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}

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

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

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;

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

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.

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.