Formula Turtle Strategy

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Da Traderpedia.

La definizione delle tartarughe implica nel trading system anche il money managemant (quanto rischiare in ogni operazione), quindi ho la necessita di conoscere quanto capitale ho disponibile e quante posizioni contemporanee posso aprire (piramidare in gergo).

Siccome da Easy Language non ho variabili di sistema per leggere i valori impostati nella sezione "Costi" e nella sezione "Proprietà" del pannello di formattazione, sono stato costretto a prevedere gli stessi dati come Input della strategy.

Descrizione variabili di Input:


Per capire meglio come inserire le variabili di Input guardare l'esempio nel workspace allegato.

• la linea blu sottile indica break high 20 barre.
• la linea blu spessa indica break high 55 barre.
• la linea ciano spessa indica break high entrate in piramide.
• la linea rossa sottile indica break low 20 barre.
• la linea rossa spessa indica break low 55 barre.
• la linea magenta spessa indica break low entrate in piramide.

La versione aggiornata gestisce i nuovi ticks MTS in vigore da Feb. 2005 ed è stata divisa in due sotto release. La #1 tiene un ordine attivo solo il giorno successivo il BreakOut, mentre la #2 tiene L'ordine attivo per DistH -1 per i Buy Orders e DistL -1 per i Sell Orders.

Mediamente va meglio la #2, ma su alcuni titoli è meglio la #1.

Indice

PositionMoneyMng

PositionMoneyMng(Account,PercRisk,Price,Loss) Ritorna il numero share per la posione da prendere a Price con massima perdita Loss garantendo una massima perdita PercRisk sul Account.

INIZIO FORMULA
Inputs:Account(NumericSimple),PercRisk(NumericSimple),Price(NumericSimple),Loss(NumericSimple);

PositionMoneyMng = Floor(Minlist(Account / Price,((Account * PercRisk) / 100) / Loss));

FINE FORMULA

TicksMTS

Provided By: Carlo Bastelli nov. 2004

INIZIO FORMULA

Inputs: Price(NumericSimple);

if Price <= 0.2500 then TicksMTS = 0.0001 else if Price <= 1.0 then {0.2501 to 1.0 } TicksMTS = 0.0005 else if Price <= 2.0 then {1.0001 to 2.0 } TicksMTS = 0.0010 else if Price <= 5.0 then {2.0001 to 5.0 } TicksMTS = 0.0025 else if Price <= 10.0 then {5.0001 to 10 } TicksMTS = 0.0050 else TicksMTS = 0.0100;

FINE FORMULA

TicksRound

Provided By: Carlo Bastelli feb. 2005

INIZIO FORMULA Inputs: Price(NumericSimple); Vars:Tick(0),Remaind(0);

Tick=TicksMTS(Price); Remaind=Mod(Price,Tick); if (Remaind=0) then TicksRound=Price else if (Remaind>=Tick/2) then TicksRound=Price-Remaind+Tick else TicksRound=Price-Remaind; FINE FORMULA

Tourtle Soup #1

Provided By: Carlo Bastelli 2005 carlo_bastelli@yahoo.it

INIZIO FORMULA

{ Turtle mode #1 Ver.0.1.0 03.02.2005 Ordine Buy/Sell solo la barra dopo break out }
{ Turtle mode #1 Ver.0.1.1 12.10.2005 Aggiunto Expert Commentary }

Input:DistH(4),DistL(4),Account(10000),MaxPercRisk(2),MaxOpenEntry(4);
Var:TradeAccount(-1),PosSize(0),TrailBars(10),Eq(0),T1(0);
Var:cCurrentEntries(0),cAvgEntryPrice(0),cEntryPrice(0),cCurrentContracts(0);
Var:BuyStop(-1),BuyLimit(-1),LExitStop(-1),SellStop(-1),SellLimit(-1),SExitStop(-1);
Var:NextHigh(-1),NextLow(-1);
Var:BreakType(0),BreakStop(-1),BreakBars(0),BreakIsLoss(false),Break20Found(false),Break20SkipCnt(0);

if Barnumber=1 then begin
VALUE29=-1;
VALUE38=-1;
end;

