Don’t forget to periodically delete the Cache folder inside TS 9.x. Remember this is inside C:\Program Files\TradeStation 9.1\Program…

# All posts by George Pruitt

# Volatility Break Out Day Trader

Here is a nice template to use when testing a volatility break out system to daytade. Note I haven’t yet finished the filter coding.

```
```

```
{OPEN RANGE BREAK OUT with Trade Management}
{:data1 = 5 minbars
:data2 = daily bars}
inputs: atrLookBack(10),brkOutAmt(.20),initProtStop$(500),profitThresh$(300),percentTrail(0.3),waitNumBars(3),endTradeEntryTime(1430);
inputs: tradeFilterNum(1);
{tradeFilterNum indicates how you want to
filter the trades:
filter #1 : prior day was a narrow range
filter #2 : prior day was a NR4
filter #3 : buy/sell day only base on today's open
filter #4 : combo of filter #1 and filter #3
filter #5 : combo of filter #2 and filter #3
}
vars: buysToday(0),sellsToday(0),atrVal(0),todaysOpen(0),canBuy(false),canSell(false);
vars: trailLong(false),trailShort(false),trailLongStop(0),trailShortStop(999999);
vars: myBuysToday(0),mySellsToday(0);
if tradeFilterNum = 1 then
begin
canBuy = false;
canSell = false;
if range of data2 < avgTrueRange(atrLookBack) of data2 and time < endTradeEntryTime then
begin
canBuy = true;
canSell = true;
end;
end;
if date <> date[1] then
begin
todaysOpen = open; {Capture Today's Open}
trailLongStop = 0;
trailShortStop = 9999999;
myBuysToday = 0;
mySellsToday = 0;
end;
if marketPosition = 1 then myBuysToday = 1;
if marketPosition = -1 then mySellsToday = -1;
atrVal = avgTrueRange(atrLookBack) of data2;
if canBuy and myBuysToday = 0 and marketPosition <> 1 then buy("BBO") next bar at todaysOpen + atrVal * brkOutAmt stop;
if canSell and mySellsToday = 0 and marketPosition <>-1 then sellshort("SBO") next bar at todaysOpen - atrVal *brkOutAmt stop;
if marketPosition <> 1 then trailLong = false;
if marketPosition <> -1 then trailShort = false;
if marketPosition = 1 then
begin
sell("LongExit") next bar at entryPrice - initProtStop$/bigPointValue stop;
if h > entryPrice + profitThresh$/bigPointValue then trailLong = true;
if trailLong then
begin
trailLongStop = maxList(trailLongStop,h - (h - entryPrice)*percentTrail);
sell("LongTrail") next bar at trailLongStop stop;
end;
end;
if marketPosition = -1 then
begin
buyToCover("ShrtExit") next bar at entryPrice + initProtStop$/bigPointValue stop;
if l < entryPrice - profitThresh$/bigPointValue then trailShort = true;
if trailShort then
begin
trailShortStop = minList(trailShortStop,l + (entryPrice - l)*percentTrail);
buyToCover("ShortTrail") next bar at trailShortStop stop;
end;
end;
setExitOnClose;
```

{finished}

# Zone Analysis System

I posted some research on zone analysis at www.futurestruth/wordpress.com. Based on this research I created a very simple system framework. Here is some trade examples and performance results for the past four years.

```
```//Zone Program by George Pruitt
// Buy when market opens in zone 1 and dips into zone 3
// Sell when market opens in zone 4 and rises into zone 2
vars: myZone1B(0),myZone2T(0),myZone2B(0),myZone3T(0),myZone3B(0),myzone4T(0);
vars:oz1cz1(0),oz1cz2(0),oz1cz3(0),oz1cz4(0);
vars:oz2cz1(0),oz2cz2(0),oz2cz3(0),oz2cz4(0);
vars:oz3cz1(0),oz3cz2(0),oz3cz3(0),oz3cz4(0);
vars:oz4cz1(0),oz4cz2(0),oz4cz3(0),oz4cz4(0);
vars:myBarCount(0),buysToday(0),sellsToday(0);
inputs: profitAmt$(1000),riskAmt$(500),stopEntryTime(1300);
if date <> date[1] then
begin
buysToday = 0;
sellsToday = 0;
myBarCount = 1;
end;
if(marketPosition = 1) then buysToday = 1;
if(marketPosition =-1) then sellsToday = 1;
if date<> date[1] then myBarCount = myBarCount + 1;
myZone1B = highD(1) + minMove/PriceScale;
myZone2T = highD(1);
myZone2B = (highD(1) + lowD(1))/2 + minMove/PriceScale;
myZone3T = (highD(1) + lowD(1))/2;
myZone3B = lowD(1);
myZone4T = lowD(1) - minMove/PriceScale;
//if openD(0) > myZone1B and low > myZone1B and myBarCount > 1 and sellsToday = 0 and time <> Sess1endtime then sellshort next bar at low stop;
//if openD(0) < myZone4T and high < myZone4T and myBarCount > 1 and buysToday = 0 and time <> Sess1endtime then buy next bar at high stop;
if openD(0) > myZone1B and low < myZone2B and myBarCount > 1 and buysToday = 0 and time < stopEntryTime then buy next bar at low limit;
if openD(0) < myZone4T and high > myZone3T and myBarCount > 1 and sellsToday = 0 and time < stopEntryTime then sellshort next bar at high limit;
myBarCount = myBarCount + 1;
//print(date," ",time," ",buysToday," ",openD(0) > myZone1B and low > myZone1B and myBarCount > 1 and buysToday = 0);
setProfitTarget(profitAmt$);
setStopLoss(riskAmt$);
setExitOnClose;

