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Phil Lane's System II

System for: TradeStation


 

 

Views:  2280

Added: August 13, 2008
 
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Phi Lane's System with Cuck Lebeau's Chandelier Exits
. To: "Omega"
. Subject: Phi Lane's System with Cuck Lebeau's Chandelier Exits
. From: "Gaius Marius"
. Date: Fri, 13 Nov 1998 14:45:56 -0500
. Resent-Date: Fri, 13 Nov 1998 11:49:13 -0800 (PST)
. Resent-From: omega-list@xxxxxxxxxx
. Resent-Message-ID: <"ooikY2.0._91.vq8Js"@mx2>
. Resent-Sender: omega-list-request@xxxxxxxxxx

Here's Phil Lane's system, again, with Chuck Lebeau's Chandelier exits. Previously, I used the Percentage of Entry Price as a trailing stop since I wanted the stops to increase or decrease in size as the prices changes (i.e., a 20 point stop in the S&P today may be considered by some to be tight, whereas in 1994, it would be considered as generous.). But an factor*Avg True Range would work as well.

For those who weren't paying attention or too quick with their delete buttons, MaxTradeHigh is a function that was provided to us previously by John of joachim@xxxxxxxxxxxxx (??). It's not a built in function inside TradeStation. The code for the function is provided below, as well as its opposite, MinTradeLow.

Thanks should go out to Phil Lane, Chuck LeBeau and Joachim.

 

 



Code:

Type : Function, Name : MaxTradeHigh
{Function: MaxTradeHigh}
if marketposition = 1 then begin
if h > MaxTradeHigh[1] then
MaxTradeHigh = h;
end else
MaxTradeHigh = -999999;





Type : Function, Name : MinTradeLow
{Function: MinTradeLow}
if marketposition = -1 then begin
if l < MinTradeLow[1] then
MinTradeLow = l;
end else
MinTradeLow = 999999;






Type : Signal, Name : Phil Lane's System II
{System: Phil Lane's System II}
Inputs: ATRLen(10),Lvl(10),Fac(2.5);
Vars: Atr(0),Eb(0),LStop(0),Mp(0);

Atr=Average(TrueRange,ATRLen);
Mp=MarketPosition;
If Mp<>1 and c[1] O>L[1] and Atr>Lvl then begin
buy on close;
Eb=currentbar;
LStop=0;
end;
If MP=1 and currentbar<>eb then begin
LStop=Maxlist(LStop,MaxTradeHigh-Fac*ATR);
exitlong Lstop stop;
end;


 





Source: http://www.purebytes.com

 

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