cCurrentEntries=CurrentEntries;
cAvgEntryPrice=AvgEntryPrice;
cCurrentContracts=CurrentContracts;
if (cCurrentEntries>cCurrentEntries[1]) then begin
cEntryPrice=(CurrentContracts*AvgEntryPrice-cCurrentContracts[1]*cAvgEntryPrice[1])/
(CurrentContracts-cCurrentContracts[1]);
if MarketPosition=1 then begin
LExitStop=TicksRound(cEntryPrice-2*XAverage(TrueRange,20));
NextHigh=cEntryPrice+0.5*XAverage(TrueRange,20);
NextHigh=TicksRound(NextHigh+TicksMTS(NextHigh));
VALUE29=-1;
end
else begin
SExitStop=TicksRound(cEntryPrice+2*XAverage(TrueRange,20));
NextLow=cEntryPrice-0.5*XAverage(TrueRange,20);
NextLow=TicksRound(NextLow-TicksMTS(NextLow));
VALUE38=-1;
end;
{print(cEntryPrice," ",cCurrentEntries," ",CurrentContracts-cCurrentContracts[1]," ",date);}
value99=date; { Date & Time per linea entry multiple Buy/Sell }
value98=time;
end;
if (cCurrentEntries=0 and cCurrentEntries[1]<>0) then begin
NextHigh=-1;
NextLow=-1;
LExitStop=-1;
SExitStop=-1;
if VALUE29>=0 then
TL_Delete(VALUE29);
VALUE29=-1;
if VALUE38>=0 then
TL_Delete(VALUE38);
VALUE38=-1;
end;

{ Gestione Exit Stop & Trailing }
if MarketPosition=1 then begin
ExitLong ("LES") next bar at LExitStop stop;
if BarsSinceEntry>TrailBars then
ExitLong ("LET") next bar at TicksRound(Lowest(Low,TrailBars)) stop;
end
else if MarketPosition=-1 then begin
ExitShort ("SES") next bar at SExitStop stop;
if BarsSinceEntry>TrailBars then
ExitShort ("SET") next bar at TicksRound(Highest(High,TrailBars)) stop;
end;

Break20Found=false;
{ Genera segnali Buy Break High 20 bars }
if H>=Highest(H,20)[1] then begin
value1=H;
value2=BarNumber;
value3=value2[0]-value2[1];

if value3>DistH and value1[0]>=value1[1] and value1[1]<>0 and NextHigh=-1 then begin
{BuyStop=value1[1]-TicksMTS(value1[1])-XAverage(TrueRange,20);
BuyLimit=value1[1]+XAverage(TrueRange,20);}
if BreakIsLoss or Break20SkipCnt>0 then begin
BuyStop=TicksRound(value1[1]+TicksMTS(value1[1]));
BuyLimit=TicksRound(value1[0]-XAverage(TrueRange,20));
Break20SkipCnt=0;
Break20Found=true;
end
else
Break20SkipCnt=Break20SkipCnt+1;
VALUE9=TL_New(date[value3+1],time[value3+1],high[value3],date,time,high[value3]);
TL_SetSize(VALUE9, 1);
TL_SetColor(VALUE9, Blue);
if BreakType=0 then begin
BreakBars=0;
BreakType=1;
{BreakIsLoss=false;}
end;
end;
end;
{ Genera segnali Buy Break High 55 bars }
if H>=Highest(H,55)[1] then begin
value4=H;
value5=BarNumber;
value6=value5[0]-value5[1];

if value6>DistH and value4[0]>=value4[1] and value4[1]<>0 and Break20Found<>true and NextHigh=-1 then begin
BuyStop=TicksRound(value4[1]+TicksMTS(value4[1]));
BuyLimit=TicksRound(value4[0]-XAverage(TrueRange,20));
Break20SkipCnt=0;
VALUE9=TL_New(date[value6+1],time[value6+1],high[value6],date,time,high[value6]);
TL_SetSize(VALUE9, 3);
TL_SetColor(VALUE9, blue);
if BreakType=0 then begin
BreakBars=0;
BreakType=1;
{BreakIsLoss=false;}
end;
end;
end;

