Algo Trading with TSLab: for Non-Programmers

In this lesson you will learn:

• Script editor and its properties

• Blocks of the visual editor

• How to work with the "Script Management" window

• Different tabs in TSLab - Historical trades and their parameters, Optimization tab, Profit tab, Logs, Chart

• How and why to plot different values on a separate scale

• How to create a basic script

You will build your first fully functional simple scripts for two strategies:

1. Simple Moving Averages crossover

2. Parabolic SAR strategy

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Practical TIPS!

You can see a detailed description of any block, its input, output, parameters and a link to an example. Select a block - Properties - Detailed

Issue: Your chart has shrunk in a small band, has been flattened.

Solution: Plot data on different scales or chart panels. All the indicators that relate to the price, such as are the moving averages, various price channels, pivot points should be placed on the same panel with the price of the instrument. Everything that is NOT directly related to the price, for example, volume, ATR, various oscillators, should be placed on a separate scale, and preferably on a separate panel of the chart.

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Practical task

Create a script using the following algorithm:

Instrument: Futures SP 500 E Mini, ES

Timeframe: 15M

The period from 01.01.2017 to 01.01.2018

Download ES quotes for this script from External Resources. Select ES 20170101_20180101_UTC.txt

Data Provider Settings:

Number of decimals: 2

Price Step: 0.25 point

Lot size:50

• Open a long position when the candle closes above the Parabolic SAR indicator (the price crosses the indicator from the bottom up )

• Exit the position when the candle closes below the Parabolic SAR indicator

• Keep the indicator (Parabolic SAR) parameters values ​​as set by default. The indicator is located in the toolbar in the “indicators” column.

Compare your answer with the Model Answer from External Resources. Please see the instructions below.

Download the file "Lesson_2_Model_Answer.tscript" to you PC without opening it. Then open TSLab and download the file by clicking the "Load from file" button. Open the script.

In this lesson you will learn:

• What candles are in terms of an algorithm

• How to define different parameters of candles in TSLab - body, range, median price

• Numerical and logical formulas with examples

• Popular Boolean expression operators

• The similarity and difference between numerical and logical formulas

At the end of the lesson, you will build a script with different formulas.

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Practical TIPS!

When typing a formula in the editor, there are pop-up hints windows with the names of the blocks. If you double-click on these hints, the links to this block appear automatically.

Issue: You may see a lot of messy writing/overlapping text on the chart and blue brackets describing the trades in them. How do you make the chart more visual?

Solution: Disable or enable the display of all elements of the chart. Go to the menu in the upper left corner of the chart, and open the Source list. Disable the position text by selecting the corresponding checkbox.

In blue brackets, TSLab is grouping the trades and their descriptions overlap each other. Go to the “properties” and remove the checkbox to disable the grouping.

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Practical tasks

Task 1. Describe the following candles in TSLab

• Bullish candle without a wick/shadow

• Candle without a body

• Bearish Candle with a body < 30 % of its range

• Bullish Pin bar with a lower wick/shadow > 50% of its range

• Bearish Pin bar with an upper wick/shadow > 70% of its range

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Task 2. Create a script for the following algorithm:

Instrument: Crude Oil Futures: CL

Timeframe: 5M

Period: Use all available historical data

Download CL quotes/historical data for this script from External Resources

Data Provider Settings:

Number of decimals 2

Price step 0.01 $

Lot size 1000

• Open a long position after a bullish candle with a bottom wick/shadow more than 50% of its range.

• Exit the position either when it hits a stop loss of 0.30 cents or it reaches a take profit equal to three stops.

• Additionally, exit the position by a market order when there is a bearish candle with a range exceeding the ATR (20) by four times.

Compare your answers with the Model Answers in External Resources.

For task 2 download the file Lesson_3_Model_Answer_task 2.tscript to you PC without opening it. Then open TSLab and download the file by clicking the "Load from file" button. Open the script.

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Course update 01.01.2021

We have provided recent historical/ offline data for you to practise. In External Resources you can find Historical Quotes 2019 and 2020. Please bear in mind that this data is for educational purpose only. 

