How to thinkScript - TTM_Squeeze Pro Backtesting - Episode 3

[@QuantApplicantMattKulis]

yooo this ones even better. John Carter is the Goat... finally figured out what TTM stands for... To The Moon!

[@rico932k11]

So much value in one video. Thank you!

[@TOSIndicators]

Thanks Justin! Glad you liked it.

[@WiReDApe]

That flipping abandoned baby. Gets me every time.

[@anthonyortiz1359]

Could the exit strategy be defined at when price hits 2 ATR? If so, how would I adjust the code to achieve that. Extremely helpful. Thank you!

[@TOSIndicators]

Yep! Your exitBullishTrade and exitBearishTrade variables would need to be modified to check if they are greater than or less than the 2 ATR value (and you can use an indicator like the Keltner Channels) to make that process easier. Something like high >= KeltnerChannels(factor = 2.0).upper_band and vice versa for the opposite side. You might find this tutorial to be helpful in familiarizing yourself with the KC code: kzbin.info/www/bejne/gonMiGmtg6qBn9U

[@anthonyortiz1359]

Appreciate the prompt reply. Subscribing 🤙🏻

[@sachin.bhagat]

Great video. Thank you so much!

[@TOSIndicators]

Thanks Sachin! Glad you enjoyed it.

[@bizcochodulce]

Thanks for the video! Is there any way to combine different time frames? I mean, to backtest a strategy that execute the buy order at the one hour chart (the cross between 9EMA and 20EMA) only if the daily chart is above the 200 MA. (Just an example). Thanks in advance

[@adc9640]

Very clearly explained! Can you apply similar backtesting to option trading as well?

[@TOSIndicators]

I'm not sure of a way to use the strategy component to backtest options in TOS, but you can use the thinkback feature in the "Analyze" tab to get EOD historical option pricing.

[@15minoffame]

Excellent video as always. The only thing I wish you would add are labels showing W, L, % Gain/Loss and Avg Days in trade but maybe that's for another day. (1/4/23)

[@TOSIndicators]

Hi Tuan, thank you! Glad you liked it. We actually have a tutorial showing you how to add the trade stat labels in the squeeze course here (Module 13) - www.tosindicators.com/squeeze-course

[@fabianflores-jasso4057]

This is a superb video, thank you so much! I have a question. I have been trying to customize my own strategies, and they work best when I include extended hours when I back test them with the Float P/L. However, when I try to actually create the strategy to open and close orders in papermoney, I cant get it to work because market orders only work during Day, and not Extended hours. Is there a way to tweak the script or settings so that it buys/exits at ask/bid prices during extended hours? Thank you very much.

[@TOSIndicators]

Hi Fabian - Are you using the Automated Triggers to do this? I have seen that my alerts have more "glitches" with any trades for after hours (with equities). The only easy trick that I've found is to make sure that you have extended hours turned on for the actual chart. On the contrary, for some of these backtests, we've created a variable to only trade during cash session, to avoid not only those glitches, but noise signals. Hope that helps, and thank you for the support!

[@fabianflores-jasso4057]

@@TOSIndicators I´m not sure what automated triggers are (looked for it on google and didn't find anything coherent). I tried what you mentioned in your previous reply, and it worked better. I have yet another question though. I automated real trading with paper money for ma strategy, several stocks that complied with that strategy triggered and exited as expected (some won, some lost). The problem I found was that they only executed one entry/exit cycle, and even though more entry signals appear continuously, no buy or sell is triggered. I used GTC and 1st triggers all expecting it would iterate the entry/exits signals as it would do in the chart strategy and accumulate profits or losses, but it doesn't work. How can I make to iterate the entries and exits? What am I doing wrong? Thanks again

[@neuvocastezero1838]

Looks great, but for some reason, there are no order entries when I try it, regardless of what time frame selected or variables input. There are no code errors, and I even made an indicator to verify the the bear and bull signals are being triggered. Thanks though.

[@TOSIndicators]

You can download the TTM Squeeze Backtester directly from our website (tosindicators.com/backtesters/ttm-squeeze-backtester), and compare with your version to see where your code is different. I just tested on my end on a daily chart of SPY going back 5 years, and saw entries/exits plotting as expected.

