Ultimate Algorithmic Trading System

standard deviations. In our example, we are using the closing prices, a five-bar
lookback, and positive one and negative one standard deviations.
myBollingerB = BollingerB(c,5,1,-1);
The BollingerB function returns a value between a negative value and a positive
value and 1.00 which indicates the location of the current bar’s close in relation to
the upper and lower Bollinger Bands. The lower the value, the closer it is to the
lower band. The higher the value, the closer it is to the upper band.
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;
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AN INTRODUCTION TO EASYLANGUAGE
You might not be able to tell by this code snippet, but EL follows the bar-by-bar
programming paradigm. The keyword If might have given you a hint, though. If you
have read the chapter on AmiBroker, you know you usually don’t use the keyword
If when dealing with array programming. When you use the data arrays (open, high,
low, close, volume, or opInt) without an index variable you are simply looking at
the very last day of data up to that point in the master loop.
C is the same as C[0]. The [0] is optional. Since there is an implied index, you
can be assured you are not dealing with array programming. The lack of the index
for the last value in the arrays makes EL look more like English. Take a look at the
following line of code:
If close > average(c,200) then buy next bar at open;
Doesn’t this look like English? You bet it does. Hence, the name EasyLanguage.
The language is simple on the surface, but can become much more complicated as
the complexity of the algorithm increases. This is a good thing—EasyLanguage isn’t
necessarily easy, but it’s not weak by any stretch of the imagination. And it’s getting
more powerful every year.
These lines of code direct TradeStation to check the current market position, and
if it is flat, to check if today’s close > the 200-bar moving average and the 3-bar
moving average of myBollingerB is less than the triggerVal. In this example,
the triggerVal is set to 0.2. If the criteria are met, then a market order to buy is
placed for the next bar’s open. A similar criterion is used to initiate a short position
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