Up Key Reversal Breakout Strategy (EasyLanguage) for YM

[swansjr]

In an attempt to get more activity on this “Automated Trading” forum I’m posting a little strategy that I found in a PDF on strategy design. Unfortunately, I don’t have the original PDF or the author’s name at this time. Anyway, the set-up is centered on up-key-reversals (UKR). A UKR is where the most recent daily price bar is 1) making new low over the past X days and 2) the close is greater than the previous day. A buy limit order is then placed just above the daily high of the trigger bar. The position is exited either when a profit target is hit or X days after the initial purchase.

I coded this concept in EasyLanguage under TradeStation up and you’ll find it below. I only tested it for YM since that's all I trade at this time. I only tested it for the past 3.5 years. It shows a positive results with a Profit Factor of 3.3. I hope others will find this interesting and perhaps propose improvements. I'm eager to see what others may modify.

You’ll notice one of the inputs is to activate a fix ratio position-sizing algorithm. I put this into the code so you can easily see what a position-sizing algorithm can do to a trading system.

Oh, do I personally trade this system? Not at this time.

Jeff