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Documentation for the TradeStation 4.

0,
2000i, 6.0 & SuperCharts 4.0
Add-On for Trading Windows Strategies
Programmed by:
Stuart Okorofsky
PO Box 23 Rosendale NY 12472
Telephone: (845) 658-9706
E-mail: krofs@aol.com
Web site: www.okor.com

Introduction
Our goal with this software is to provide indicators, commentary, pattern recognition and formulas for the
Trading Windows Trading Strategies. Please read all of this documentation carefully before getting
started.
NOTICE: These Indicators and Systems are for educational purposes only and for use as a companion to
the text. They are not intended to be used as mechanical systems, nor are they to be used without the
companion text. Any references to real time (or any other trading terminology for that matter), in this
text is for monitoring purposes only and does not suggest one should trade these strategies with real
dollars. Neither the programmer nor Larry Connors promise profits by using this code. Further, no
recommendation is being made to buy or sell stock or commodity interests. In addition, trading involves
risk and there are no guarantees of profit from trading. There is a substantial risk of monetary and/or
emotional loss. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RETURNS.

Conventions Used
In TradeStation 4.0 and SuperCharts 4.0, the programs that are used to back test the trading methods, are
called Systems. In TradeStation 2000i and TradeStation 6.0 these programs are called Strategies. In this
documentation, the words Systems and Strategies will be used interchangeably to refer to the
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TradeStation programs that trade the system. The TradingWindows indicators plot dots above/below bars
that are setups for entries for the TradingWindows methodologies.
In order to differentiate them from existing indicators, all of the Indicators and Systems/Strategies are
prefaced by TW_.
In general, a colored arrow above or below the setup bar will be placed when a signal is triggered. Blue
arrows will be used for buys and red arrows will be used for sells. For a buy, the small horizontal blue
arrowhead indicates the entry price. For a sell, the small horizontal red arrowhead indicates the entry
price.
Discretionary Nature: These trading strategies are DISCRETIONARY in nature and are not an exact
science. When a computer is given exact rules, it may find occurrences that are not within the criteria that
the author intended. Moreover, it may also miss patterns that the author may recognize as a legitimate
pattern. We have designed the software to identify the majority of the patterns and have placed filters to
eliminate potential false signals. HOWEVER, WE CANNOT GUARANTEE THAT THIS SOFTWARE
WILL IDENTIFY EVERY PATTERN, NOR CAN WE GUARANTEE THAT EACH PATTERN IS
WITHIN THE GUIDELINES THAT THE AUTHOR INTENDED. AS STATED EARLIER, TRADING
INVOLVES SUBSTANTIAL RISKS. NO ONE SHOULD RELY SOLELY ON SOFTWARE IN
MAKING TRADING DECISIONS.
A Word about Normalization: The indicators and systems have a look back period that may require a
certain number of days to pass before they normalize. This can make them unreliable for the first few
signals. For instance, the ADX indicator is a serial dependent indicator. This means that it depends on
its reading the day before for the current periods calculation. Therefore, an early date in a chart with only
six months worth of data would have a different ADX reading than the same period in a chart with one
years worth of data loaded. Other indicators will behave in a similar manner and simply may not work or
generate errors when insufficient amounts of data are loaded. Due to this fact, we strongly recommend
that you use charts of at least 12 months in length and use caution when analyzing the first few signals of
any indicator or system (regardless of how many periods are loaded on the chart). In addition, if using
ChartScanner (SC4.0 or TS4.0) or WorkSpace Assistant (TS 2000i), make sure that Maximize
Calculation Speed is NOT checked in the settings screen.

