Ultimate Algorithmic Trading System

If marketPosition =-1 then
begin
end;
If c < entryPrice - 3* avgTrueRange(10) then
buyToCover this bar on close;
if c > entryPrice + 1* avgTrueRange(10) then
buyToCover this bar on close;
This algorithm covers long positions whenever the market closes above the
entryPrice plus 3 ATRs, or when it closes below the entryPrice minus 1 ATR.
The same technique is programmed for short trades as well. This algorithm risks
one ATR to achieve three.
The following algorithm is a simple 20-day Donchian breakout that only takes
trades in the direction of the 14-day slope of closing prices. The interesting part of
the algorithm is found in the trade management.
222
AN INTRODUCTION TO EASYLANGUAGE
Inputs: linearSlopeLength(14),channelLength(20);
Inputs: atrLen(10),numAtrStop(3),numAtrProfThreshold(5),
numAtrTrail(2);
vars: buyLevel(0),shortLevel(0),maxContractPoints(0);
buyLevel = Highest(High[1],channelLength);
shortLevel = Lowest(Low[1],channelLength);
if marketPosition <> 1 and linearRegSlope(c,linearSlopeLength)
> 0 then
Buy("BuyLevelEntry") tomorrow at buyLevel stop;
maxContractPoints = maxContractProfit / bigPointValue;
If marketPosition = 1 then
begin
sell("L-ATR-Stop") next bar at entryPrice-numAtrStop *
avgTrueRange(atrLen) stop;
if maxContractPoints >= numAtrProfThreshold *
avgTrueRange(atrLen) then
begin
value1=entryPrice + (maxContractPoints-numAtrTrail *
avgTrueRange(atrLen));
sell("L-Trail-Stop") next bar at value1 stop;
end;
end;
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