Here is a system that came across my desk a few days ago. The code here is EasyLanguage for TradeStation but the system logic is quite simple:
Code:
{Strategy inputs}
Inputs:
P1 (98),
P2 (22),
myFraction (1.75),
SL(600);
{Strategy variables}
Vars: myPOI(0),
myDistance (0),
BO_level (0),
EntryCondLong (false);
{Point Of Initiation}
myPOI = CloseD(1); //Yesterday´s daily CLOSE
{Distance}
myDistance = AvgTrueRange(14) * myFraction;
{Entry breakout level – calculates WHERE to enter}
BO_level = myPOI + myDistance;
{Entry condition – calculates WHEN to enter}
EntryCondLong = DMIPlus(P1)<= DMIMinus(P2);
{Entry order - enter WHEN and WHERE criteria met}
If (MarketPosition = 0 or time = SessionEndTime(0, 1)) and EntryCondLong then Buy next bar at BO_level stop;
{Exits - Exit on STOPLOSS or AT THE END OF THE DAY}
setstoploss(SL);
SetExitOnClose;
Setup:
DMIPlus of 98 days needs to be less than/equal to DMIMinus of 22 days (these appear to be optimised)
Trigger:
Buy when prices rise above yesterdays high by the average range of the last 14 days * 1.75 (basic range expansion trigger)
Exit:
Hard dollar stop loss of $600 (probably optimised)
or
End of Day
Initial Impression
> there appears to be a few optimised variables here
> $600 hard stop probably won’t come into play and could even be ignored (i.e. better to run MAE analysis on a portfolio level)
> The use of the DMI is quite unusual so would be interested to see what benefit that has
.