In this lesson you will learn:

• how to describe a combination of several candles

• how we look into the past and refer to the past values of any indicator

• the importance of the "begin with" parameter

• practical tips to solve common problems

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Practical task

Create a script using the following algorithm:

Instrument: Gold Futures GC

Timeframe: 60M

Period: Use all available historical data

Download GC quotes for this script from External Resources

Data Provider Settings:

Number of decimals 1

Price step 0.1 $

Lot size 100

• Open a long position after three consecutive bullish candles.

• Exit the position in 30 candles or on stop set at the open of the first of the three bullish candles from the combination above.

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Compare your script with the Model Answer script in External Resources

In this lesson you will learn:

• three ways to open and close a position

• how to use market, limit and stop orders in TSLab in different strategies

• how to add conditions to entry/exit the market

• practical tips for common issues

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Practical Tasks

Create scripts using the following algorithms:

Task 1.

Instrument: Bitcoin BTC

Timeframe: 5M

Period: Use all available historical data

Download BTC quotes/historical data from External Resources. Select GDAX.BTC-USD_170701_180701.txt

Data Provider Settings:

Number of decimals 1

Price step 0.01 $

Lot size 1

• Open a short position at the breakout of the bottom line of the Bollinger Bands. The period is 20 and a coefficient of deviation of 2 ( enter at the price of the lower line).

• Close the position at the price of the channel middle line ( SMA ).

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Task 2

Instrument: Crude Oil Futures CL

Timeframe: 1M

Period: Use all available historical data

Download CL quotes/historical data for this script here. Select CL 20140101_20160101_UTC.txt

Data Provider Settings:

Number of decimals 2

Price step 0.01 $

Lot size 1000

• Open a short position when the price reaches/touches the maximum price for the last 150 candles. The latter is the entry price.

• Close the position when the closing price is below the minimum for the last 400 candles.

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Compare your scripts with the Model Answers Scripts in External Resources.

Download two files Lesson_5_Model_Answer_task 1 and task 2.tscript to you PC without opening. Then open TSLab and download them by clicking the "Load from file" button one by one. Open the script.

In this lesson you will learn:

• how to get multiple time frames inside one script

• how to build indicators based on higher time frames

• what compression is all about, how it works

• data decompression

• how to solve problems with compression and decompression

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Practical task

Create a script using the following algorithm:

Instrument: Bitcoin BTC

Timeframe: 5M

Period: Use all available historical data

Download BTC quotes/historical data from External Resources. Select GDAX.BTC-USD_170701_180701.txt

Data Provider Settings:

Number of decimals 2

Price step 0.01 $

Lot size 1

• Open a long position after a bullish 5M candle with a body of more than $5. The close of this candle must be above yesterday's high. Time starts at 12 am (00:00). At the same time, there should be a rising simple moving average, SMA (period 50), built on the 60-minute timeframe.

• Exit the position on stop, set at the minimum price of the last hour.

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Compare your answer with Model Answer.

Model Answer Script

Download the file Lesson_6_7_Model_Answer.tscript to you PC without opening it. Then open TSLab and download the file by clicking the "Load from file" button. Open the script.

In this lesson you will learn:

• the differences and similarities between the standard and extended compression

• how to build non-standard time frames inside one script

• time format in TSLab

• the importance of the recalculation interval in algorithmic trading

practical solutions to solve problems when using non-standard time frames in different scenarios

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Practical task

Create a script using the following algorithm:

Instrument: Bitcoin BTC

Timeframe: 5M

Period: Use all available historical data

Download BTC quotes/historical data from External Resources. Select GDAX.BTC-USD_170701_180701.txt

Data Provider Settings:

Number of decimals 2

Price step 0.01 $

Lot size 1

Use the Compress(Advanced) block for this script

• Open a long position after a bullish 5M candle with a body of more than $5. The close of this candle must be above yesterday's high. Time starts at 12 am (00:00). At the same time, there should be a rising simple moving average, SMA (period 50), built on the 60-minute timeframe.

• Exit the position on stop, set at the minimum price of the last hour.

