SMA and ATR system: translate

Author: badyami

Creation Date: 5/5/2011 3:55 AM

Wealth Lab » Trading Strategies » SMA and ATR system: translate

badyami

5/5/2011 3:55 AM

Could someone help me to write the following ATR based in and out strategy with money management ?
Thanks,

I have the Prorealtime's code :

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Could someone help me to write the following ATR based in and out strategy with money management ?
Thanks,

I have the Prorealtime's code :

[CODE]// BackTest  SMA and ATR	
// Parameters : x,  y, Alpha, Beta				
						
Price=25	// DAX’s Price for example					
Deposit=5000		// for example				
						
PerteMax = 0.01 // Risk Max (%) for one position						
TailleMax = 0.05	// Position Max (%) of capital

// OPT ATR Backtest						
						
Price=25						
Deposit=5000						
						
PerteMax = 0.01						
TailleMax = 0.05						
						
OPT = PriceOscillator[x,y](close)						
ATR = AverageTrueRange[x](close)						
						
alphalong = Alpha						
alphacourt = Alpha						
betalong = Beta						
betacourt = Beta						
						
// in and out						
						
If 2*x <= y  then						
	If (PerteMax/(ABS(MyIn[1]-MyStop[1])/MyIn[1])) <= TailleMax then					
		Coeff = PerteMax/(ABS(MyIn[1]-MyStop[1])/MyIn[1])				
	Else					
		Coeff = TailleMax				
	Endif					
						
	If OPT[1] > 0 and not longonmarket then					
		buy Coeff*Deposit*100/(Price*MyIn[1]) %capital at MyIn[1] stop realtime				
	Elsif OPT[1] < 0 and not shortonmarket then					
		sellshort Coeff*Deposit*100/(Price*MyIn[1]) %capital at MyIn[1] stop realtime				
	Endif					
						
	If OPT < 0 then					
		sell at market				
	endif					
	if OPT > 0 then					
		exitshort at market				
	endif					
						
	// Trailing In and out					
						
	If OPT > 0 then					
		if OPT[1] < 0 then				
			MyIn = high + ATR * AlphaLong			
			MyStop = low - ATR * BetaLong			
			Trend = undefined			
		endif				
		if OPT[1] > 0 then				
			if OPT[2] < 0 then			
				trend = 0.5		
			endif			
			if OPT[2] > 0 then			
				If high > MyIn[1] then		
					Trend = 1	
				Endif		
				If low < MyStop[1] then		
					Trend = 0.5	
				Endif		
			endif			
		endif				
	Elsif OPT < 0 then					
		if OPT[1] > 0 then				
			MyIn = low - ATR * AlphaCourt			
			MyStop = high + ATR * BetaCourt			
			Trend = undefined			
		endif				
		if OPT[1] < 0 then				
			if OPT[2] > 0 then			
				trend = -0.5		
			endif			
			if OPT[2] < 0 then			
				If low < MyIn[1] then		
					Trend = -1	
				Endif		
				If high > MyStop[1] then		
					Trend = -0.5	
				Endif		
			endif			
		endif				
	Endif					
						
	If Trend = 1 then					
		MyIn = high + ATR * AlphaLong				
		if low > MyStop + ATR * BetaLong then				
			MyStop = low - ATR * BetaLong			
		else				
			MyStop = MyStop[1]			
		endif				
	Endif					
						
	If Trend = 0.5 then					
		if high < MyIn - ATR *AlphaLong then				
			MyIn = high + ATR * AlphaLong			
		else				
			MyIn = MyIn[1]			
		endif				
		MyStop = low - ATR * BetaLong				
	Endif					
						
	If Trend = -0.5 then					
		if low > MyIn + ATR * AlphaCourt then				
			MyIn = low - ATR * AlphaCourt			
		else				
			MyIn = MyIn[1]			
		endif				
		MyStop = high + ATR * BetaCourt				
	Endif					
						
	If Trend = -1 then					
		MyIn = low - ATR * AlphaCourt				
		if high < MyStop - ATR * BetaCourt then				
			MyStop = high + ATR * BetaCourt			
		else				
			MyStop = MyStop[1]			
		endif				
	Endif					
Endif						
						
Set Stop MyStop[1]	[/CODE]

Eugene

5/5/2011 4:54 AM

Having just briefly looked at this code, and then stopped myself, many questions arise w.r.t. this language:

How are OPT[1] and OPT[2] related to "OPT"? What are they?
What are x, y, Alpha, Beta? Which data type(s)?
What are MyIn, MyStop? Why are you accessing them prior to having defined the variables? What are MyIn[1], MyStop[1] -- accessing the element at bar-1, bar-2 or something else?
...stop.

Let's try a different approach. On this site, given the enormous amount of systems already developed and methods already coded since 2001, there's a chance of finding an equivalent or something close that would be easier to modify, or sometimes it's easier to code something from scratch. So, do you have the trading system rules in English?