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General Functions of the Software: Most trading methods have an Indicator and System associated with
them. The Indicators place a Red dot at the entry price for a possible Sell entry, and a Blue dot at the entry
Price for a possible Buy entry. The Systems show where actual Buys/Sells have occurred. A Blue arrow
below the bar indicates that there was a buy on that day. A Red arrow above the bar indicates that there
was a sell on that day. The arrows are placed at the entry price in some cases. Most indicators will also
trigger an alert that can be used for scanning through a universe of stocks (more on that later)

There are seven Trading Strategies included in the software. THESE METHODS ARE
DISCRETIONARY AND MAY INVOLVE INTRADAY ENTRIES. THEREFORE, YOU CANNOT
ACCURATELY BACKTEST THEM ON A MECHANICAL BASIS. ALL SYSTEMS INCLUDED IN
THIS SOFTWARE HAVE HARDWIRED EXITS. THEY EXIT ExitDays DAYS AFTER ENTRY.
ExitDays IS AN INPUT THAT IS DEFAULTED TO THREE. THIS WILL CAUSE AN EXIT, THREE
DAYS AFTER ENTRY. THE USER CAN CHANGE THIS NUMBER. THE TRADING WINDOWS
METHODOLOGIES ARE NOT DESIGNED TO BE TRADED THIS WAY. PLEASE REFER TO THE
BOOK FOR EXIT STRATEGIES. TradingMarkets offers a Money Management Module, which will be
available in early 2003. For more information call 1-888-484-8220 or visit Traders Galleria at
www.tradersgalleria.com to check on availability.

Workspace Assistant (ChartScanner)


In order to take full advantage of the TradingWindows software, you must use a powerful feature of
TradeStation 2000i that you may not be familiar with. It is called Workspace Assistant (it is called
ChartScanner in 4.0). This feature allows you to automate your end-of-day chart analysis and screening,
which is exactly what is needed to use the trading strategies. As of this writing (November 2002),
TradeStation 6.0 does not yet have this feature. If you are not familiar with Workspace Assistant
(ChartScanner in 4.0), you must read the relevant chapters from the Omega Users Manual. You cannot
take full advantage of these trading programs without using this feature. Here is a brief outline of how to
use Workspace Assistant (ChartScanner):
Workspace Assistant (ChartScanner) will scan a universe of markets (stocks/futures/indices). This
universe can be a custom data list, a directory or whatever is stored in your server portfolio. Please refer
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to the Omega documentation regarding these options. The Workspace Assistant (ChartScanner) will
produce a list of markets that have been triggered by these alerts. It will tell you which indicator or
system triggered the alert and at what price. Workspace Assistant (ChartScanner) has many other
capabilities including automating the process to run at a predetermined time, printing out all of the charts
and setups, among others. Please refer to the Omega Users Manual for more information.
The four basic steps are:
1. Set up a universe of markets (portfolio, directory or custom data list).
2. Create a chart based on this universe.
3. Apply your analysis techniques with the alerts enabled.
4. Set Workspace Assistant (ChartScanner) to run automatically or choose to run it manually.
5. You can add one System to each workspace that you run under Workspace Assistant (ChartScanner)
to identify one or all of the setups.

A word of caution: If you apply too many analysis techniques within one scan, it may identify too many
setups or alerts and prematurely end your scan. For this reason, there are separate Systems for each
methodology.
Under Set Up for the Workspace Assistant (ChartScanner), we suggest you make sure the Dont show
charts while Workspace Assistant (ChartScanner) is running is selected. This should help to increase the
processing speed. Also, make sure Maximize Calculation Speed is NOT checked. This is very
important, as the setting will have a negative effect on the normalization of some of the indicators.
Refer to A Word about Normalization for more details.

Installing the Add-On


TradeStation Pro (TS 6.0)
Note: Before getting started, you may want to read the EasyLanguage Manual section on Sharing an
Analysis Technique or Transferring Analysis Techniques, to become familiar with the transfer
procedure.

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If you received your software add-on module on disk, insert enclosed floppy disk into youre a:\ drive (or
whatever your 3.5 drive is named). If you received your software add-on module via E-mail, follow the
steps below to install the Add-On.
1. Start TradeStation Pro (TS 6.0).
2. Select File > Import/Export EasyLanguage.
3. Choose the first option, Import EasyLanguage file (ELD, ELS or ELA). Click Next.
4. If you received your software add-on module on disk, type a:\TW.ELD. Another way to do this is to
hit SCAN and type the letter of your 3.5 floppy (usually A), click OK, and select TW.ELD
from the list.
If you received your software via E-mail, type in C when you do the scan, and then select the
TM.ELD from the list. Click Next.
5. Another dialog box will come up that shows you the different Analysis Types available to transfer.
Make sure that everything is checked and click Next.
6. The next dialog box will list all of the systems, indicators and functions. Make sure that everything is
checked and click Finish. If a dialog box comes up and says that a program already exists, Do you
want to overwrite it? select Yes to All. You have successfully installed the Add-On.