Break20Found=false;
{ Genera segnali Sell Break Low 20 bars }
if L<=Lowest(L,20)[1] then begin
value10=L;
value11=BarNumber;
value12=value11[0]-value11[1];

if value12>DistL and value10[0]<=value10[1] and value10[1]<>0 and NextLow=-1 then begin
if BreakIsLoss or Break20SkipCnt>0 then begin
SellStop=TicksRound(value10[1]-TicksMTS(value10[1]));
SellLimit=TicksRound(value10[0]+XAverage(TrueRange,20));
Break20SkipCnt=0;
Break20Found=true;
end
else
Break20SkipCnt=Break20SkipCnt+1;
VALUE19=TL_New(date[value12+1],time[value12+1],Low[value12],date,time,Low[value12]);
TL_SetSize(VALUE19, 1);
TL_SetColor(VALUE19, Red);
if BreakType=0 then begin
BreakBars=0;
BreakType=-1;
{BreakIsLoss=false;}
end;
end;

end;
{ Genera segnali Sell Break Low 55 bars }
if L<=Lowest(L,55)[1] then begin
value13=L;
value14=BarNumber;
value15=value14[0]-value14[1];

if value15>DistL and value13[0]<=value13[1] and value13[1]<>0 and Break20Found<>true and NextLow=-1 then begin
SellStop=TicksRound(value13[1]-TicksMTS(value13[1]));
SellLimit=TicksRound(value13[0]+XAverage(TrueRange,20));
Break20SkipCnt=0;
VALUE19=TL_New(date[value15+1],time[value15+1],Low[value15],date,time,Low[value15]);
TL_SetSize(VALUE19, 3);
TL_SetColor(VALUE19, Red);
if BreakType=0 then begin
BreakBars=0;
BreakType=-1;
{BreakIsLoss=false;}
end;
end;
end;

{ Gestione entry multiple high }
if NextHigh<>-1 and cCurrentEntries<MaxOpenEntry and TradeAccount>0 then begin
if H>=Nexthigh then begin
{print("BuyStop :",BuyStop," ",NextHigh," ",date);}
BuyStop=NextHigh;
BuyLimit=NextHigh;
end;
if VALUE29>=0 then
TL_Delete(VALUE29);
VALUE29=TL_New(value99,value98,NextHigh,date+1,time,NextHigh);
TL_SetSize(VALUE29, 3);
TL_SetColor(VALUE29, Cyan);
end;

{ Gestione entry multiple low }
if NextLow<>-1 and cCurrentEntries<MaxOpenEntry and TradeAccount>0 then begin
if L<=NextLow then begin
SellStop=NextLow;
SellLimit=NextLow;
end;
if VALUE38>=0 then
TL_Delete(VALUE38);
value38=TL_New(value99,value98,NextLow,date+1,time,NextLow);
TL_SetSize(value38, 3);
TL_SetColor(value38, Magenta);
end;

{ Verifica ultimo break in loss }
if BreakType<>0 then begin
if BreakBars<=11 then begin
if BreakType=1 then
BreakIsLoss=BreakIsLoss or (BreakStop<=Lowest(Low,BreakBars-1))
else
BreakIsLoss=BreakIsLoss or (BreakStop>=Highest(High,BreakBars-1));
BreakBars=BreakBars+1;
end
else begin
BreakType=0;
BreakIsLoss=false;
end;
end;

if MarketPosition<>-1 and BuyStop<>-1 then begin { Genera ordini Buy }
TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit;
{print("BuyStop :",BuyStop," ",TradeAccount," ",date);}
if TradeAccount>2*maxlist(BuyStop,BuyLimit) then begin
PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,BuyLimit,2*XAverage(TrueRange,20));
Buy ("TLE") PosSize shares next bar at BuyStop stop;
end
else
TradeAccount=-1;
BuyStop=-1;
BuyLimit=-1;
end
else if MarketPosition<>1 and SellStop<>-1 then begin { Genera ordini Sell }
TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit;
if TradeAccount>2*minlist(SellStop,SellLimit)then begin
PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,SellLimit,2*XAverage(TrueRange,20));
Sell ("TSE") PosSize shares next bar at SellStop stop;
end
else
TradeAccount=-1;
SellStop=-1;
SellLimit=-1;
end;

