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.

ZoneWinner

ZoneLoser

ZonePerformance

 

 

 

 

 

//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;

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;

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 –

THERE IS A SUBSTANTIAL RISK OF LOSS IN TRADING. IT IS IN THE NATURE OF COMMODITY TRADING THAT WHERE THERE IS THE OPPORTUNITY FOR PROFIT, THERE IS ALSO THE RISK OF LOSS. COMMODITY TRADING INVOLVES A CERTAIN DEGREE OF RISK, AND MAY NOT BE SUITABLE FOR ALL INVESTORS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THE HIGH DEGREE OF LEVERAGE THAT IS FOUND IN FUTURES (BECAUSE OF SMALL MARGIN REQUIREMENTS) CAN WORK AGAINST YOU AS WELL AS FOR YOU. I.E. YOU CAN HAVE LARGE LOSSES AS WELL AS LARGE GAINS.

GeoRussell

This Code Uses A Loop To Calculate Buy/Sell Levels Based on Current Position

Instead of doing this:

if currentshares = LTT then begin 
 buy("B-20A.5") LTT shares next bar highest(h,20)[BB] + (0.5*N) or higher; 
 buy("B-20A 1") LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher; 
 buy("B-20A1.5") LTT shares next bar highest(h,20)[BB]+ (1.5*N) or higher; 
 end; 
 if currentshares = LTT * 2 then begin 
 buy("B-20B 1") LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher; 
 buy("B-20B1.5") LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher; 
 end; 
 if currentshares = LTT * 3 then 
 buy("B-20C1.5") LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher; 
end;

Just do this:

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;		
	end;
end;
if lastTradeLoser then
begin
	if currentContracts < 4 * lotsize then Buy ("Turtle20Buy") lotSize contracts next bar at buyPrice stop;
end;

Instead of having multiple buy orders at different levels -simply change your buy levels using the for-next loop and issue just one order. Only problem is you can only issue one buy order per bar. Whereas the former approach will place multiple orders for the next bar. Usually this will not cause a problem unless your buy/sell levels are very close. The use of the for-next loop is up to one's own programming style. I like the for-next loop.

A For-Loop to Calculate Different Buy/Sell Levels – Turtle Style

Can you figure out what this is doing?

 

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;

Backtesting with [Trade Station,Python,AmiBroker, Excel]

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