PSTAT for Indicator & Backtest Data

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Tue, 06/30/2020 - 22:10
#1
Edward01
Last seen: 1 month 4 days ago
Joined: 08/09/2018 - 10:41
PSTAT for Indicator & Backtest Data

Has anyone had any luck with being able to reference the PSTAT Volume bars in their back-testing or indicator building?

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Wed, 07/01/2020 - 04:27
Eddy_F
Last seen: 2 days 17 hours ago
Joined: 07/30/2014 - 16:18
Hello Edward,

Hello Edward,
you need to be a bit more precise in your question. Not sure about the exact type of volume information do you want to access in your indicator or backtest ?
For backtesting, the best is often to use the PVP tokens in order to access Price Volume Information ... or the MPH or PROF token or just the MA token to access basic buy/sell or delta volume, or the VB token for more complex Delta based indicator. Pretty much everything that can be displayed in a PSTAT can be included in a backtest
But it depends then of course on your backtest reference periodicity and if you are mixing periodicity or not.
For example, if you want to gather daily cumulative information in a lower time frame backtest periodicity, then you will have also to include MPD token in your indicator syntax/backtest rules.
Eddy

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Wed, 01/03/2024 - 12:31
(Reply to #2)
Edward01
Last seen: 1 month 4 days ago
Joined: 08/09/2018 - 10:41
PSTAT & PVP

Eddy, I would like to revisit this old question....I didn't have an exact framework of what I wanted originally. (Im Cherry Picking an example for today's market) For instance, If i were looking for an area on the PSTAT where Buy Volume had Decreased in size on the PSTAT 6 Bars/Nodes in a row on the Current Day Setting.The Second Criteria could be PVP had a Cluster of 6 Positive Delta readings of +200 or greater with the Ask > Bid. Lastly, If price was beneath this area by 5 Points or more and came back to this "Zone", a short trade could be executed for a backtest with a 5 point target and a 5 point stop. Im just using this as an example of how to identify these type of Volume based settings together in a back test. Im looking for a basic framework of how to identify these with syntax. Ive surfed through lots of posts in the forum, and watched videos, but I don't see how to identify the PVP areas with a "Reference Line/Zone" in the Signal/Backtest. I can obviously set them as an indicator on the chart as support resisance, but the same settings don't seem to appear on the Backtest setup for a signal, unless I am missing it somewhere. Any tips to point me in the right direction would be greatly appreciated!