{ Expert Commentary Report }
If AtCommentaryBar then begin
Eq=Account-(CurrentContracts*AvgEntryPrice)+NetProfit;
Vars:Str("");
Str=Str+"*************** System inputs **************************"+NewLine;
Str=Str+"Starting Capital : "+NumToStr(Account,2)+NewLine;
Str=Str+"Percentage of Equity to risk : "+NumToStr(MaxPercRisk,2)+" % "+NewLine;
Str=Str+"*************** Current statistics ************************"+NewLine;
Str=Str+"Market position : "+NumToStr(MarketPosition,0)+NewLine;
Str=Str+"Current Shares held : "+NumToStr(cCurrentContracts,0)+NewLine;
Str=Str+"Current Equity : "+NumToStr(Eq,2)+NewLine;
if BuyStop<>-1 or SellStop<>-1 then
Str=Str+"Percentage of current Equity to risk : "+NumToStr(MaxPercRisk,2)+" % equals "+NumToStr(-Eq*MaxPercRisk/100,2)+" dollars "+NewLine;
If BuyStop<>-1 then begin
Str=Str+"Entry Long : "+NumToStr(BuyStop,4)+NewLine;
Str=Str+"Exit Long : " +NumToStr(TicksRound(BuyStop-2*XAverage(TrueRange,20)),4)+NewLine;
Str=Str+"Difference between Entry Long and Exit Long in Dollars : "+NumToStr(TicksRound(2*XAverage(TrueRange,20)),4)+NewLine;
Str=Str+"Number of shares to buy to risk "+NumToStr(MaxPercRisk,2)+" % of capital : "+NumToStr(PosSize,0)+NewLine;
end
else If MarketPosition=1 then begin
Eq=Account+NetProfit;
T1=-cCurrentContracts*(cAvgEntryPrice-LExitStop);
Str=Str+"Percentage of current Equity to risk : "+NumToStr(AbsValue(100*T1/Eq),2)+" % equals "+NumToStr(T1,2)+" dollars "+NewLine;
Str=Str+"Entry Long : "+NumToStr(cEntryPrice,4)+NewLine;
Str=Str+"Exit Long : " +NumToStr(LExitStop,4)+NewLine;
Str=Str+"Difference between Entry Long and Exit Long in Dollars : "+NumToStr(cEntryPrice-LExitStop,4)+NewLine;
Str=Str+"Open Position Profit in Dollars : "+NumToStr(OpenPositionProfit,2)+NewLine;
end;
If SellStop<>-1 then begin
Str=Str+"Entry Short : "+NumToStr(SellStop,4)+NewLine;
Str=Str+"Exit Short : " +NumToStr(TicksRound(SellStop+2*XAverage(TrueRange,20)),4)+NewLine;
Str=Str+"Difference between Entry Short and Exit Short in Dollars : "+NumToStr(TicksRound(2*XAverage(TrueRange,20)),4)+NewLine;
Str=Str+"Number of shares to Sell to risk "+NumToStr(MaxPercRisk,2)+" % of capital : "+NumToStr(PosSize,0)+NewLine;
end
else If MarketPosition=-1 then begin
Eq=Account+NetProfit;
T1=-cCurrentContracts*(SExitStop-cAvgEntryPrice);
Str=Str+"Percentage of current Equity to risk : "+NumToStr(AbsValue(100*T1/Eq),2)+" % equals "+NumToStr(T1,2)+" dollars "+NewLine;
Str=Str+"Entry Short : "+NumToStr(cEntryPrice,4)+NewLine;
Str=Str+"Exit Short : " +NumToStr(SExitStop,4)+NewLine;
Str=Str+"Difference between Entry Short and Exit Short in Dollars : "+NumToStr(SExitStop-cEntryPrice,4)+NewLine;
Str=Str+"Open Position Profit in Dollars : "+NumToStr(OpenPositionProfit,2)+NewLine;
end;
Commentary(Str);
end;

FINE FORMULA

Tourtle Soup #2

Provided By: Carlo Bastelli 2005 carlo_bastelli@yahoo.it
Turtle mode #2 Ver.0.1.0 03.02.2005 Ordini ripetuti piu' barre }
{ Turtle mode #2 Ver.0.1.1 12.10.2005 Aggiunto Expert Commentary

