Breakout 

This is a simple channel breakout system with two filters, once using moving average 

convergence-divergence and another based on volatility.

 

Sub ChannelForAdaptF(SLen as integer)

 

Dim MinMove

Dim TrProfit

Dim LowPrice As Double

Dim HighPrice As Double

 

LowPrice = Lowest(Low,SLen,0)

HighPrice = Highest(High,SLen,0)

MinMove = GetActiveMinMove()

 

If Macd(Close,12,26,9)>0 And Range < 3.5*Average(Range,40,0) Then

VirtualBuy(“ChanBuy”,1,HighPrice+MinMove ,Stop,Day)

 

If Macd(Close,12,26,9) < 0 And Range < 3.5*Average(Range,40,0) Then

VirtualSell(“ChanSell”,1,LowPrice-MinMove,Stop,Day)

 

VirtualExitShort(“SX”,””,1,HighPrice+MinMove ,Stop,Day)

VirtualExitLong(“LX”,””,1,LowPrice-MinMove,Stop,Day)

 

If Macd(Close,12,26,9)>0 And  Range<3.5*Average(Range,40,0)  Then

Buy(“ChanBuy”,1,HighPrice+MinMove ,Stop,Day)

 

If Macd(Close,12,26,9)<0 And  Range<3.5*Average(Range,40,0)  Then 

Sell(“ChanSell”,1,LowPrice-MinMove,Stop,Day)

 

ExitShort(“SX”,” “,1,HighPrice+MinMove ,Stop,Day)

ExitLong(“LX”,””,1,LowPrice-MinMove,Stop,Day)

 

End Sub

 

3. Window of opportunity 

The adaptive f concepts adjusts the trade-size value in accordance to the same principles of optimal f, but without the benefit of hindsight and using a moving window that better reflects current market conditions.

 

Function CalcOptimalF_TPVir(Increment As Double, TradeLookBack, objMark As TSProcessor.IMarket,ByRef LargestLoss)

 

Dim Trades As Array

Dim f As Double

Dim bestF As Double

Dim bestValue As Double

Dim biggestLoser As Double

Dim curValue As Double

Dim i As Integer

Dim TradeInfo As Array

 

TradeLookBack = Min(TradeLookBack, objMark.TradeCount)

 

If TradeLookBack = 0 Then 

CalcOptimalF_TPVir = .1

Exit Function

End If  

 

ReDim (Trades, TradeLookBack)

 

For i = 0 To TradeLookBack - 1

Trades[i] = objMark.VirTrade(i).Profit

 

Next

 

bestValue = -9999999

biggestLoser = Min(Trades)

 

For f = (0 + Increment) To (1 - Increment) Step Increment

curValue = 1

 

For i = 0 To UBound(Trades)-1

            curValue = curValue * (1 + (f * ( -1 * Trades[i] / biggestLoser)))

Next

 

If curValue > bestValue Then

            bestValue = curValue

            bestF = f

End If

 

Next 

 

LargestLoss = biggestLoser

CalcOptimalF_TPVir = bestF

 

End Function

 

4. Top to bottom 

Here’s the code for our entire trade plan, integrating adaptive f into the mix.

 

Sub AdaptiveFTradePlanAugArt(steps,F_TradeWindowSize,ScaleF,Ceiling)

 

Dim S As Integer

Dim M As Integer

Dim DollarPerTrade

Dim StartAccount

Dim OptF 

Dim BigLoser

Dim objMark As TSProcessor.IMarket

 

If tradeplan.MarketType = 0 Then 

 

If Tradeplan.SummEquity < tradeplan.MarginForOneLot Then

MsgBox “not enough money” 

StopRun

End If 

 

            ‘If Tradeplan.SummEquity< Tradeplan.TotalMarginForPlan Then

                        ‘MsgBox “Margin Call Account below minimum margin required”

                        ‘StopRun

                        End If 

 

DollarPerTrade = tradeplan.SummEquity/tradeplan.MarketCount

 

For S = 0 To TradePlan.SessionCount – 1

 

TradePlan.Session(S).UnitSize = 1

 

For M = 0 To TradePlan.Session(S).MarketCount – 1

 

            objMark = TradePlan.Session(S).Market(M)

            OptF=CalcOptimalF_TPVir(steps,F_TradeWindowSize, 

            TradePlan.Session(S).Market(M),BigLoser)

 

            If OptF>.60 Then 

             OptF=.60

            End If 

 

            If BarNumber>500 Then 

 

            If OptF>steps Then 

            objMark.EntryNumUnits = 

            Min(Max(DollarPerTrade/(Abs(BigLoser)/(OptF*ScaleF)),1),Ceiling)

            Else

            objMark.EntryNumUnits=1

            End If  

 

            Else

 

            objMark.EntryNumUnits = 1

            End If 

 

            objMark.ExitNumUnits = objMark.NumContractsHeld

 

Next

End Sub