[@anetapiotrowska655]

Hi, such a great video! Really valuable information. How about including Bollinger Bands and the option when BB are inside Keltner Channels and then you enter the trade. How would the code look like?

[@TOSIndicators]

Glad you liked it! To integrate the Bollinger Bands, you should be able to use the built-in indicator, and reference that directly using the BB's plots. Here's a link to the tlc doc for the Bollinger Bands, with the available plots (you can also find the Keltner Channels here): tlc.thinkorswim.com/center/reference/Tech-Indicators/studies-library/A-B/BollingerBands

[@badbolly1983]

TTM_Squeeze by definition is the composite indicator that tells you when BB are inside Keltner or not.

[@okeyhomeykid]

Hey, great video! I have a question about exiting from the trades. When I run the strategy the SELL_TO_CLOSE price of 1.03 * entryPrice() is sometimes outside the price range for the given exit time, and this affects the P/L . Would it make more sense to have the exit price be the closing price for the exit time interval? Thanks.

[@TOSIndicators]

You should be able to solve that by using the boolean condition parameters of the "AddOrder()" function, to check whether price has hit your target (ie. close >= 1.03*entryPrice()). Here's a link on the TOS documentation on the AddOrder() function. tlc.thinkorswim.com/center/reference/thinkScript/Functions/Others/AddOrder

[@RonWikso]

Great video. Thank you so much for all your efforts on this! I do have a couple of questions, though. The title says that you're backtesting the Squeeze Pro but it looks to me like you're using the regular TTM Squeeze that's available free in TOS. Is that right? Do you have anything that backtests the Squeeze Pro? Have you done it for day trading futures? Thank you!

[@TOSIndicators]

Hi Ron, Per JC, the Squeeze Pro is a group of settings that have backtested better than the original TTM_Squeeze. You can use the above backtester to try and find settings of your own, that work best for whichever ticker you are looking at. Hope that helps! If you have specific questions regarding settings, feel free to e-mail us at [e-mail] and we can share what we've found to be the best settings.

[@seriousaf4939]

Can you set up TOS to trade for you? So lets say you have a good percentage strategy. can you set TOS to actually make the buys and sells for that strategy?

[@TOSIndicators]

Here's an overview of the automated trading possible with TOS: tosindicators.com/indicators/automated-trading

[@ALEXSHUNCAI]

Hi TOS, Thank you for this great presentation, I tried to look deep into the code, I found the following may have caused some errors: Addorder(ordertype.sell_TO_CLOSE, high>=entryprice() + entryprice()*0.03,entryprice()+entryprice()*0.03,100); if you read the report, the difference between the buy_open and sell_close price isn't 3%, tried a few reports and see if the things can add up, but actually not. Could you explain to me why is that? again, great presentation, I like it.

[@TOSIndicators]

Hi Alex - the strategies in TOS should be treated as rough backtests to help you gauge on a quick level whether or not your strategy is profitable. If you do find some of those discrepancies, you can dial in closer to each trade to see what may be causing the errors (chart bubbles are awesome debugging tools), and then start to build in fixes for that code.

[@markhoffman2309]

Excellent!

[@TOSIndicators]

Thanks Mark!

[@richardaron5095]

Is this for options or can it be used for day trading?

[@TOSIndicators]

You can use the squeeze for both day-trading, along with swing trading with options. If you have more specific questions, you can e-mail us at [e-mail]

[@kevinjablonski8242]

I'm using TOS' built-in TTM_squeeze, does it need to be modified to work? I'm getting different values than you do.

[@TOSIndicators]

I don't believe so - only place where we modify the squeeze is in the Squeeze Course. For this tutorial, it should be using the baseline TTM_Squeeze built-in study. You can also download the final version of the code here to compare side by side with your own: tosindicators.com/indicators/ttm-squeeze-backtester

[@H_Doggy_Dogg]

Awesome video, was wondering if you could make an indicator similar to The "ready aim fire" that John Carter uses. Thanks!!

[@TOSIndicators]

Hi Harley, Try applying the built-in study, "FW_FisherTransformer" on your charts. FYI - that indicator was also created by David, and is available for free with your TOS account. You can then try adjusting the settings to see which entries better fit your trading style. Hope that helps!

[@H_Doggy_Dogg]

Thanks for the reply, could you assist me with best settings for swing trading?

