Ultimate Algorithmic Trading System

if marketPosition <>-1 and linearRegSlope(c,linearSlopeLength)
< 0 then
Sellshort("ShortEntryLevel") tomorrow at shortLevel stop;
If marketPosition =-1 then
begin
buyToCover("S-ATR-Stop") next bar at entryPrice+numAtrStop
*avgTrueRange(atrLen)
stop;
if maxContractPoints >= numAtrProfThreshold *
avgTrueRange(atrLen) then
begin
value1 = entryPrice - (maxContractPoints-numAtrTrail *
avgTrueRange(atrLen));
buyToCover("S-Trail-Stop") next bar at value1 stop;
end;
end;
This algorithm incorporates a volatility-based protective and trailing stop. EL
keeps track of the maximum profit a position achieved during the duration of a trade,
and stores it in the keyword maxContractProfit. The profit is expressed in terms
of dollars, and to get it in terms of points you have to divide by the bigPointValue
of the underlying instrument. If the maxContractProfit achieves a level equal to,
in this case, five ATRs, then a trailing stop is engaged to trail the highest point in the
trade by two ATRs. If you don’t want to use volatility in the stop calculations, you
can use dollars. Here is the snippet of the code that engages the trailing stop:
if maxContractPoints >= numAtrProfThreshold*
begin
end;
avgTrueRange(atrLen) then
value1=entryPrice + (maxContractPoints-numAtrTrail *
avgTrueRange(atrLen));
sell("L-Trail-Stop") next bar at value1 stop;
223
AN INTRODUCTION TO EASYLANGUAGE
If the maxContractPoints is greater than the threshold profit level, then the
trailing stop level is calculated using the following formula:
value1 = entryPrice + (Highest level during trade – 2*ATR)
As the market continues to climb, so does value1 staying 2 ATR below the highest
point achieved. Once the market stops climbing, value1 locks into place and waits
for the market to take out the trailing stop.
Once you master just the fundamentals of programming and a few concepts
that are intrinsic to a particular language, you then have most of the tools to test
www.rasabourse.com