Ultimate Algorithmic Trading System

If you have imported the companion code properly, select MyMeanReversion1
strategy and click OK. The following code listing should now be on your screen.
{This algorithm trades in the direction of
the longer term trend but buys/shorts on dips
and rallies. The indicator BollingerB returns
the location of the current bars close in relation
to the 5-bar Bollinger Band. If the trend
is up and the current close is near the bottom
BBand it will buy. If the trend is down and the
close is near the upper BBand it will Short.}
Inputs:Length(5),mmStop(2000),triggerVal(0.25),triggerSmooth(3);
Vars: myBollingerB(0);
myBollingerB = BollingerB(c,5,1,-1);
If MarketPosition = 0 and close > average (close,200) and
average(myBollingerB,triggerSmooth) < triggerVal then
buy("LongReversion") next bar at market;
If MarketPosition = 0 and close < average (close,200) and
average(myBollingerB,triggerSmooth) > 1 - triggerVal
then sellShort("ShortReversion") next bar at market;
If marketposition = 1 then
begin
If myBollingerB > 1 - triggerVal then sell("L-Exit")
next bar at market;
If c <= entryPrice - mmStop/BigPointValue then
sell("MML-Exit") next bar at market;
end;
If marketposition = -1 then
begin
if myBollingerB < triggerVal then
buyToCover("S-Exit") next bar at market;
if c >= entryPrice + mmStop/BigPointValue then
buyToCover("MMS-Exit") next bar at market;
end;
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AN INTRODUCTION TO EASYLANGUAGE
A portion of the strategy or algorithm is shown in Figure 7.5.
You can easily see how the blocks of code are outlined. There’s a small box
with a ‘‘-’’ symbol and a vertical line connecting the related block of code together.
Outlining also allows you to hide the blocks of code if you wish to do so, again
adding to the readability of the code. You can hide the block of code that is being
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