BEGIN Investor/RT TRADING SIGNAL DEFINITION for SellSiggy
COMMENT=NONE
SOURCE=
PLATFORM=Windows 10 x64 (6.2, Build 9200)
DATE=2024-01-03 11:26
VERSION=15.1.16 x64 (Build #33553 May 30 2023 11:20:00)
DATAFEED=Rithmic
NAME=SellSiggy
BARCOUNT=AUTOMATIC
ELEM=VB:Volume Breakdown:VB[ ] AvgBuySize PREFS: 0,155,0,0,2,0,255,0,0,1,0,0,18,0,5,10,12701270,F,F,10,0,93,93,93,2,2,0,0,0,0,0,0,0,0,4,0,T,F,0,Vol,\0,32767,0,0,
ELEM=VB#2:Volume Breakdown:VB[ ] AvgSellSize PREFS: 0,155,0,0,2,0,255,0,0,1,0,0,19,0,5,10,12701270,F,F,10,0,93,93,93,2,2,0,0,0,0,0,0,0,0,4,0,T,F,0,Vol,\0,32767,0,0,
ELEM=CLOSE:Close
ELEM=OPEN:Open
SIGNAL=(VB < VB#2) and (CLOSE > OPEN)
END Investor/RT TRADING SIGNAL DEFINITION for SellSiggy
BEGIN Investor/RT TRADING SIGNAL DEFINITION for BuySiggy
COMMENT=NONE
SOURCE=
PLATFORM=Windows 10 x64 (6.2, Build 9200)
DATE=2024-01-03 11:26
VERSION=15.1.16 x64 (Build #33553 May 30 2023 11:20:00)
DATAFEED=Rithmic
NAME=BuySiggy
BARCOUNT=AUTOMATIC
ELEM=VB:Volume Breakdown:VB[ ] AvgBuySize PREFS: 0,155,0,0,2,0,255,0,0,1,0,0,18,0,5,10,12701270,F,F,10,0,93,93,93,2,2,0,0,0,0,0,0,0,0,4,0,T,F,0,Vol,\0,32767,0,0,
ELEM=VB#2:Volume Breakdown:VB[ ] AvgSellSize PREFS: 0,155,0,0,2,0,255,0,0,1,0,0,19,0,5,10,12701270,F,F,10,0,93,93,93,2,2,0,0,0,0,0,0,0,0,4,0,T,F,0,Vol,\0,32767,0,0,
ELEM=CLOSE:Close
ELEM=OPEN:Open
SIGNAL=(VB > VB#2)and (CLOSE < OPEN)
END Investor/RT TRADING SIGNAL DEFINITION for BuySiggy
BEGIN Investor/RT CHART DEFINITION for SumUpDownVolume
--
--To Import This Chart, drag and drop this file onto any Investor/RT window, or:
--1. Select all the text in this file.
--2. COPY to clipboard (Ctrl+C)
--3. Go to Investor/RT and PASTE (Ctrl+V)
--To learn more about importing definitions see www.linnsoft.com/importing.
--
COMMENT=PSTAT_PVP
SOURCE=John Tilley
PLATFORM=Windows 10 x64 (6.2, Build 9200)
DATE=2024-01-03 11:26
TIMEZONE=Central Standard Time (UTC - 6:00)
VERSION=15.1.16 x64 (Build #33553 May 30 2023 11:20:00)
DATAFEED=Rithmic + DTNMA ORS=0 Trading Simulator
NAME=SumUpDownVolume SIZE=1962,3838
PERIODICITY=8,10,1342177280 (10t Renko)
PIXELS=119:0
LOOKAHEAD=0
RMARGIN=279
CFLAGS=524288 CFLAGS2=187009
VIEWPERIOD=1,1,10,3785936400,3787124271 (Last 10 days)
SUBSESSION=0,30,6
COLORS=3947580,12829635,7237230,16053492,11513775,11842740,16777215,0,0
DESC=SumUpDownVolume: ESH4 (10t Re) 10t Renko, Full Session 17:00-16:00
SESSION OVERRIDE=38 Globex FULL: Hours: 17:00 to 16:00
TICKER=ESH4:GLOBEX:38 SECTYPE=3 DISPLAY=12 ALIAS=@ES# DAYSESSION=2
-Tick Data: 100 Days, Intraday: 1999 Days, Daily: 100 Days
PANE #1 PCT=0.011979 PFLAGS=896 SCALE=1,10.800000,33.600000,0.250000,1.000000,0.000000,0,0
INDICATOR: BUTN #94 ASSOC: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 DESC: BUTN: Maximize Chart LABEL: T TXTLBL: F,"",F RECALC: 0,0 PREFS: 26,0,0,0,15011501,Maximize,0,\0,6,0,Maximize,0,0,0,0,0,0,0,0,0,0,0,\0,0,0,
INDICATOR: BUTN #94 ASSOC: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 DESC: BUTN: Minimize Chart LABEL: T TXTLBL: F,"",F RECALC: 0,0 PREFS: 26,0,0,0,15011501,Minimize,0,\0,6,0,Minimize,0,0,0,0,0,0,0,0,0,0,0,\0,0,0,
