I came across this interesting mean reversion strategy with adaptive buy order, so basically if a new high within a specified lookback is made, the algo will put a buy limit order based on lowest of that candle – 2*ATR, and the order limit is only good for a specified number of period only.
The Amibroker code below. Will appreciate if anyone can help to convert to codes for pro order in PRT. Thank you in advance.
/// Systematic market structure trading strategy
/// Long-only US equties swing trading version
/// As presented in 2 videos by Critical Trading on YouTube https://youtu.be/QKCDt2QnmeM & https://youtu.be/rKGXIopVeQ0 /// Source: Critical-Trading.com
/// This code may be freely shared & amended
/// Risk disclaimer – for Study purposes only, NOT an actual investment advice – refer to risk diclaimer at https://www.critical-trading.com/privacy-policy
/// Backtester settings
max_positions = 10;
margin_used = 50; /// 50 = 50% margin (standard margin when trading US stocks) OR 100 = no margin SetOption(“InitialEquity”,10000);
SetOption(“MaxOpenPositions”,max_positions);
SetPositionSize(IIf(margin_used==50,200/max_positions,100/max_positions),spsPercentOfEquity);
SetOption(“ActivateStopsImmediately”,True);
SetOption(“accountmargin”,margin_used);
SetOption(“AllowPositionShrinking”, True);
SetOption(“AllowSameBarExit”, True);
SetOption(“FuturesMode”, False);
SetOption(“UsePrevBarEquityForPosSizing”,True);
SetTradeDelays( 1, 0, 0, 0);
SetBacktestMode( backtestRegular);
//// VIX lter
SetForeign(“^VIX”); /// need to have VIX data & ensure the ticker here is correct
VIX lter = PercentRank(C,100) <= 85;
RestorePriceArrays();
//// Variables – highest high
days = (21*3);
ndayhigh = HHV(H,days);
H_breakout = H > Ref(ndayhigh,-1);
H_breakout_count = BarsSince(H_breakout) < 10;
//// Variables – ATR
days_ATR = 20;
ATRvar = ATR(days_ATR)*2;
//// Adaptive buy level loop
Limit_buy = Null;
for( i = 1; i < BarCount; i++ )
{
if( H_breakout[i] )
{
Limit_buy[i] = Low[ i ] – ATRvar[i];
}
if( NOT H_breakout[i] AND H_breakout_count [i] )
{
Limit_buy[ i ] = Limit_buy[i-1];
}
if( L[i] < Limit_buy[ i – 1 ])
{
Limit_buy[ i ] = Null;
}
}
//// Buy rule & buy price
Buy = H_breakout_count AND L < Ref(Limit_buy,-1) AND C < O AND VIX lter;
BuyPrice = Open;
/// Variable stop-loss adjusted for market’s volatility
SLatentry = ValueWhen(Buy,Ref(ATRvar,-1));
//// Sell rule and price
Sell = C > Ref(HHV(C,2),-1); /// basic exit rule used here as presented in the video
SellPrice = close;
//// (stocks only) Ranking system – used to rank when multiple signals generated, swing trading only
HV = StDev(ROC(C,1),252)*sqrt( 252 );
PositionScore = 1 / Hv;
//// Stop-loss – based on ATR
ApplyStop(stopTypeLoss,stopModePoint,SLatentry,1);