INIZIO FORMULA

Input:DistH(4),DistL(4),Account(10000),MaxPercRisk(2),MaxOpenEntry(4);
Var:TradeAccount(-1),PosSize(0),TrailBars(10),Eq(0),T1(0);
Var:cCurrentEntries(0),cAvgEntryPrice(0),cEntryPrice(0),cCurrentContracts(0);
Var:BuyStop(-1),BuyLimit(-1),LExitStop(-1),SellStop(-1),SellLimit(-1),SExitStop(-1);
Var:NextHigh(-1),NextLow(-1),BarUntil(-1);
Var:BreakType(0),BreakStop(-1),BreakBars(0),BreakIsLoss(false),Break20Found(false),Break20SkipCnt(0);

if Barnumber=1 then begin
VALUE29=-1;
VALUE38=-1;
end;

cCurrentEntries=CurrentEntries;
cAvgEntryPrice=AvgEntryPrice;
cCurrentContracts=CurrentContracts;
if (cCurrentEntries>cCurrentEntries[1]) then begin
cEntryPrice=(CurrentContracts*AvgEntryPrice-cCurrentContracts[1]*cAvgEntryPrice[1])/
(CurrentContracts-cCurrentContracts[1]);
if MarketPosition=1 then begin
LExitStop=TicksRound(cEntryPrice-2*XAverage(TrueRange,20));
NextHigh=cEntryPrice+0.5*XAverage(TrueRange,20);
NextHigh=TicksRound(NextHigh+TicksMTS(NextHigh));
BuyStop=-1;
BuyLimit=-1;
BarUntil=-1;
VALUE29=-1;
end
else begin
SExitStop=TicksRound(cEntryPrice+2*XAverage(TrueRange,20));
NextLow=cEntryPrice-0.5*XAverage(TrueRange,20);
NextLow=TicksRound(NextLow-TicksMTS(NextLow));
SellStop=-1;
SellLimit=-1;
BarUntil=-1;
VALUE38=-1;
end;
value99=date; { Date & Time per linea entry multiple Buy/Sell }
value98=time;
end;
if (cCurrentEntries=0 and cCurrentEntries[1]<>0) then begin
NextHigh=-1;
NextLow=-1;
LExitStop=-1;
SExitStop=-1;
BuyStop=-1;
BuyLimit=-1;
SellStop=-1;
SellLimit=-1;
BarUntil=-1;
if VALUE29>=0 then
TL_Delete(VALUE29);
VALUE29=-1;
if VALUE38>=0 then
TL_Delete(VALUE38);
VALUE38=-1;
end;

{ Gestione Exit Stop & Trailing }
if MarketPosition=1 then begin
ExitLong ("LES") next bar at LExitStop stop;
if BarsSinceEntry>TrailBars then
ExitLong ("LET") next bar at TicksRound(Lowest(Low,TrailBars)) stop;
end
else if MarketPosition=-1 then begin
ExitShort ("SES") next bar at SExitStop stop;
if BarsSinceEntry>TrailBars then
ExitShort ("SET") next bar at TicksRound(Highest(High,TrailBars)) stop;
end;

Break20Found=false;
{ Genera segnali Buy Break High 20 bars }
if H>=Highest(H,20)[1] then begin
value1=H;
value2=BarNumber;
value3=value2[0]-value2[1];

if value3>DistH and value1[0]>=value1[1] and value1[1]<>0 and NextHigh=-1 then begin
{BuyStop=value1[1]-TicksMTS(value1[1])-XAverage(TrueRange,20);
BuyLimit=value1[1]+XAverage(TrueRange,20);}
if BreakIsLoss or Break20SkipCnt>0 then begin
BuyStop=TicksRound(value1[1]+TicksMTS(value1[1]));
BuyLimit=TicksRound(value1[0]-XAverage(TrueRange,20));
Break20SkipCnt=0;
Break20Found=true;
end
else
Break20SkipCnt=Break20SkipCnt+1;
VALUE9=TL_New(date[value3+1],time[value3+1],high[value3],date,time,high[value3]);
TL_SetSize(VALUE9, 1);
TL_SetColor(VALUE9, Blue);
if BreakType=0 then begin
BreakBars=0;
BreakType=1;
{BreakIsLoss=false;}
end;
end;
end;
{ Genera segnali Buy Break High 55 bars }
if H>=Highest(H,55)[1] then begin
value4=H;
value5=BarNumber;
value6=value5[0]-value5[1];

if value6>DistH and value4[0]>=value4[1] and value4[1]<>0 and Break20Found<>true and NextHigh=-1 then begin
BuyStop=TicksRound(value4[1]+TicksMTS(value4[1]));
BuyLimit=TicksRound(value4[0]-XAverage(TrueRange,20));
Break20SkipCnt=0;
VALUE9=TL_New(date[value6+1],time[value6+1],high[value6],date,time,high[value6]);
TL_SetSize(VALUE9, 3);
TL_SetColor(VALUE9, blue);
if BreakType=0 then begin
BreakBars=0;
BreakType=1;
{BreakIsLoss=false;}
end;
end;
end;

