EL Strategy Help Needed

[Marc33139 10]

I'm tying to code a strategy for trading the YM as follows:

 

Enter market short when price closes +40 pts above yesterdays close and time is 2am or later. Exit when either price retraces to yesterday's close, or the time is 9:45am. Reverse for long entry with price -40 pts.

 

I believe it should be quite simple to code, but can't seem to get it. Below is what I came up with. Any assistance would be greatly appreciated.

 

Thanks.

 

 

inputs: Offset(40), Stop_Loss(500), Exit_Time(945), Start_Time(200);

 

Value1 = CloseD(1);

 

if time >= Start_Time and time <= Exit_Time then

begin

 

if marketposition = 0 and close > Value1 + Offset points then sell short next bar at market;

 

if marketposition = 0 and close < Value1 - Offset points then buy next bar at market;

 

end;

 

If time >= Exit_Time and MarketPosition <> 0 then

begin

Sell all contracts next bar at market;

BuyToCover all contracts next bar at market;

end;

 

 

if marketposition = 1 and close <= Value1 then sell all contracts next bar at market;

 

if marketposition = -1 and close >= Value1 then buy to cover all contracts next bar at

 

market;

 

setstoploss(Stop_Loss);

[Tams 20]

draw a flow chart... it can help you visualize your logic

 

[flyingdutchmen 10]

inputs: Offset(40){amount of ticks not full points}, Stop_Loss(500), Exit_Time(945), Start_Time(200);

if time >= Start_Time and time <= Exit_Time and EntriesToday(Date) = 0 then 
Begin
SellShort next bar CloseD(1) +( Offset * ( MinMove / PriceScale )) Limit;
Buy next bar CloseD(1) - ( Offset * ( MinMove / PriceScale )) Limit;
End;

If time >= Exit_Time then 
begin
  	Sell this Bar on Close;
BuyToCover this Bar on Close;
end;

BuyToCover next bar CloseD(1) Limit;
Sell next bar CloseD(1) Limit; 

SetStopLoss(Stop_Loss);

 

i have not tried this but it should work, your problem could have been the offset points,

for a e-mini the reserve word "points" refers to the pricescale / 100, while using MinMove/PriceScale

gives you the minimum price fluctation (ticks), for the YM this shouldnt matter as a tick is equal to a full point.

i allways try to use limit and stop orders where possible,

you will not get good and realistic fills using marketorders, not in real trading due to slippage

nor in your backtest; especially not in a less liqued market like the ym.

be aware a script like this will give zero sensetivity to changes in

volatility as your entry and exit are all a fixed amount of points.

Edited October 1, 2009 by flyingdutchmen

[Marc33139 10]

Thanks so much for the code.