{-------------------------------------------------------------------------------
 Trading Strategy Code
 Population member: 316
 Max bars back: 30

 Created by: Adaptrade Builder version 4.7.1.0
 Created:    8/9/2024 2:14:08 AM

 Scripting language: TradeStation 6 or newer

 Symbol:  ES ##-## (Intraday, 15 min bars), Primary (Data1)
          (C:\Adaptrade\MarketData\NinjaExport\ES ##-##.txt)

 Build dates: 1/2/2018 to 8/5/2023

 Project file: C:\Adaptrade\Newsletters\Adaptrade\RobustOpt\RobustOpt.gpstrat
-------------------------------------------------------------------------------}

{ Strategy inputs }
Inputs: NL1 (17),             { Price pattern look-back length (bars), long trades }
        NL2 (72),             { Indicator look-back length (bars), long trades }
        ShiftL1 (11),         { Indicator shift value (bars), long trades }
        NBarExL1 (99),        { Number of bars from entry for market exit if profitable, long trades }
        TrailFlrL (1037.50),  { Trailing stop floor value per share/contract, long trades }
        TrailPctL (57.0000),  { Trailing stop percentage, long trades }
        NBarExL2 (90),        { Number of bars from entry for market exit if unprofitable, long trades }
        TargPctL (3.422),     { Value of percentage exit target, long trades }
        EntryPctS (0.9735),   { Value of percentage entry (stop/limit), short trades }
        PriceBandSz (6.0000), { 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 (100);      { Maximum allowable position size }

{ Variables for entry and exit prices }
Var:    EntPrS   (0),
        TargPrL  (0),
        LStop    (0),
        NewLStop (0),
        LTrailOn (false),
        InBandEnS(false),
        InBandExL(false);

{ Variables for entry and exit conditions }
Var:    VarL1     (0),
        VarL2     (0),
        VarL3     (0),
        VarS1     (0),
        VarS2     (0),
        VarS3     (0),
        VarS4     (0),
        VarS5     (0),
        EntCondL  (false),
        EntCondS  (false),
        ExCondS   (false);

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

{ Entry prices }
EntPrS = C + AbsValue(C) * EntryPctS/100.0;
InBandEnS = AbsValue(EntPrS - C) <= PriceBandSz;

{ Entry and exit conditions }
VarL1 = HighD(0);
VarL2 = H[NL1];
VarL3 = ZLTrend(VarL2, NL2)[ShiftL1];
VarS1 = HighD(0);
VarS2 = CloseD(1);
VarS3 = AS_ConsecBarsUp(VarS2);
VarS4 = TypicalPrice;
VarS5 = AS_ConsecBarsDn(VarS4);
EntCondL = VarL1 < VarL3;
EntCondS = VarS1 crosses above O;
ExCondS = VarS3 < VarS5;

{ 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 then begin
    Buy("EnMark-L") NShares shares next bar at market;
end;

If MarketPosition = 0 and EntCondS and C < EntPrS and InBandEnS then begin
    Sell short("EnLimit-S") NShares shares next bar at EntPrS limit;
end;

{ Exit orders, long trades }
If MarketPosition = 1 then begin
    If BarsSinceEntry = 0 then begin
        LStop = 0;
        LTrailOn = false;
    end;

    If C - EntryPrice > TrailFlrL/BigPointValue then
        LTrailOn = true;

    If LTrailOn then begin
        NewLStop = EntryPrice + TrailPctL * (C - EntryPrice)/100.0;
        LStop = MaxList(LStop, NewLStop);
    end;

    If LTrailOn then
        Sell("ExTrail-L") next bar at LStop stop;

    TargPrL = EntryPrice + AbsValue(EntryPrice) * TargPctL/100.0;
    InBandExL = AbsValue(TargPrL - C) <= PriceBandSz;

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

    If (BarsSinceEntry >= NBarExL1 and C > EntryPrice) or (BarsSinceEntry >= NBarExL2 and C < EntryPrice) then
        Sell("ExMark-L") next bar at market;
end;

{ Exit orders, short trades }
If MarketPosition = -1 then begin
    If ExCondS then
        Buy to cover("ExMark-S") next bar at market;
end;