Sugar Futures Strategy (Amibroker And Tradestation Code)

The original strategy can be found here.

The strategy in plain English:

• Buy when the price breaks above the 350-day moving average plus a seven-day ATR.
• Sell when the price breaks below the 350-day moving average deducted a seven-day ATR.

Amibroker code:

ATRUpperBand = MA(C,350)+ATR(3) ;

ATRLowerBand = MA(C,350)-ATR(3) ;

Buy = Cross(C,Ref(ATRUpperBand,-1)) ;

BuyPrice= Close ;

Sell = Cross(Ref(MA(C,350),-1),Close) ;

SellPrice = Close ;

Tradestation code:

{
Strategy - sugar futures
https://www.quantifiedstrategies.com/lessons/sugar-futures-strategy-amibroker-code/
}

Inputs:
	Lookback(350),
	AtrLength(3);
	
Vars:
	AtrUpperBand(0),
	AtrLowerBand(0);

AtrUpperBand = Average(C, Lookback) + AvgTrueRange(AtrLength);
AtrLowerBand = Average(C, Lookback) - AvgTrueRange(AtrLength);

if C cross over AtrUpperBand[1] Then
	buy this bar on close;

if C cross under Average(C, Lookback) Then
	sell this bar on close;