No Trend Strategy

This strategy uses the “TrendNoTrend indicator” (see in the library).
Once the “No Trend” phase has been identified (beta = 0), swing trading will take place: BUY MIN and SELL MAX. To do this you can use, for example, a SmoothedStochastic.
A simple SuperTrend [3,10] follows the position.
It seems to have positive results on different indices and different time frames, after optimization of the observation period.

//optimization period:
//period = 20 to 300 (default = 10)

// Definizione dei parametri del codice
DEFPARAM  CumulateOrders = False
TimeStart = time >= 000000
TimeStop  = time <= 240000

// Le giornate come 1 maggio, 24, 25, 26, 30 e 31 dicembre, i sabati e le domeniche sono esclusi
GiornoTrading= NOT((Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31) OR OpenDayOfWeek = 6  OR OpenDayOfWeek = 0))

ONCE SIZE = 2  // nr. contratti
ONCE NDBARLIMIT = 3 //  NR. OF BARS ON WHICH THE ORDER STOP REMAINS VALID
ONCE PXT = Pointsize // es. per EURUSD = 0.00001; per EURJPY = 0.001 per DAX = 1
AA = period // PERIOD OF LINEAR REGRESSION AND 1° PERIOD OF STOCHASTIC --> OTTIMIZZARE FROM 20 TO 300 STEP 10
SSTOC = SmoothedStochastic[AA,AA/4](Close)
SUT = SuperTrend[3,10]

// TREND - NO TREND
t=(LinearRegressionSlope[AA](close)-0)*SQRT(AA-2)/(STE[AA](close)/STD[AA](Barindex))
if t<1.96 then
 beta=0
else
 beta=1
endif

// Condizioni per entrare long
C1 =  SSTOC[1] <= 30 AND SSTOC[0] > SSTOC[1] AND beta = 0 // No Trend = SWING
IF C1 then
 OPENBUY = HIGH[0]+ 2*PXT
 MYINDEX = Barindex
ENDIF
IF Barindex >= MYINDEX + NDBARLIMIT THEN
 OPENBUY = 0
ENDIF
IF OPENBUY > 0 AND NOT LONGONMARKET AND GiornoTrading and TimeStart and TimeStop THEN
 BUY SIZE CONTRACTS AT OPENBUY STOP
 // si fissano stoploss e targetprofit
 ST=((LOWEST[10](LOW))-OPENBUY)/PXT
 IF ST > 150 OR ST <=0 THEN // Max stoploss in point
  ST = 150
 ENDIF
 SET STOP pLOSS ST
ENDIF
// Condizioni per uscire da posizioni Long
IF LongOnMarket AND (Close[1]>SUT[1] AND Close<SUT) then // change color of supertrend = close position
 SELL at Market
ENDIF

// Condizioni per entrare short
C21 = SSTOC[1] >= 70 AND SSTOC[0] < SSTOC[1] AND beta = 0 // No Trend = SWING
IF C21 then
 OPENSELL = LOW[0]- 2*PXT
 MYINDEX = Barindex
ENDIF
IF Barindex >= MYINDEX + NDBARLIMIT THEN
 OPENSELL = 0
ENDIF
IF  OPENSELL > 0 AND NOT SHORTONMARKET AND GiornoTrading and TimeStart and TimeStop THEN
 SELLSHORT SIZE CONTRACTS AT OPENSELL STOP
 // si fissano stoploss e targetprofit
 ST=(OPENSELL-(HIGHEST[10](HIGH)))/PXT
 IF ST > 150 OR ST <= 0 THEN
  ST = 150
 ENDIF
 SET STOP pLOSS ST
ENDIF

//Condizioni per uscire da posizioni Short
IF ShortOnMarket  AND (Close[1]<SUT[1] AND Close>SUT) then // change color of supertrend = close position
 EXITSHORT at Market
ENDIF