Ultimate Algorithmic Trading System

on the next bar’s open. The only difference is the close must be below the 200-bar
moving average and the 3-bar moving average of the myBollingerB variable
must be greater than 1 - triggerVal.
There is a lot going on with this code. Any time you use the keyword if
it must be eventually followed by the keyword then. Initiating long positions
requires the keyword buy and short position requires the keywords sellShort.
You can give names to your entry and exit signals by following the keywords
Buy/SellShort/Sell/BuyToCover with the name of the signal enclosed within
quotes and parentheses. The buy signal is this example is ‘‘LongReversion’’ and
the short signal is named ‘‘ShortReversion.’’ This isn’t necessary but it does help
when you have multiple entry and exit signals. EL requires you to use the words
next bar or this bar on/at close whenever you direct TradeStation to initiate or
liquidate an existing position. When programming in EL, think of yourself sitting
in front of the computer screen right at the close of a bar. You can place a market
order immediately and get filled at the current close, you can place a market order
and get filled at the next bar’s open price, or you can place a limit or stop order for
the next bar. By limiting you from seeing the next bar (other than the open price),
TradeStation eliminates all risks of ‘‘Future Leak.’’ In other words, you cannot peek
into the future by looking at the next bar and make a trading decision on the current
bar. Both the VBA and Python back testers allow you to do this, not in order to
cheat, but to allow complete testing flexibility.
Take a look at the next section of code and see if you can tell what is going on.
If marketposition = 1 then
begin
end;
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;
If marketposition = -1 then
begin
end;
if myBollingerB < triggerVal then buyToCover("S-Exit")
next bar at market;
if c >= entryPrice + mmStop/BigPointValue then
buyToCover("MMS-Exit") next bar at market;
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AN INTRODUCTION TO EASYLANGUAGE
In Python, the keyword then would be replaced by the colon (:). Since the code
controlled by the if consists of more than one line of code, the keywords begin and
end must be used to encapsulate the code. For every begin there must be an end.
The begin and end informs the compiler that the code is related and must flow
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