End of day breakout

• 10/15/2016 at 1:48 PM #14939
  prolfs

  Hi Everybody,

  I have a simple breakout strategy that I am trying to code in PRT, but I’m struggling a bit with the ATR-stop loss and the position sizing (also uses ATR). I haven’t even attempted the position size part yet, as the system is closing orders at strange times…

  Here is the code and attached is a photo of the rules.

  Hope you can help me!

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //variables positionsize=2 fastMA=50 slowMA=100 DonchOpen=50 // Conditions to enter long positions C1 = close > Highest[DonchOpen](high[1]) indicator1 = ExponentialAverage[fastMA](close) indicator2 = ExponentialAverage[slowMA](close) C2 = (indicator1 > indicator2) if C1 and C2 then BUY positionsize PERPOINT AT MARKET endif // Conditions to exit long positions highpoint=max(tradeprice,Highest[DonchOpen](high[1])) atr = averagetruerange[100]*3 SL1 = highpoint - atr if longonmarket then sell at SL1 stop endif // Conditions to enter short positions C4 = close < lowest[DonchOpen](low[1]) indicator1 = ExponentialAverage[fastMA](close) indicator2 = ExponentialAverage[slowMA](close) c5 = (indicator1 < indicator2) if c4 and c5 then sellshort positionsize PERPOINT AT MARKET endif // Conditions to exit short positions lowpoint=min(tradeprice,lowest[DonchOpen](low[1])) atr = averagetruerange[100]*3 SL2 = lowpoint + atr if shortonmarket then sell at SL2 stop endif

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //variables positionsize=2 fastMA=50 slowMA=100 DonchOpen=50   // Conditions to enter long positions C1 = close > Highest[DonchOpen](high[1]) indicator1 = ExponentialAverage[fastMA](close) indicator2 = ExponentialAverage[slowMA](close) C2 = (indicator1 > indicator2) if C1 and C2 then BUY positionsize PERPOINT AT MARKET endif   // Conditions to exit long positions highpoint=max(tradeprice,Highest[DonchOpen](high[1])) atr = averagetruerange[100]*3 SL1 = highpoint - atr if longonmarket then sell at SL1 stop endif   // Conditions to enter short positions C4 = close < lowest[DonchOpen](low[1]) indicator1 = ExponentialAverage[fastMA](close) indicator2 = ExponentialAverage[slowMA](close) c5 = (indicator1 < indicator2) if c4 and c5 then sellshort positionsize PERPOINT AT MARKET endif   // Conditions to exit short positions lowpoint=min(tradeprice,lowest[DonchOpen](low[1])) atr = averagetruerange[100]*3 SL2 = lowpoint + atr if shortonmarket then sell at SL2 stop endif

   

  

  prolfs

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  05/12/2017 at 1:22 PM #35309
  DANY

  Just with a bit of late, sorry 😐

   

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //variables positionsize=2 fastMA=ExponentialAverage[50](close) slowMA=ExponentialAverage[100](close) AVGTRLong=averagetruerange[100] DonchOpen=50 // Conditions to enter long positions LGC1 = close > Highest[DonchOpen](high[1]) LGC2 = (fastMA > slowMA) if Not LongOnMarket AND (LGC1 and LGC2) then BUY positionsize CONTRACT AT MARKET LGatr = AVGTRLong*3 endif // Conditions to exit long positions if longonmarket then LGsl = tradeprice - LGatr //Graph tradeprice as "tradeprace" //Graph LGatr as "LGatr" //Graph LGsl as "LGsl" sell at LGsl stop endif // Conditions to enter short positions SHC1 = close < lowest[DonchOpen](low[1]) SHC2 = (fastMA < slowMA) if Not ShortOnMarket AND SHC1 and SHC2 then sellshort positionsize CONTRACT AT MARKET SHatr = AVGTRLong*3 endif // Conditions to exit short positions if shortonmarket then SHsl = tradeprice + SHatr Graph tradeprice as "tradeprace" Graph SHatr as "SHatr" Graph SHsl as "SHsl" exitshort at SHsl stop endif

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //variables positionsize=2 fastMA=ExponentialAverage[50](close) slowMA=ExponentialAverage[100](close) AVGTRLong=averagetruerange[100] DonchOpen=50   // Conditions to enter long positions LGC1 = close > Highest[DonchOpen](high[1]) LGC2 = (fastMA > slowMA)   if Not LongOnMarket AND (LGC1 and LGC2) then BUY positionsize CONTRACT AT MARKET LGatr = AVGTRLong*3 endif   // Conditions to exit long positions if longonmarket then LGsl = tradeprice - LGatr //Graph tradeprice as "tradeprace" //Graph LGatr as "LGatr" //Graph LGsl as "LGsl" sell at LGsl stop endif   // Conditions to enter short positions SHC1 = close < lowest[DonchOpen](low[1]) SHC2 = (fastMA < slowMA) if Not ShortOnMarket AND SHC1 and SHC2 then sellshort positionsize CONTRACT AT MARKET SHatr = AVGTRLong*3 endif   // Conditions to exit short positions if shortonmarket then SHsl = tradeprice + SHatr Graph tradeprice as "tradeprace" Graph SHatr as "SHatr" Graph SHsl as "SHsl" exitshort at SHsl stop endif

   

   

  

  DANY

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