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RangeBreakout

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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