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;
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 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;
Backtesting with [Trade Station,Python,AmiBroker, Excel]. Intended for informational and educational purposes only!
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Announcement – A Trend Following edition has been added to my Easing into EasyLanguage Series! This edition will be the fifth and final installment and will utilize concepts discussed in the Foundation editions. I will pay respect to the legends of Trend Following by replicating the essence of their algorithms. Learn about the most prominent form of algorithmic trading. But get geared up for it by reading the first four editions in the series now. Get your favorite QUANT the books they need!
The Foundation Edition. The first in the series.
This series includes five editions that covers the full spectrum of the EasyLanguage programming language. Fully compliant with TradeStation and mostly compliant with MultiCharts. Start out with the Foundation Edition. It is designed for the new user of EasyLanguage or for those you would like to have a refresher course. There are 13 tutorials ranging from creating Strategies to PaintBars. Learn how to create your own functions or apply stops and profit objectives. Ever wanted to know how to find an inside day that is also a Narrow Range 7 (NR7?) Now you can, and the best part is you get over 4 HOURS OF VIDEO INSTRUCTION – one for each tutorial.
Hi-Res Edition Cover
This book is ideal for those who have completed the Foundation Edition or have some experience with EasyLanguage, especially if you’re ready to take your programming skills to the next level. The Hi-Res Edition is designed for programmers who want to build intraday trading systems, incorporating trade management techniques like profit targets and stop losses. This edition bridges the gap between daily and intraday bar programming, making it easier to handle challenges like tracking the sequence of high and low prices within the trading day. Plus, enjoy 5 hours of video instruction to guide you through each tutorial.
Advanced Topics Cover
The Advanced Topics Edition delves into essential programming concepts within EasyLanguage, offering a focused approach to complex topics. This book covers arrays and fixed-length buffers, including methods for element management, extraction, and sorting. Explore finite state machines using the switch-case construct, text graphic manipulation to retrieve precise X and Y coordinates, and gain insights into seasonality with the Ruggiero/Barna Universal Seasonal and Sheldon Knight Seasonal methods. Additionally, learn to build EasyLanguage projects, integrate fundamental data like Commitment of Traders, and create multi-timeframe indicators for comprehensive analysis.
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Trend Following Cover.
For thirty-one years as the Director of Research at Futures Truth Magazine, I had the privilege of collaborating with renowned experts in technical analysis, including Fitschen, Stuckey, Ruggiero, Fox, and Waite. I gained invaluable insights as I watched their trend-following methods reach impressive peaks, face sharp declines, and ultimately rebound. From late 2014 to early 2020, I witnessed a dramatic downturn across the trend-following industry. Iconic systems like Aberration, CatScan, Andromeda, and Super Turtle—once thriving on robust trends of the 1990s through early 2010s—began to falter long before the pandemic. Since 2020 we have seen the familiar trends return. Get six hours of video instruction with this edition.
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