Break20Found=false;
{ Genera segnali Sell Break Low 20 bars }
if L<=Lowest(L,20)[1] then begin
value10=L;
value11=BarNumber;
value12=value11[0]-value11[1];

if value12>DistL and value10[0]<=value10[1] and value10[1]<>0 and NextLow=-1 then begin
if BreakIsLoss or Break20SkipCnt>0 then begin
SellStop=TicksRound(value10[1]-TicksMTS(value10[1]));
SellLimit=TicksRound(value10[0]+XAverage(TrueRange,20));
Break20SkipCnt=0;
Break20Found=true;
end
else
Break20SkipCnt=Break20SkipCnt+1;
VALUE19=TL_New(date[value12+1],time[value12+1],Low[value12],date,time,Low[value12]);
TL_SetSize(VALUE19, 1);
TL_SetColor(VALUE19, Red);
if BreakType=0 then begin
BreakBars=0;
BreakType=-1;
{BreakIsLoss=false;}
end;
end;

end;
{ Genera segnali Sell Break Low 55 bars }
if L<=Lowest(L,55)[1] then begin
value13=L;
value14=BarNumber;
value15=value14[0]-value14[1];

if value15>DistL and value13[0]<=value13[1] and value13[1]<>0 and Break20Found<>true and NextLow=-1 then begin
SellStop=TicksRound(value13[1]-TicksMTS(value13[1]));
SellLimit=TicksRound(value13[0]+XAverage(TrueRange,20));
Break20SkipCnt=0;
VALUE19=TL_New(date[value15+1],time[value15+1],Low[value15],date,time,Low[value15]);
TL_SetSize(VALUE19, 3);
TL_SetColor(VALUE19, Red);
if BreakType=0 then begin
BreakBars=0;
BreakType=-1;
{BreakIsLoss=false;}
end;
end;
end;

{ Gestione entry multiple high }
if NextHigh<>-1 and cCurrentEntries<MaxOpenEntry and TradeAccount>0 then begin
if H>=Nexthigh then begin
BuyStop=NextHigh;
BuyLimit=NextHigh;
end;
if VALUE29>=0 then
TL_Delete(VALUE29);
VALUE29=TL_New(value99,value98,NextHigh,date+1,time,NextHigh);
TL_SetSize(VALUE29, 3);
TL_SetColor(VALUE29, Cyan);
end;

{ Gestione entry multiple low }
if NextLow<>-1 and cCurrentEntries<MaxOpenEntry and TradeAccount>0 then begin
if L<=NextLow then begin
SellStop=NextLow;
SellLimit=NextLow;
end;
if VALUE38>=0 then
TL_Delete(VALUE38);
value38=TL_New(value99,value98,NextLow,date+1,time,NextLow);
TL_SetSize(value38, 3);
TL_SetColor(value38, Magenta);
end;

{ Verifica ultimo break in loss }
if BreakType<>0 then begin
if BreakBars<=11 then begin
if BreakType=1 then
BreakIsLoss=BreakIsLoss or (BreakStop<=Lowest(Low,BreakBars-1))
else
BreakIsLoss=BreakIsLoss or (BreakStop>=Highest(High,BreakBars-1));
BreakBars=BreakBars+1;
end
else begin
BreakType=0;
BreakIsLoss=false;
end;
end;

if MarketPosition<>-1 and BuyStop<>-1 then begin { Genera ordini Buy }
TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit;
if TradeAccount>2*maxlist(BuyStop,BuyLimit) then begin
if BarUntil=-1 then begin
PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,BuyLimit,2*XAverage(TrueRange,20));
BarUntil=BarNumber+DistH;
end;
end
else begin
BuyStop=-1;
BuyLimit=-1;
TradeAccount=-1;
end;
if BarNumber<BarUntil then
Buy ("TLE") PosSize shares next bar at BuyStop stop
else begin
BuyStop=-1;
BuyLimit=-1;
BarUntil=-1;
end;
end
else if MarketPosition<>1 and SellStop<>-1 then begin { Genera ordini Sell }
TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit;
if TradeAccount>2*minlist(SellStop,SellLimit)then begin
if BarUntil=-1 then begin
PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,SellLimit,2*XAverage(TrueRange,20));
BarUntil=BarNumber+DistL;
end;
end
else begin
SellStop=-1;
SellLimit=-1;
TradeAccount=-1;
end;
if BarNumber<BarUntil then
Sell ("TSE") PosSize shares next bar at SellStop stop
else begin
SellStop=-1;
SellLimit=-1;
BarUntil=-1;
end;
end;