# Check out Futures Truth Blog

Futures Truth has started a new blog. Check it out at www.futurestruth.wordpress.com.

# Download Link From John Wiley for BWSwTS 2nd Ed. Source Code

I have had a few emails stating the link in the book wasn’t working correctly so here is the one I use and it seems to work fine. Please let me know if you have any problems. The password is in the back of the book.

http://www.wiley.com/WileyCDA/Section/id-813170.html

# King Keltner Source Code

Looking for a trend follower – give this one a try!

[LegacyColorValue = true]; {King Keltner Program King Keltner by George Pruitt -- based on trading system presented by Chester Keltner -- an example of a simple, robust and effective strategy} Inputs: avgLength(40),atrLength(40); Vars: upBand(0),dnBand(0),liquidPoint(0),movAvgVal(0); movAvgVal = Average((High + Low + Close)/3.0,avgLength); upBand = movAvgVal + AvgTrueRange(atrLength); dnBand = movAvgVal - AvgTrueRange(atrLength); {Remember buy stops are above the market and sell stops are below the market -- if the market gaps above the buy stop, then the order turns into a market order vice versa for the sell stop} if(movAvgVal > movAvgVal[1]) then Buy ("KKBuy") tomorrow at upBand stop; if(movAvgVal < movAvgVal[1]) then Sell("KKSell")tomorrow at dnBand stop; liquidPoint = movAvgVal; if(MarketPosition = 1) then Sell tomorrow at liquidPoint stop; if(MarketPosition =-1) then BuyTocover tomorrow at liquidPoint stop;

# Pyramaniac

Code to pyramid up to N contracts on a day trade basis.

input: maxSize(5),startTime(1000),endTime(1555); var: stb(0),sts(0),tpAmt(0),lprft(0),sprft(0); stb = High + minMove/priceScale; sts = Low - minMove/priceScale; print(date," ",time," ",stb," ",sts," ",currentShares); if (time > startTime and time < endTime ) then begin tpAmt = average(range,10); if(high>high[1]) then lprft = highD(0)+1*tpAmt; if(low < low[1]) then sprft = lowD(0) -1*tpAmt; if(currentShares < maxSize and c < average(c,9) and low < low[1] and close < close[1]) then buy("pyrabuy")next bar at sts limit; if(currentShares < maxSize and c < average(c,9) and high >high[1] and close > close[1]) then sellShort("pyrasell") next bar at stb limit; end; //if(currentShares >= maxSize and marketPosition = 1) then sell("longmaxliq") next bar sts stop; //if(currentShares >= maxSize and marketPosition =-1) then buyToCover("shortmaxliq") next bar stb stop; if(marketPosition = 1) then sell("longProf") next bar lprft limit; if(marketPosition =-1) then buytoCover("shortProf") next bar at sprft limit; setexitonclose;

# Final Version of Geo’s Turtle with Virtual Trading

Final version posted below. A little advanced but if you can follow and make sense of it then you are well along on becoming an EasyLanguage programmer.

