[Dogpile]

ok, last post as I am getting obsessed with this...

added this to the code a 'condition' so that it will only calculate trades when there is at least 100k contracts of volume. this has nothing to do with the strategy and is not any kind of change to the underlying concept -- that is the exact same -- this condition only has to do with looking at past data to view results. This filter will ensure that the strategy results are only using 'current contract' data and not just back-filling orders that you wouldn't have taken.

so here is the new full code:

vars: mp(0),hc(0),lc(0),xx(0),a a(0);


hc=highest(h,5)-c;
lc=c-lowest(l,5);
if hc>lc then xx=hc;
if hc<lc then xx=lc;

condition1=volume>100000;

mp=marketposition;
if condition1 and mp<1 and hc>lc then buy next bar at o of tomorrow+(0.66*lc) stop;
if condition1 and mp=1 and barssinceentry>0 then sell ("Stop Loss") next bar at entryprice-(1.32*xx) stop;
if condition1 and mp>-1 and lc>hc then sell short next bar at o of tomorrow-(0.66*hc) stop;
if condition1 and mp=-1 and barssinceentry > 0 then buy to cover ("StopLoss") next bar at entryprice+(1.32*xx) stop;

-------------

note the excellent results of the completed September contract for Russell. a single contract generated a $12,420 profit over 19 trades. this equates to a 62% return on account over a 3-month period (not an annualized number) trading just a single contract on a $20k account.

this strategy was on fire on the russell contract.... despite taking a -$4k loss on a long trade initiated on 7/25... sick