicators. Its calculation is particularly basic. The main oscillator charts the difference between 3-period and 10-period simple moving averages, hence its name. To smooth the results, a signal line overlays the oscillator, comprised of a single 16-period moving average of the indicator itself.

Despite its popularity, the 3/10 oscillator is not included in most charting platforms, which often leaves traders wondering how they can use it. However, it is easy to build one in MarketDelta. This process shows you the basics of using RTL.

To begin, open any multi-pane chart in MarketDelta to which you wish to apply this new custom indicator.

Then, click the Open RTL button on the main MarketDelta toolbar, and choose Open Custom Indicator from the pop-up menu. (Don’t see an RTL button? See this article.) A new pop-up menu will then appear:

From this new window, choose the first option, New Custom Indicator, then press OK.

A new pop-up RTL window appears:

“Tokens” are the results of other program indicators or references that may be used in RTL. The list above shows all these different tokens you can add to your new Custom Indicator.

Since the 3/10 oscillator is the difference of two moving averages, we will need to add 2 tokens, both of which are a moving average with a specific setting.

Scroll down in this list to find “MA: Moving Average” and double-click this token. A pop-up window for the MA will appear:

Our first MA token will be for the 10-period moving average that is part of the 3/10 oscillator. So make sure it says “Simple” and a period of “10″ and press OK. The token appears to the right of the RTL window now:

Now add another MA token in the same way, but double-clicking the MA from the list on the left of the window, and this time choosing “3″ for the period. Once you click OK, the program will prompt you to rename this token, since you cannot have two tokens with the same name as “MA.” So, feel free to rename it as anything you wish, such as “MA_three.”

Next comes the actual RTL programming to create the token.

The 3/10 oscillator is defined as the difference between a 3-period and 10-period moving average. These two moving averages already exist now as RTL tokens, each with a specific name as listed in the “Token” column on the right of the window.

Thus, our RTL code will simply say:

MA_three-MA

Type this into the code box at the bottom of the RTL window. The code *is* case-sensitive:

If desired, press the “Check” button to see if the program understands your RTL code. In particularly complex custom RTL coding, this is useful.

If all’s good, save your new indicator pressing the “Save” button, and give it a name. If you are making changes to an existing indicator and want to save them under a new indicator name, use the “Save As” button.

At this point, you have two options. The indicator has now been created and saved. You can either exit this window and apply it to any chart, or you can have it automatically applied to the currently-selected chart in the program by pressing the “Send To” button and selecting “Chart – Custom Indicator.”

If you choose to add a custom indicator later to any chart, press the “Insert” key for the shortcut window to add an indicator, and click “Custom Indicator.” This displays the option on the right of the screen to select the RTL indicator you recently created and saved:

Select the custom indicator you want, and press the “Add and Close” button. It will now appear on the chart:

Next, we need to add the 16-period moving average to the custom indicator for the smoothing signal that is a part of the 3/10 oscillator.

Technically, this is called an “indicator of an indicator,” since we are adding one indicator to analyze the results of another indicator. In RTL, this is an entirely separate indicator.

Open the RTL window again, using the steps from above to create a new custom indicator.

Now, here’s a simple shortcut to create the signal line and add the tokens to the RTL window automatically. In the RTL code box at the bottom of this window, simply type:

MA(CI)

In this case the “CI” stands for “Custom Indicator.”

Press “Save” and since you had not already pulled in the tokens, MarketDelta will prompt you for the settings for both the moving average as well as the custom indicator. You can set the MA to 16, and then just select your recently-named 3/10 indicator for the CI pop-up.

Once this is done, the tokens will appear in the RTL window, and you can save the indicator as you did the last one. Note: though this indicator is associated with the 3/10, you must save it as a new indicator with a unique name. Perhaps “310_signal” or similar is appropriate.

Next, add this second custom indicator to the chart, either by using the “Send To” button as noted before, or by manually adding the indicator using the “Insert” button.

It will appear at as an entirely separate pane in the chart:

Next, we want to move the signal line to the original 3/10 indicator pane we first added, so they are not on separate panes. To make sure the signal is clearly obvious after they both appear on the same pane, first change the color of the signal line by double-clicking it and adjusting the color settings. (You must double-click right on the line itself to get these settings, which is the same process as changing settings for any indicator.)

After you change the color, click once on the signal line so it is clearly selected (the line will appear bold). Then drag this line up onto the original 3/10 pane. It will move and appear overlaid, so the full 3/10 oscillator with signal is apparent:

Congratulations!

One simple step you can do to clean up a chart after you dragged indicators around is to auto-resize the panes. Right-click on the chart and choose “Size Panes” followed by “Instrument Panes 75%” or whichever option you prefer.

While the math in this particular indicator is quite simple, it outlines the process of converting a concept into programming code and then into a visual representation of that code, using RTL.

But it doesn’t stop there. You can harness many powerful built-in indicators, such as Session Statistics, to create entirely new ways of looking at the market, all using this same process.