Coding
ATR-Based Quantity and Risk
Aug 05, 2013
The Average True Range (ATR) study takes the moving average of the true range over the specified period.
Definitions:
True Range = True High - True Low True High = The greater of the current bar's high or the previous bar's close True... more
Correlation and Relative Performance
Jul 29, 2013
The Correlation function in the CQG toolbox correlates the price movement of two symbols over a defined number of bars. For example, CORREL(CL,QO,10) will return the correlation between West Texas Crude on the NYMEX and North Sea Brent on the ICE... more
Using the Super Template
Jul 23, 2013
Some of the work traders do in building trading systems can be very creative and exciting, but unfortunately some of the work is not. In most cases, traders have a specific idea in mind that they want to test. They create an entry and the... more
Using Daily and Intraday Values of an Open Session
Jul 16, 2013
Here are some thoughts about extracting "daily" values inside an intraday market.
A common request is to calculate and plot a "daily close" value of a study based on an intraday time frame, such as five-minute bar data. With CQG this is... more
Only One Trade per Day
Jul 11, 2013
When it comes to coding your trading systems, allowing only one trade per day is by far the most frequent request.
In the example above, the session starts at 8:00 local time (see cursor) and the trading system produces three long... more