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TradeStation 2000i
Note: Before getting started, you may want to read the EasyLanguage Manual section on Sharing an
Analysis Technique or Transferring Analysis Techniques to become familiar with the transfer
procedure. The TM software uses these exact transfer techniques.
If you received your software add-on module on disk, insert enclosed floppy disk into your a:\ drive (or
whatever your 3.5 drive is named). If you received your software add-on module via E-mail, follow the
steps below.
1. Start TradeStation 2000i.
2. Start the PowerEditor (hit the F12 key or select GO > EasyLanguage PowerEditor).
3. From the PowerEditor, select File > Import/Export.
4. Choose the first option, Import EasyLanguage Archive file (ELA and ELS). Click Next.
5. If you received your software add-on module on disk, type a:\TW.els. Another way to do this is to
hit SCAN and type the letter of your 3.5 floppy (usually A) click OK, and select TW.ELS
from the list.
If you received your software via E-mail, type in C when you do the scan. Then select the
TW.ELS from the list. Click Next.
6. Another dialog box will come up that shows you the different Analysis Types available to transfer.
Make sure that everything is checked and click Next.
7. The next dialog box will list all of the systems, indicators and functions. Make sure that everything is
checked and click Finish. If a dialog box comes up and says that a program already exists, Do you
want to overwrite it? select Yes to All. You have successfully installed the Add-On.

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TradeStation 4.0 or SuperCharts 4.0


Note: Before getting started, you may want to read the EasyLanguage Manual section on Sharing an
Analysis Technique or Transferring Analysis Techniques to become familiar with the transfer
procedure. The TM software uses these exact transfer techniques.
If you received your software add-on module on disk, insert enclosed floppy disk into your a:\ drive (or
whatever your 3.5 drive is named). If you received your software add-on module via E-mail, follow the
steps below.
1. From Charting, go to Tools > Quick Editor.
2. From the QuickEditor, select Transfer.
3. Choose the first option, Transfer Analysis Techniques from EasyLanguage Archive file (ELA).
Click OK.
4. If you received your software add-on module on disk, type a:\TW.ELA. Another way to do this is to
select SCAN and type the letter of your 3.5 floppy (usually A), click OK, and select TW.ELA
from the list.
If you received your software via E-mail, type in C when you do the Scan. Select the TW.ELA
from the list. Click OK.
5. Another dialog box will come up that shows you the different Analysis Types available to transfer.
Select the last option, Transfer All and click OK.
6. If a dialog box comes up and says that a program already exists, Do you want to overwrite it?
Select Yes to All. You have successfully installed the Add-On.

Indicators Included in the Add-On Package


The following indicators are included in this package:

TW_Single Window
TW_Double Window
TW_Hanging Window
TW_Aggressive Single
TW_Aggressive Double
TW_Close Gap Window

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The indicators listed above place a Red dot at the Entry Price for a valid Sell Trading Window, or a Blue
dot at the Entry Price for a valid Buy Trading Window. The size and color of these dots can be changed
by using the Format feature of TradeStation. The ALERT option is turned ON by default for all of these
indicators. In SuperCharts, TradeStation 4.0 and TradeStation 2000i, these indicators can be used to scan
trading universes for potential trades. As of this writing (November 2002), TradeStation 6.0 does not yet
have a Scanning feature. See the description of WorkSpace Assistant earlier in this document.

TW_Single Window and TW_Double Window setups call for an entry on the day after
the Trading Window Setup.
TW_Hanging Window calls for an entry on the close of the day of the Trading Window
Setup, or the open of the following day.
TW_Aggressive Single, TW_Aggressive Double and TW_Close Gap Window call for an
entry on the close of the day of the Trading Window Setup.

