Article/Author: �Range Breakout Trading in Treasury Bonds� by Alex Saitta, S&C Magazine, Traders Tips, 04/1995

Download: rangebrk.ela

File Includes:
Signal - RangeBreakout
ShowMe - Tight & Narrow

Category: Strategy > RangeBreakout

Description:

Signal RangeBreakout ELA Code:

VARS: COUNTER(0), TN(0), TNRANGE(0), TNHIGH(0), TNLOW(0);



TNRANGE=HIGHEST(HIGH,5)-LOWEST(LOW,5);



VALUE2=0;

FOR VALUE1=0 TO 4 BEGIN

   VALUE2=VALUE2+(TNRANGE-RANGE[VALUE1]);

END;



IF TNRANGE*2>VALUE2 THEN TN=1 ELSE TN=0;

IF TN=1 THEN BEGIN

  TNHIGH=HIGHEST(HIGH,5);

  TNLOW=LOWEST(LOW,5);

END;



IF MARKETPOSITION=0 AND CLOSE>TNHIGH AND RANGE>AVERAGE(RANGE,8)*1.25 THEN BUY AT CLOSE;

IF MARKETPOSITION=0 AND CLOSEAND RANGE>AVERAGE(RANGE,8)*1.25 THEN SELL AT CLOSE;



IF CLOSE < AVERAGE(LOW,8) THEN EXITLONG AT CLOSE;

IF CLOSE > AVERAGE(HIGH,10) THEN EXITSHORT AT CLOSE;



IF MARKETPOSITION<>0 THEN BEGIN

  TNHIGH=9999;

  TNLOW=0;

END;





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