RE: Multiple Time Frames

["Gary Fritz" <fritz@xxxxxxxx>]

> Speaking of multiple time frames. I would like to write a
> TradeStation strategy where one data series is 1-min bars and the
> other is daily bars. Is this possible? Specifically I am trying to
> build a day-trading strategy for stock indices that halts trading
> when the average daily ranges fall below a certain threshold. 

You don't really have to use two data series for this.  You can get 
yesterday's range using HighD(1) - LowD(1).  It would be a pain to 
calculate the simple average of that -- you'd have to store it in an 
array and compute it from that -- but you can roll your own xaverage 
pretty easily.  Something like this:

input: DaysLen(20);
vars: RngFactor(0), RngXavg(0), HiD(0), LoD(0);
vars: InitXavg(.7);  { Some reasonable value to jump-start the xavg }

{ Initialize xaverage for daily H-L range }

if DaysLen + 1 <> 0 and CurrentBar <= 1 then begin
  RngFactor = 2 / (DaysLen + 1);
  RngXavg = InitXavg;
  end;

HiD = HighD(1);
LoD = LowD(1);
if Date<>Date[1] then 
  RngXavg = RngFactor * (HiD-LoD) + (1 - RngFactor) * RngXavg[1];

NOTE:  On TS4 at least, you MUST call HighD/LowD OUTSIDE of any 
conditional statements -- that's why I assigned them into HiD/LoD.  
If you don't call HighD/LowD on EVERY BAR, it won't work right.  It's 
a bug in TS4 and I'm not sure if they fixed it in TS2k/TSPro.

Gary