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Compare your answer with Model Answer.

Download the file Lesson_6_7_Model_Answer.tscript to you PC without opening it. Then open TSLab and download the file by clicking the "Load from file" button. Open script.

In this lesson you will learn:

• the purpose and application of the "Updatable Value" block

• how to set the value in the "Initial" parameter

• the importance of the parameter "Do not Clear" for calculating stops

how to solve a variety of problems with the "Updatable Value" block in practice

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Practical task

Create a script using the following algorithm:

Instrument: Gold Futures GC

Timeframe: 5M

Period: Use all available historical data

Download GC quotes/historical data from External Resources. Select GC 20121227_20181010_UTC.txt

Data Provider Settings:

Number of decimals 1

Price step 0.1 $

Lot size 100

Conditions for entry:

• Wait for a bullish candle with a range of more than $3 on the chart. Store the value of the candle opening and maximum price with the "Updatable value" block.

• Enter a short position at the breakout of the opening price of the signal candle above. Set the stop loss at the high of this candle.

• Exit the position either on stop or on take profit of $10 each.

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Compare your script with the Model Answer script

Download the file Lesson_8_Model_Answer.tscript to you PC without opening it. Then open TSLab and download the file by clicking the "Load from file" button. Open the script.

In this lesson you will learn:

• how to build a script with consecutive signals: impulse, pullback, pin bar

• what the flag is

• how to reset signals at different conditions

• how to count events, candles, signals

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Practical task

Create a script using the following algorithm:

Instrument: SP 500 E Mini, ES

Timeframe: 5M

Period: Use all available historical data

Download ES quotes/historical data from External Resources. Select ES 20121209_20181010_UTC.txt

Data Provider Settings:

Number of decimals 2

Price step 0.25 point

Lot size 50

Use the "Updatable Value block"

Conditions for entry, consecutive triggers:

1. Wait for the price increase by 10 points for 10 candles (from Open [-10] to High).

2. Then for the next 20 candles wait for a pullback to the SMA with a period of 20, built on the candles Low.

3. When the price touches the SMA

• Open a long position (Use the limit order entry).

• Exit the position by trailing stop with parameters: Stop loss 15, Trail enable 20, Trail loss 20. (use the "Trail Stop absolute" block)

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Compare your script with the Model Answer script

Download the file Lesson_9_Model_Answer.tscript to you PC without opening it. Then open TSLab and download the file by clicking the "Load from file" button. Open the script.

In this lesson you will learn:

• the purpose of optimization

• optimized and non-optimized parameters

• principles and features of optimization

• how to check the odds in your favour by testing the entry and exit points

• recommendations for avoiding over-optimization (curve fitting)

In this lesson you will learn:

• how to build a full script using the knowledge and technique you gained throughout this course

You will build a strategy that will have most of the key features learned in the previous lessons. It will include compression, references to previous values and, updatable values. The strategy is based on the breakout of the inside bar.

In this lesson you will learn:

• how to prepare your script for real-time trading

• how to set up a connection to a broker and live market data

• issues with past and live data

• how to make sure your script works fast

• trading settings for correct performance of the script

• how to create an Agent and configure its settings

• how to deploy your robot

In this lesson you will learn:

• how to find an absolute value

• how to build a counter without the "Updatable value" block"

• how to set a stop-loss at SMA

• how to create On-Balance-Volume (OBV) indicator

In this lesson you will learn:

• how to use various Math methods in TSLab

• how to define round levels and create channels

• how to filter a sideways price trend

• how to make a parabolic stop-loss or a trailing stop that trails on a parabola

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Practical Task

1. Using the Math class method, find the body range of the candle, regardless of its direction (bullish or bearish).

2. Build the round levels (the multiples of 10) above and below the price for the E Mini SP 500 Futures, ES.

   Download ES quotes from External Resources. Select ES 20170101_20180101_UTC.txt

3. Take a screenshot of your script and send it to your instructor

   
   

For task 2 use the following data provider settings if required:

Number of decimals: 2

Price Step: 0.25 point

Lot size: 50