Ultimate Algorithmic Trading System

range day and initially puts on two contracts and then pulls one off after a certain
profit level and then lets the second contract run its course. It is out on the close
no matter what. This algorithm incorporates trade management in the form of
protective stop, breakeven stop, and trailing stop (Box 3.6).
Box 3.6 Day trading the mini Russell
CanTrade = False
CanBuy = False
CanShort = False
If yesterday’s True Range < MAV(TR,10), then CanTrade = True
If yesterday’s close >= prior day’s close, then CanBuy = True
If yesterday’s close < prior day’s close, then CanShort = True
If CanTrade, then
If CanBuy, then buy 2 units tomorrow at open +0.2 *MAV(TR,10) stop
If CanShort, then sell short 2 units tomorrow at open −0.2*MAV(TR,10)
stop
If market position = long
If current size = 2 units, then
If H of 5 minute bar > entryPrice + 4.00, then
exitLong 1 unit at H of day – 4.00 on a stop
If current size = 1 unit, then
exitLong at entryPrice stop or MOC
If market position = short
If current size = 2 units, then
If L of 5 minute bar <= entryPrice – 4.00, then
exitShort 1 unit at L of day + 4.00 on a stop
If current size = 1 unit, then
exitLong at entryPrice stop or MOC
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COMPLETE TRADING ALGORITHMS
How about a system that lets the Commitment of Traders Report (COT) guide its
directional trades—one that only trades in the direction of the commercial interests?
If the net commercial position is positive, then only take long positions, and vice
versa. This type of trading system uses the COT as a sentiment indicator. Several
trading platforms allow you to import the COT data. This system will be included
on this books companion website and www.georgepruitt.com.
www.rasabourse.com