Ultimate Algorithmic Trading System

218
AN INTRODUCTION TO EASYLANGUAGE
through all the lines in the block. If the current market position is 1 or long, then
TradeStation in instructed to exit the long position if one of two criteria are met:
1. If myBollingerB > (1 – triggerVal) or 0.8, then the long is liquidated on the next
bar’s open.
2. If the difference between the current close price is less than the entryPrice –
2000/bigPointValue, then the long is liquidated on the next bar’s open.
The short liquidation occurs in a similar manner. If myBollingerB < 0.2 or the
close is greater than the entryPrice + 2000/bigPointvalue. That’s the entire mean
reversion system that we introduced in Chapter 3.
Another key and cool feature of EL is that all variables are special arrays. When
you declare the variable myBollingerBand in the vars: section, you are informing
the compiler to create an array with the name myBollingerBand. This is a
special array because you don’t need to worry about keeping track of the values
in the array. The value is carried over from one bar to another until it is changed.
Because myBollingerBand is an array, you can access the prior bar’s value by
indexing the variable name. The prior bar’s myBollingerBand value is accessed
by myBollingerBand[1]. These variables can be referred to as bar arrays.
Once you type your code in and want to see if it Verifies or compiles, all you
need to do is go up under the Build menu and select Verify. If all goes well, you
will see this dialog (Figure 7.11).
If not, then you might see what’s in Figure 7.12. TradeStation is politely informing
you that you have made a syntax error. If you double-click on the error, the EL
Editor will take you directly to the offending line with the error. The error message
also informs you of the line number. If you want the EL Editor to show line numbers,
go under the Tools menu and select Options. A dialog window like the one in
Figure 7.13 will open.
Click on Line Numbers. The EL Editor has added the capability of grouping
strategies, indicators, and functions together in a neat package known as a Project.
If you build a strategy that calls in a lot of external functions, then putting the strategy
FIGURE 7.11 A message confirming that your code was verified and will be recalculated based
on the new inputs.
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