{-------------------------------------------------------------------------------
 Trading Strategy Code
 Population member: 119
 Max bars back: 80

 Created by: Adaptrade Builder version 4.2.1.0
 Created:    9/5/2022 11:30:01 AM

 Scripting language: TradeStation 6 or newer

 Symbol:  @ES#C 1 Day (Daily bars), Primary (Data1)
          (C:\Adaptrade\MarketData\@ES#C 1 Day.txt)

 Build dates: 9/4/2000 to 6/15/2020

 Project file: C:\...\BreakoutStrats_symmetric_with_stops.gpstrat
-------------------------------------------------------------------------------}

{ Strategy inputs }
Inputs: NBarEnt1 (78),         { Indicator look-back length (bars) }
        NATR (62),             { Indicator look-back length (bars) }
        EntFr (2.7722),        { Multiple of price difference (e.g., ATR); entry }
        NBarEx1 (63),          { Number of bars from entry for market exit }
        NTarg1 (74),           { Indicator look-back length (bars) }
        TargPts (99.750000),   { Number of points for limit price }
        NBarEx2 (60),          { Number of bars from entry for market exit if unprofitable }
        NBarEx3 (3),           { Number of bars from entry for market exit if profitable }
        NMM1 (80),             { Indicator look-back length (bars) }
        NMM2 (37),             { Indicator look-back length (bars) }
        NStdStop2 (-2.912564), { Number of standard deviations }
        NMM3 (55),             { Indicator look-back length (bars) }
        MMFr (2.7995),         { Multiple of price difference (e.g., ATR); exit }
        PriceBandSz (0.0000),  { Size of price band for limit orders }
        PSParam (1.00),        { Position sizing parameter value }
        RoundPS (true),        { Round-to-nearest (true/false) }
        RoundTo (1),           { Round-to position size value }
        MinSize (1),           { Minimum allowable position size }
        SizeLimit (200);       { Maximum allowable position size }

{ Variables for average true range for entry and exit orders }
Var:    AveTR (0);

{ Variables for entry and exit prices }
Var:    EntPrL   (0),
        EntPrS   (0),
        TargPrL  (0),
        TargPrS  (0),
        LStop    (0),
        SStop    (0),
        InBandExL(false),
        InBandExS(false);

{ Variables for entry and exit conditions }
Var:    EntCondL  (false),
        EntCondS  (false);

{ Variables for position sizing }
Var:    NShares  (0);

{ Average true range }
AveTR = AvgTrueRange(NATR);

{ Entry prices }
EntPrL = WAverage(L, NBarEnt1) + EntFr * AveTR;
EntPrS = WAverage(H, NBarEnt1) - EntFr * AveTR;

{ Entry and exit conditions }
EntCondL = true;
EntCondS = true;

{ Position sizing calculations }
NShares = PSParam;

If RoundPS and RoundTo > 0 then
    NShares = IntPortion(NShares/RoundTo) * RoundTo;

NShares = MaxList(NShares, MinSize);
NShares = MinList(NShares, SizeLimit);

{ Entry orders }
If MarketPosition = 0 and EntCondL and C < EntPrL then begin
    Buy("EnStop-L") NShares shares next bar at EntPrL stop;
end;

If MarketPosition = 0 and EntCondS and C > EntPrS then begin
    Sell short("EnStop-S") NShares shares next bar at EntPrS stop;
end;

{ Exit orders, long trades }
If MarketPosition = 1 then begin
    If BarsSinceEntry = 0 then begin
        LStop = TriAverage(O, NMM1) - MMFr * AbsValue(BollingerBand(L, NMM2, NStdStop2) - TriAverage(O, NMM3));
    end;

    Sell("ExStop-L") next bar at LStop stop;

    TargPrL = TriAverage(L, NTarg1) + TargPts;
    InBandExL = AbsValue(TargPrL - C) <= PriceBandSz;

    If InBandExL then
        Sell("ExTarg-L") next bar at TargPrL limit;

    If BarsSinceEntry >= NBarEx1 or (BarsSinceEntry >= NBarEx3 and C > EntryPrice) or (BarsSinceEntry >= NBarEx2 and C < EntryPrice) then
        Sell("ExMark-L") next bar at market;
end;

{ Exit orders, short trades }
If MarketPosition = -1 then begin
    If BarsSinceEntry = 0 then begin
        SStop = TriAverage(O, NMM1) + MMFr * AbsValue(BollingerBand(L, NMM2, NStdStop2) - TriAverage(O, NMM3));
    end;

    Buy to cover("ExStop-S") next bar at SStop stop;

    TargPrS = TriAverage(H, NTarg1) - TargPts;
    InBandExS = AbsValue(TargPrS - C) <= PriceBandSz;

    If InBandExS then
        Buy to cover("ExTarg-S") next bar at TargPrS limit;

    If BarsSinceEntry >= NBarEx1 or (BarsSinceEntry >= NBarEx3 and C < EntryPrice) or (BarsSinceEntry >= NBarEx2 and C > EntryPrice) then
        Buy to cover("ExMark-S") next bar at market;
end;