Ultimate Algorithmic Trading System

Buy = COND1 AND COND3;
Short = COND2 AND NOT(COND3);
BuyPrice = C;
ShortPrice = C;
longEntryPrice = ValueWhen(Buy,BuyPrice,1);
shortEntryPrice = ValueWhen(Short,ShortPrice,1);
Buy = ExRem(Buy,Short);
Short = ExRem(Short,Buy);
The Buy array is filled with 1’s when a pivot low has formed below zero in the
histogram and the current price is below the 100-day moving average. The Short
array is filled with 1’s when a pivot high has formed and the current price is below
the 100-day moving average. The longEntryPrice is captured when Buy is set
to 1. The ValueWhen function returns the second array value when the first array
is set to 1. You must use the ExRem function to remove redundant Buys and
Shorts. In other words, only turn subsequent Buys on or Shorts on when the existing
long/short positions are either liquidated or reversed.
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AMIBROKER
Sell = Cross(C, longEntryPrice - 3 * ATR(10));
Cover = Cross(ShortEntryPrice + 3 *ATR(10),C);
Buy = ExRem(Buy,Sell);
Short = ExRem(Short,Cover);
AddColumn(longEntryPrice,"BuyPrice");
AddColumn(longEntryPrice - 3 * ATR(10),"longStop");
AddColumn(Sell,"Sell ?");
Sell array (long liquidation) is turned on when the close crosses 3 ATR below the
longEntryPrice.
■ Position Sizing in Futures Mode
Here is the exact formula used to apply an ATR Risk-Based Fixed Fractional money
management scheme to a trading algorithm.
RiskPerContract = 2 * ATR(10);
PositionRisk = 1;
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