INDICATOR: BUTN #94 ASSOC: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 DESC: BUTN: Restore Chart LABEL: T TXTLBL: F,"",F RECALC: 0,0 PREFS: 26,0,0,0,15011501,Restore,0,\0,6,0,Restore,0,0,0,0,0,0,0,0,0,0,0,\0,0,0,
PANE #2 PCT=0.989058 PFLAGS=33920 SCALE=0,4736.766033,4772.776974,0.250000,1.000000,0.000000,0,0
INDICATOR: PSTAT #158 ASSOC: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 DESC: PSTAT[ESH4 (10t Re) 0] ??? LABEL: T TXTLBL: F,"AUTO",F RECALC: 0,0 PREFS: 0,0,168,2,2,0,1,16,19,999,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,40,8,2,150,14001400,F,F,204,0,0,2,0,0,0,5,9,F,18060,65280,16711680,13487565,T,T,0,4934475,T,T,6,F,14737632,Down,1000,2,2,F,F,F,F,2,2,2000,0,1,
INDICATOR: RTX #111 ASSOC: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 DESC: lsVolumeScope 7.9 RTX[ESH4 (10t Re) 0] LABEL: T TXTLBL: F,"AUTO",F RECALC: 0,0 RTXPARMS: T,T,T,F,T,3,0,0,5,7067392,16742777,0,3815994,8355711,T,10987431,4359168,16580608,2,F,8421504,F,F,0,F,F,2,F,0,4,2,0, x ,5,0,0,F,13,F,2,130,T,D,T,F,4210752,F,125,25,F,13,5723991,1,F,3787120661,T,0,0,3,1,2,T,0,12311551,65280,16711680,17544,32768,12976128,T,1700,10,10,F,1,1000,F,0,0,255,F,1000,F,0,7,0,0,1,0,F,1,F,TI ,2,F,16711680,F,0 PREFS: 0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,\0,14,128,lsVolumeScope,12111211,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,
INDICATOR: SIG #10 ASSOC: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 DESC: SIGNAL[ESH4 (10t Re) 0] SellSiggy,0 LABEL: T TXTLBL: F,"",F RECALC: 0,0 PREFS: 255,128,255,1,0,0,SellSiggy,0,11,1,F,8421504,524288,8,\0,F,0,0,0,0,0,F,0,F,F,F,F,0,0,0,0,0,0,0,0,0,0,0,0,F,F,0,0,0,0,0,0,0,0,0,0,0,F,\0,F,F,F,2,12781278,3,F,0,F,SumUpDownVolume,1,0,1,0,0,2,
INDICATOR: SIG #10 ASSOC: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 DESC: SIGNAL[ESH4 (10t Re) 0] BuySiggy,0 LABEL: T TXTLBL: F,"",F RECALC: 0,0 PREFS: 0,255,0,1,0,0,BuySiggy,0,11,0,F,8421504,524288,8,\0,F,0,0,0,0,0,F,0,F,F,F,F,0,0,0,0,0,0,0,0,0,0,0,0,F,F,0,0,0,0,0,0,0,0,0,0,0,F,\0,F,F,F,2,12781278,3,F,0,F,SumUpDownVolume,1,0,1,0,0,2,
INSTRUMENT: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 TYPE: 9,2,12 COLORS: 11796403,16762052,1,0 [Alias: @ES#]
VAP_FOOTPRINT: 0,0,8,7,9,0,0,100,0,0,0,4672,50,0,0.25,0,0,0,0,0,Arial,0,
SESSION #38. Globex FULL: Open,UnPosted, Hours: 17:00 to 16:00
INDICATOR: RTX #111 ASSOC: ESH4:GLOBEX:38 ID#1 PERIODICITY: 8,10,1342177280 DESC: lsPriceVolumePattern 5.3 RTX[ESH4 (10t Re) 0]1P,4L LABEL: T TXTLBL: F,"AUTO",F RECALC: 0,0 RTXPARMS: 65535,4,0,0,1,0,4,0,1,0,3,1,200,F,2,0,2,1,1,1,1,3,2,10,T,2,0,0,0,50,0,0,0,0,500,F,0,0,0,0,500,0,3,1,0,F,T,F,F,F,T,0,0,Strong,3355443,16776960,3,T,0,PVP,T,2,2,2,2,2,2,F,Play Corkpop,5,T,F,1,F,16119285,F,2,\0,\0,F,3,2,2,65535,16711935,0,F,255,F,Play Corkpop,F,0,0,0,40,F,2,0,1,F,\0,\0 PREFS: 0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,\0,49,128,lsPriceVolumePattern,12111211,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,
- This chart definition references 2 RTL objects (scan/signal/custom indicator)
END Investor/RT CHART DEFINITION for SumUpDownVolume

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