[@H_Doggy_Dogg]

@@TOSIndicators I just checked out that transformer indicator. It looks like a multiple timeframe oscillator. There are no buy sell signals, as in the "ready, aim, fire" indicator. was wondering if you could create something similar to the market cycle indicator, where the indicator or the line under the price action changed colors based on the ready condition, then the aim condition, then finally a fire indicator arrow that alerts you to get in. I could set that up in a daily and a 30min chart and watch the charts. of course you would have to differentiate between the major buy signals and the Minor buy signals of course....idk I hope you can do something similar cuz that indicator is way too expensive. Thanks 😊

[@TOSIndicators]

@@H_Doggy_Dogg Hi Harley - send us an e-mail at [e-mail] and we can share some screenshots there.

[@khuptoung1300]

could you do moving average multi-timeFrame indicator ?

[@ericrose6979]

are you able to use this method but instead of using the squeezy can you use the PPS indicator?

[@TOSIndicators]

Hi Eric - you should be able to use the concepts from this video & plug in the PPS indicator instead, to build a similar backtester.

[@ericrose6979]

@@TOSIndicators honestly I don't think its possible with the pps indicator but I would like to know how to do that or if you can point me to another video that would be helpful! I'd like to try to do the same thing with the TTM scalp indicator if possible.

[@TOSIndicators]

@@ericrose6979 You should be able to use the bull / bear plot signals built into the the PPS() indicator to create a mini-backtester.

[@MEHJABIN]

how do I backtesting this stratgey from previous years like 2015-2020 in thinkorswim?

[@dumbcat]

sign into your live account (not papermoney) then click the 'OnDemand' button in the upper right. next to the button is a date setting that allows you to view historic prices

[@tayharrison4526]

I'm having trouble opening the file...bc the file type is unsupported, the file extension is incorrect or the file is corrupt...and even when I save it to This PC and go to TOS to download it there's nothing there...any chance you can help

[@TOSIndicators]

You can download and import the STRATEGY.ts file into TOS using the "Import" button.

[@justinturner93]

Do you have that script any where? The website download file seems to not be working...

[@TOSIndicators]

Just tried downloading the strategy, and was able to import it successfully without any errors. Feel free to email if you have any questions around the process.

[@jimj.6412]

how would you add in a 3 candle candle stick pattern like an abandoned baby pattern as a buy signal

[@TOSIndicators]

Hi Jim - you could use the thinkScript pattern code, into the strategy code, and add that to the AddOrder() boolean conditions.

[@jimj.6412]

@@TOSIndicators Thanks for your time. I am just getting started with thinkorswim so you are still over my head, I know how to make the candlestick patterns in TOS , can use them in a to scan for stocks, but my attempt at putting them in a back testing strategy is a total failure. but I will work on it, Thank you.

[@rudyperez3329]

How can I add a macd crossover as my exit signal

[@TOSIndicators]

You would need to code that in as a boolean exit condition (probably split between a bullish & bearish exit), which can be plugged into the closing AddOrder() statements

[@rudyperez3329]

Alright thank you:)

[@davidditchleyiii2252]

So basically John Carter is full of it when it comes to the squeeze?

[@charlesmcfarland1430]

how do i replace the add order code to show buy and sell cloud

[@TOSIndicators]

Hi Charles - not sure what you mean by buy and sell clouds. Thinkscript strategies require an "AddOrder()" component, if you'd like to see P/L. If you're referring to the floating P/L, you can enable that from the study's menu, under "Global Strategy Settings." If you remove the AddOrder() code altogether, that turns this into a study, not a strategy, which is ineffective for backtesting.

[@H_Doggy_Dogg]

Hello again, is there any way you could create a multi time frame squeeze indicator, that shows when a stock is in a squeeze on like 4 timeframes? Like maybe 4 rows of dots that are either green or red? Thanks

[@TOSIndicators]

Hi Harley - great timing! We released our newest tutorial yesterday, which includes a framework for using multi-time frames. Here's a link - tosindicators.com/indicators/mtf-dmi You should be able to use that framework, but plug-in the indicator code (squeeze in this case) and have the multiple time frame analysis ready to go. You have our e-mail, feel free to send us a note if you hit any roadblocks along the way!

[@BryonLape]

I feel doomed to never understand the TTM Squeeze.