The following Trading Systems/Strategies are included in this package:

TW_Single Window
TW_Double Window
TW_Hanging Window
TW_Aggressive Single
TW_Aggressive Double
TW_Close Gap Window
TW_Intra Gap Window (This setup calls for an entry on the day after the setup)

SuperCharts and TradeStation 4.0 refers to these as Systems. TradeStation 2000i and TradeStation 6.0
refer to these as Strategies. Systems and Strategies are used interchangeably throughout this document.

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General Notes About Inputs


All of the Indicators and Systems share common inputs, although not all of them are used in every
Indicator or System. The inputs are listed below with their default values (shown in parentheses):

MA_Len(4) This is the length of the Simple Moving Average used to define Trading Windows.
MinPrice(40) - Minimum stock price. Stocks with a closing price less than this, will be ignored.
This prevents a scan from picking up low priced stocks.
Min_Vol(10000) Minimum 10 day average volume. Stocks that trade less average volume than
this, will be ignored. This prevents a scan from picking up thinly traded stocks.
Use_ADX(true) - If true, use ADX as a trend filter (see explanation below).
ADX_Len(10) Length of the ADX and its associated DMI+ and DMIMin_ADX(30) When using ADX, this is the minimum ADX needed for a setup
Use_DMI(true) - If true, use DMI as a trend filter (see explanation below).
DMI_Len(14) Length of DMI+ and DMI-.
Min_DMI(30) - When using DMI, this is the minimum DMI needed for a setup
Percent(10) This input refers to the upper/lower Percent of the Days Range. For Hanging
Windows, this is 10%. For Aggressive Windows this is 5%.
ExitDays(3) For Systems only, all Entries will exit after this number of days in the market.

PLEASE NOTE. THE EXITS INCLUDED IN THIS SOFTWARE ARE HARD CODED TO EXIT A
TRADE AFTER A CERTAIN NUMBER OF DAYS. THE TRADING WINDOWS METHODOLOGIES
ARE NOT INTENDED TO BE TRADED THIS WAY. EXIT STRATEGIES ARE EXPLAINED IN
GREAT DETAIL IN THE TRADING WINDOWS BOOK. THE EXITS INCLUDED WITH THIS
SOFTWARE ARE FOR DEMONSTRATION ONLY. IT IS NOT INTENDED THAT A TRADER
WOULD USE THESE EXITS. TradingMarkets offers a Money Management Module, which will be
available in early 2003. For more information call 1-888-484-8220 or visit Traders Galleria at
www.tradersgalleria.com to check on availability.

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ADX and DMI


The Trading Window Strategies call for the use of a Trend Filter. ADX and DMI are both used for this
filter. The book defines an uptrend when either of theses two conditions is true:

A 10 period ADX is greater than 30 and its DMI+ is greater than its DMIA 14 period DMP+ is greater than 30.

Downtrends are just the opposite of this.


A trader has the option to use either one or both of these filters. There are two inputs that control this
option: Use_ADX and Use_DMI .
A filter is turned ON (being used), when the input is set to true. It is turned OFF (not used), if the input is
false.
If a trader wants to use only the second filter, he/she would set the input Use_ADX to false and
Use_DMI to true. If the trader chooses to do this, a trend would only be defined by using the DMI
filter, the second condition.
If a trader wants to use only the first filter, he/she would set the input Use_DMI to false and
Use_ADX to true. If the trader chooses to do this, a trend would only be defined by using the ADX
filter (with its component DMI+ and DMI-), the first condition.
If both of these inputs are set to true, a trend will be defined when EITHER of these conditions is true.
The default is to have both of them turned ON, so that a valid trend would occur if EITHER of these
conditions is true, as it is described in the book.

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An Important Note about Technical Support


In order to be able to offer this software package at such a reasonable price, technical support must be
limited. These programs have been thoroughly tested to insure that they are working properly. However, if
you do have a problem with the software, technical support is available Monday Friday, 8:00 AM to
5:00 PM (EST). We cannot answer general TradeStation or SuperCharts questions whose answers can be
found in the Omega Users Manual(s). We also cannot comment on the methodologies themselves. If you
have a question about something in the book, please E-mail: info@tradingmarkets.com

Technical support:
Stuart Okorofsky
PO Box 23, Rosendale, NY 12472
Telephone: (845) 658-9706
E-mail: krofs@aol.com
Web site: www.okor.com

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