Here is the translated code for ProOrder:
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defparam cumulateorders=false bollingerLengths=50 liqLength=50 rocCalcLength=30 avg = average[bollingerLengths] upBand = avg+std[bollingerlengths]*1.25 dnBand = avg-std[bollingerlengths]*1.25 rocCalc = Close - Close[rocCalcLength-1]// {remember to subtract 1} if(not longonmarket and rocCalc > 0) and close<upBand then Buy 1 contract at upBand stop endif if(not shortonmarket and rocCalc < 0) and close>dnBand then SellShort 1 contract at dnBand stop endif if not onmarket then liqDays = liqLength else liqDays = liqDays - 1 liqDays = Max(liqDays,10) endif if(longonmarket = 1 and Average[liqDays] < upBand) then Sell at Average[liqDays] stop endif if(shortonmarket = -1 and Average[liqDays] > dnBand) then exitshort at Average[liqDays] stop endif |
What timeframe and instrument suits the best the strategy? For what purpose it was designed for?
