// Built for @ES 1 minute chart
// Jonathan Kinlay
// May 19 2014
//
using elsystem;
using elsystem.collections;
Using elsystem.io ;
Using tsdata.marketdata;
using tsdata.common;
input:
Len(10),
PTLVticks(30),
PTSVticks(2),
SLLVticks(2),
SLSVticks(30),
upperVolThreshold(3),
lowerVolThreshold(0.25),
StartTime(0800),
EndTime(1515);//use exchange time on chart;
var:
BN(1),
PT(0),
SL(0),
PTv(0.25),
SLv(10),
plusTrueRange(0),
minusTrueRange(0),
upsideVol(0),
downsideVol(0),
upsideFCSTVOL(0),
downsideFCSTVOL(0);
once clearprintlog;
if date <> date[1] then begin
BN = 1;
end else begin
BN += 1;
If Close > Close[1] then begin
upsideFCSTVOL = plusTrueRange + (plusTrueRange-plusTrueRange[1])*0.5;
plusTrueRange = TrueRange;
end;
If Close < Close[1] then begin
downsideFCSTVOL=minusTrueRange + (minusTrueRange-minusTrueRange[1])*0.5;
minusTrueRange = TrueRange;
end;
if BN >= Len -1
and marketposition = 0
and time >= StartTime
and upsideFCSTVOL > upperVolThreshold
then begin
buy("LE LV") 1 contracts next bar at Market;
PT = PTLVticks;
SL = SLLVticks;
end;
if BN >= Len - 1
and marketposition = 0
and time >= StartTime
and downsideFCSTVOL > upperVolThreshold
then begin
sellshort("SE LV") 1 contracts next bar at Market;
PT = PTLVticks;
SL = SLLVticks;
end;
if BN >= Len -1
and marketposition = 0
and time >= StartTime
and upsideFCSTVOL < lowerVolThreshold
then begin
SellShort("SE SV") 1 contract next bar at InsideAsk Limit;
PT = PTSVticks;
SL = SLSVticks;
end;
if BN >= Len -1
and marketposition = 0
and time >= StartTime
and downsideFCSTVOL < lowerVolThreshold
then begin
Buy("LE SV") 1 contract next bar at InsideBid Limit;
PT = PTSVticks;
SL = SLSVticks;
end;
PTv = PT* Minmove/Pricescale;
SLv = SL*Minmove/Pricescale;
setprofittarget(PTv*bigpointvalue);
setstoploss(SLv*bigpointvalue);
setexitonclose;
end;