{ Expert Commentary Report }
If AtCommentaryBar then begin
Eq=Account-(CurrentContracts*AvgEntryPrice)+NetProfit;
Vars:Str("");
Str=Str+"*************** System inputs **************************"+NewLine;
Str=Str+"Starting Capital : "+NumToStr(Account,2)+NewLine;
Str=Str+"Percentage of Equity to risk : "+NumToStr(MaxPercRisk,2)+" % "+NewLine;
Str=Str+"*************** Current statistics ************************"+NewLine;
Str=Str+"Market position : "+NumToStr(MarketPosition,0)+NewLine;
Str=Str+"Current Shares held : "+NumToStr(cCurrentContracts,0)+NewLine;
Str=Str+"Current Equity : "+NumToStr(Eq,2)+NewLine;
if BuyStop<>-1 or SellStop<>-1 then
Str=Str+"Percentage of current Equity to risk : "+NumToStr(MaxPercRisk,2)+" % equals "+NumToStr(-Eq*MaxPercRisk/100,2)+" dollars "+NewLine;
If BuyStop<>-1 then begin
Str=Str+"Entry Long : "+NumToStr(BuyStop,4)+NewLine;
Str=Str+"Exit Long : " +NumToStr(TicksRound(BuyStop-2*XAverage(TrueRange,20)),4)+NewLine;
Str=Str+"Difference between Entry Long and Exit Long in Dollars : "+NumToStr(TicksRound(2*XAverage(TrueRange,20)),4)+NewLine;
Str=Str+"Number of shares to buy to risk "+NumToStr(MaxPercRisk,2)+" % of capital : "+NumToStr(PosSize,0)+NewLine;
end
else If MarketPosition=1 then begin
Eq=Account+NetProfit;
T1=-cCurrentContracts*(cAvgEntryPrice-LExitStop);
Str=Str+"Percentage of current Equity to risk : "+NumToStr(AbsValue(100*T1/Eq),2)+" % equals "+NumToStr(T1,2)+" dollars "+NewLine;
Str=Str+"Entry Long : "+NumToStr(cEntryPrice,4)+NewLine;
Str=Str+"Exit Long : " +NumToStr(LExitStop,4)+NewLine;
Str=Str+"Difference between Entry Long and Exit Long in Dollars : "+NumToStr(cEntryPrice-LExitStop,4)+NewLine;
Str=Str+"Open Position Profit in Dollars : "+NumToStr(OpenPositionProfit,2)+NewLine;
end;
If SellStop<>-1 then begin
Str=Str+"Entry Short : "+NumToStr(SellStop,4)+NewLine;
Str=Str+"Exit Short : " +NumToStr(TicksRound(SellStop+2*XAverage(TrueRange,20)),4)+NewLine;
Str=Str+"Difference between Entry Short and Exit Short in Dollars : "+NumToStr(TicksRound(2*XAverage(TrueRange,20)),4)+NewLine;
Str=Str+"Number of shares to Sell to risk "+NumToStr(MaxPercRisk,2)+" % of capital : "+NumToStr(PosSize,0)+NewLine;
end
else If MarketPosition=-1 then begin
Eq=Account+NetProfit;
T1=-cCurrentContracts*(SExitStop-cAvgEntryPrice);
Str=Str+"Percentage of current Equity to risk : "+NumToStr(AbsValue(100*T1/Eq),2)+" % equals "+NumToStr(T1,2)+" dollars "+NewLine;
Str=Str+"Entry Short : "+NumToStr(cEntryPrice,4)+NewLine;
Str=Str+"Exit Short : " +NumToStr(SExitStop,4)+NewLine;
Str=Str+"Difference between Entry Short and Exit Short in Dollars : "+NumToStr(SExitStop-cEntryPrice,4)+NewLine;
Str=Str+"Open Position Profit in Dollars : "+NumToStr(OpenPositionProfit,2)+NewLine;
end;
Commentary(Str);
end;
FINE FORMULA

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