Explanation about breakout strategy parameters

Hi Wing

Thanks for replying to my question!

Well for instant this code

// We do not store datas until the system starts.
// If it is the first day that the system is launched and if it is afternoon,
// it will be waiting until the next day for defining sell and buy orders 
DEFPARAM PreLoadBars = 0

// Position is closed at 7h45 PM, frenh time (in case of CAC40 trading)
DEFPARAM FlatAfter = 194500

// No new position will be initiated after the 5h00 PM candlestick
LimitHour = 171500

// Market scan begin with the 15 minute candlestick that closed at 9h15 AM
StartHour = 091500

// The 24th and 31th days of December will not be traded because market close before 7h45 PM
IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN
  TradingDay = 0
ELSE
  TradingDay = 1
ENDIF

// Variables that would be adapted to your preferences
if time = 084500 then
  PositionSize = max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume
//PositionSize = 2 //constant trade volume over the time
endif

MaxAmplitude = 58
MinAmplitude = 11
OrderDistance = 4
PourcentageMin = 30

// Variable initilization once at system start
ONCE StartTradingDay = -1

// Variables that can change in intraday are initiliazed
// at first bar on each new day
IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN
  BuyTreshold = 0
  SellTreshold = 0
  BuyPosition = 0
  SellPosition = 0
  StartTradingDay = 0
ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN

// We store the first trading day bar index 
  DayStartIndex = IntradayBarIndex
  StartTradingDay = 1
ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN

// For each trading day, we define each 15 minutes
// the higher and lower price value of the instrument since StartHour
// until the buy and sell tresholds are not defined

IF BuyTreshold = 0 OR SellTreshold = 0 THEN
  HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High)
  LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low)

// Spread calculation between the higher and the 
// lower value of the instrument since StartHour
  DaySpread = HighLevel - LowLevel

// Minimal spread calculation allowed to consider a significant price breakout
// of the higher and lower value 
  MinSpread = DaySpread * PourcentageMin / 100

// Buy and sell tresholds for the actual if conditions are met
  IF DaySpread <= MaxAmplitude THEN
   IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN
SellTreshold = LowLevel + OrderDistance
   ENDIF
   IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN
BuyTreshold = HighLevel - OrderDistance
   ENDIF
  ENDIF
ENDIF

// Creation of the buy and sell orders for the day
// if the conditions are met 
IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN
  IF BuyPosition = 0 THEN
   IF LongOnMarket THEN
    BuyPosition = 1
   ELSE
    BUY PositionSize CONTRACT AT BuyTreshold STOP
  ENDIF
ENDIF
IF SellPosition = 0 THEN
   IF ShortOnMarket THEN
    SellPosition = 1
   ELSE
  SELLSHORT PositionSize CONTRACT AT SellTreshold STOP
ENDIF
ENDIF
ENDIF
ENDIF

// Conditions definitions to exit market when a buy or sell order is already launched
IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN
SELL AT SellTreshold STOP
ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN
EXITSHORT AT BuyTreshold STOP
ENDIF

// Maximal risk definition of loss per position 
// in case of bad evolution of the instrument price
SET STOP PLOSS MaxAmplitude

Hi Wing

Thanks for the explenation, it makes sens now.

Regards

Yngve