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There are many different classifications of exits other than your initial stop loss. These include exits that produce a loss but reduce your initial risk, exits that maximize profits, and exits that keep you from giving back too much money, and psychological exits.
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New Market Paradigm

System for: TradeStation


 

 

Views:  1730

Added: June 11, 2007
 
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Tags: TradeStation, system
 
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To implement the strategies from my article, "Mutated variables, volatility and a new market paradigm," first write the programs that will generate studies and systems. Begin by building a function that indicates the current state of the market. Use this function to build indicators, paintbars and systems. Use of the BollingerBand function saves some programming time, but you could also insert your own standard deviation function here if you want to be more precise.

New market paradigm system
This system will eventually be the finished model. It is very flexible, allowing the trader to either write systems based solely on the NMP phases, or plug in existing systems using the NMP as a filter.

Setting Defaults for NMP system:

Properties: Check "Allow multiple entries...." and "Generate orders for next bar"

 

 



Code:

Type: Function, Name: NewMarketParadigm, Output: Numeric

Input: Price(NumericSeries),Length(NumericSimple),StdDevUp (NumericSimple),StdDevDn(NumericSimple);
value1 = BollingerBand(Price,Length,StdDevUp);
value2 = BollingerBand(Price,Length,StdDevDn);
Condition1 = value1 < value1[1] and value2 > value2[1]; {Contraction}{Built as conditions for later revision --WD}
Condition2 = value1 > value1[1] and value2 < value2[1]; {Expansion}
Condition3 = Condition1 = False and Condition2 = False; {Transition}
IF Condition1 then NewMarketParadigm = 1; {Contraction}
IF Condition2 then NewMarketParadigm = 2; {Expansion}
IF Condition3 then NewMarketParadigm = 3; {Transition}

 

Name: NMP SYSTEM, Stops: None

Input: Price(close),Length(28),StdDevUp(2),StdDevDn(-2);
Vars: NmpC(0),NmpE(0),NmpT(0),Trigger(0);
{*1.}
If NewMarketParadigm(Price,Length,StdDevUp,StdDevDn) = 1 then NmpC = NmpC + 1
Else NmpC = 0; {Contraction phase}
If NewMarketParadigm(Price,Length,StdDevUp,StdDevDn) = 2 then NmpE = NmpE + 1
Else NmpE = 0; {Expansion Phase}
If NewMarketParadigm(Price,Length,StdDevUp,StdDevDn) = 3 then NmpT = 1
Else NmpT = 0; {Transition Phase}{Reversal traders will be using this phase, so I left it in, although I donOt use it. No Counter is implemented, but one could certainly do that N WD}
{*2.}
Condition1 = NmpE > 1; {2 consecutive NmpE ranges qualify as an Expansion Phase. -- WD}
If Condition1 then begin
Trigger = 1;
End;
{*3.}
If Trigger = 1 then begin
Buy Highest(High,10) + 1 point Stop;
Sell Lowest(Low,10) - 1 point Stop;
End;

 

Name: NMP SYSTEM 2, Stops: None

Input: Price(close),Length(28),DevSet(2),Accfactr(.02);
value1 = StdDev(Price,Length)*DevSet - StdDev(Price,Length)*-DevSet;
If value1 = Lowest(value1,Length) and Adx(14) < 23 then begin
If SlowD(Length) > 75 OR SlowD(Length) < 25 then begin
IncludeSystem: "Parabolic",ACCFACTR;
End;
End;


 






Author: Walt Downs
Source: http://www.activetradermag.com

 

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