E-Mini Trading Strategy (Amibroker Code)

The original article is here.

Logic in plain English:

1. Calculate a 10-day average of the (High minus Low – (H-L)). That is the “ATR”.
2. Calculate the High of the last 10 days.
3. Calculate a band 3.5 times below the 10-day High using the average from point number 1 (ATR).
4. If @ES closes below the band in number 3, then go long at the close.
5. Exit at the close when the close is higher than yesterday’s high.

Amibroker code:

range=MA((H-L),10);
OddisHigh=HHV(H,10);
OddisBand=OddisHigh - (range*3.5);

Buy=Close<OddisBand ;

buyprice= Close;
Sell= C>Ref(H,-1) ;
sellPrice= Close;

Tradestation code

{
e-mini futures strategy (no 160):
Calculate a 10-day average of the (High minus Low – (H-L)). That is the “ATR” or Range.
Calculate the High of the last 10 days.
Calculate a band 3.5 times below the 10-day High using the average from point number 1 (ATR).
If @ES closes below the band in number 3, then go long at the close.
Exit at the close when the close is higher than yesterday’s high.
}

Inputs: 
	Lookback(10),
	RangeMult(3.5);

Vars: 
	Range(0),
	HighestHigh(0),
	Treshold(0);

Range = Average(H - L, Lookback);
HighestHigh = Highest(H, Lookback);
Treshold = HighestHigh - RangeMult * Range;


if Marketposition = 0 and C < treshold then    // Check Marketposition to avoid the same bar exit and re-entry
	Buy this bar at close;						// In real trading the "Buy at this bar close" order will be converted to the "Buy at next bar open" order
  
if C > H[1] then 
	Sell this bar at close;						// In real trading the "Buy at this bar close" order will be converted to the "Buy at next bar open" order