inputs: absEntryChanLen(55),entryChanlen(20),exitChanLen(10), lastTradeLoserFilter(false),accountSize(100000),riskPerTradePer(.01); vars:lastTradeLoser(true),mp(0),virtmp(0),tradeProfit(0), virtBuyPrice(0),virtSellPrice(0), virtLongLiqPrice(0),virtShortLiqPrice(0), virtLongLoss(0),virtShortLoss(0), myFillPrice(0),N(0),N$(0),dollarRisk(0),lotSize(0), stopLoss(0),buyPrice(0),sellPrice(0), hh20(0),hh55(0),ll20(0),ll55(0),iCnt(0),initPrice(0),stopLossPts(0),debug(false); mp = marketPosition; if mp = 0 then begin N = AvgTrueRange(20); N$ = N*BigPointValue; dollarRisk = AccountSize * riskPerTradePer; lotSize = IntPortion(DollarRisk/N$); if lotSize < 1 then lotSize = 1; StopLoss = 2 * N$ * lotSize; StopLossPts = 2 * N * lotSize; hh20 = highest(high,entryChanLen); hh55 = highest(high,absEntryChanLen); ll20 = lowest(low,entryChanLen); ll55 = lowest(low,absEntryChanLen); end; If mp <> 1 and mp[1] = 1 then Begin tradeProfit = ExitPrice(1) - EntryPrice(1); lastTradeLoser = true; If tradeProfit > 0 then lastTradeLoser = false; if debug then print(date," Long Trader ",tradeProfit*bigPointValue," ",lastTradeLoser, " ExitPrice ",ExitPrice(1):6:6," entryPrice ",entryPrice(1):6:6); end; If mp <> -1 and mp[1] = -1 then Begin tradeProfit = EntryPrice(1) - ExitPrice(1); lastTradeLoser = true; If tradeProfit > 0 then lastTradeLoser = false; if debug then print(date," **** Short Trader ",tradeProfit*bigPointValue," ",lastTradeLoser, " mp ",mp," ",mp[1]); end; If lastTradeLoserFilter = False then lastTradeLoser = True; If lastTradeLoser = False then Begin if debug then print(date," In Virtual Section And VirtTmp = ",virTmp); If(virtmp = 1) then Begin virtLongLiqPrice = maxList(lowest(low[1],exitChanLen),virtLongLoss); if(virtualLongExit(virtLongLiqPrice,1,myFillPrice) =1) then Begin tradeProfit = myFillPrice - virtBuyPrice; If tradeProfit < 0 then lastTradeLoser = true; virtmp = 0; if debug then print(" Long Exit @ ",myFillPrice); end; end; If(virtmp = -1) then Begin virtShortLiqPrice = minList(highest(high[1],exitChanLen),virtShortLoss); if(virtualShortExit(highest(high[1],exitChanLen),1,myFillPrice) =1) then Begin tradeProfit = virtSellPrice - myFillPrice; If tradeProfit < 0 then lastTradeLoser = true; virtmp = 0; if debug then print(" ShortExit @ ",myFillPrice); end; end; if(virtualBuy(highest(high[1],entryChanLen),1,myFillPrice) = 1) then Begin if virtmp <> 1 then begin virtBuyPrice = myFillPrice; virtLongLoss = myFillPrice - 2*N; virtmp = 1; tradeProfit = 0; If virtmp[1] = -1 then tradeProfit = virtSellPrice - virtBuyPrice; If tradeProfit < 0 then lastTradeLoser = true; if debug then print(" Long @ ",myFillPrice); end; end; if(virtualSell(lowest(low[1],entryChanLen),1,myFillPrice) = 1) then Begin if virtmp <> -1 then begin virtsellPrice = myFillPrice; virtShortLoss = myFillPrice + 2*N; virtmp = -1; tradeProfit = 0; If virtmp[1] = 1 then tradeProfit = virtBuyPrice - virtSellPrice; If tradeProfit < 0 then lastTradeLoser = true; if debug then print(" Short @ ",myFillPrice); end; end; if debug then print("End of Virtual Module : virTmp = ",virTmp); end; for iCnt = 0 to 3 begin if lastTradeLoser then begin if mp <> -1 and currentContracts = iCnt * lotSize then begin buyPrice = hh20 + iCnt * N/2; end; if mp <> 1 and currentContracts = iCnt * lotSize then begin sellPrice = ll20 - iCnt * N/2; end; virTmp = 0; end; if lastTradeLoser = false then begin if mp <> -1 and currentContracts = iCnt * lotSize then begin buyPrice = hh55 + iCnt * N/2; end; if mp <> 1 and currentContracts = iCnt * lotSize then begin sellPrice = ll55 - iCnt * N/2; end; // virTmp = 0; end; end; if lastTradeLoser then begin if currentContracts < 4 * lotsize then Buy ("Turtle20Buy") lotSize contracts next bar at buyPrice stop; if currentContracts < 4 * lotsize then Sellshort ("Turtle20Sell") lotsize contracts next bar at sellPrice stop; if currentContracts < 4 * lotsize and debug then print(date," 20sellPrice ",sellPrice:6:6," ",currentContracts); end; if lastTradeLoser = false then begin if currentContracts < 4 * lotsize then Buy ("Turtle55Buy") lotSize contracts next bar at buyPrice stop; if currentContracts < 4 * lotsize then Sellshort ("Turtle55Sell") lotsize contracts next bar at sellPrice stop; if debug then print(date," ",iCnt," 55sellPrice ",sellPrice:6:6); end; If mp = 1 then Sell ("TurtleLExit") next bar at lowest(low,exitChanLen) stop; If mp = -1 then BuyToCover("TurtleSExit") next bar at highest(high,exitChanLen) stop; If mp = 1 then Sell ("TurtleLExit2N") next bar at entryPrice - stopLossPts stop; If mp = -1 then BuyToCover("TurtleSExit2N") next bar at entryPrice + stopLossPts stop;

# Developing Winning Trading Systems…. being translated into Chinese in 2014

Just got word the 2nd edition is being published in Chinese.

# One System From The Book

Just wanted to bring one of the systems that I developed for the book to everybody’s attention. This is a simple system that puts on two contracts and peels one off after a certain profit and then lets the other one ride. Its a mini-Russell system. Full code is disclosed in the book – source code can be imported into other applications. The object of this code is to demonstrate multiple contracts and money management techniques. Remember –