Ultimate Algorithmic Trading System

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moc—Market On Close order. Execute the order at the closing price of the
bar. Specify myClose(i) as the trade price.
mkt—Market order. Executes at the opening of the bar. Specify myOpen(i)
as the trade price.
The final argument is always the letter i, the current bar in the loop.
If marketPosition <> 1 Then
Call Trade(Buy, "BB-Buy", upBand, stp, i)
End If
This order is only placed if the current marketPosition is not equal to 1 or long.
In other words, don’t place a Buy order if you are already long. Unfortunately, this
version of the ESB doesn’t allow pyramiding; however, future versions will have
this capability. Entering a short position uses the same subroutine but the arguments
are different:
If marketPosition <> -1 Then
Call Trade(Sell, "BB-Short", dnBand, stp, i)
End If
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
Here we are trying to Sell short at the lower Bollinger Band on a stop. That’s it
for the trade entries. Simple, thus far? Once you get into a trade, this algorithm has
three different ways to exit:
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A $2,000 money management stop—any time the market moves $2,000 against
the position it is exited.
Time-based market order (MOC)—if the position is not profitable after 10 bars,
the trade is exited on the close.
Reversal if the opposite side of the Bollinger Bands is penetrated before an exit is
executed.
If marketPosition = 1 Then
Call Trade(ExitLong, "ExitLongStop", entryPrice -
2000 / myTickValue, stp, i)
If barsLong > 10 And myClose(i) < entryPrice Then
Call Trade(ExitLong, "10dayLgOut", myClose(i),
End If
End If
moc, i)
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