Building Winning Trading Systems with TradeStation®, + Website, 2nd Edition

APPENDIX A

TradeStation 2000i Source Code of Select Programs

BOLLINGER BANDIT

Vars: upBand(0),dnBand(0),liqDays(50);

upBand = BollingerBand(Close,50,1.25);
dnBand = BollingerBand(Close,50,–1.25);

if(MarketPosition <> 1 and ExitsToday(date) = 0) then Buy("BanditBuy")tomorrow upBand

 stop;

if(MarketPosition <> –1 and ExitsToday(date) = 0) then Sell("BanditSell")
tomorrow dnBand

 stop;

if(MarketPosition = 0) then liqDays = 50;

if(MarketPosition <> 0) then

begin

       liqDays = liqDays – 1;

       liqDays = MaxList(liqDays,10);
end;

if(MarketPosition = 1 and Average(Close,liqDays) < upBand) then ExitLong("LongLiq") tomorrow Average(Close,liqDays)stop;

if(MarketPosition = –1 and Average(Close,liqDays) > dnBand) then
ExitShort("ShortLiq") tomorrow Average(Close,liqDays)stop;

DYNAMIC BREAK OUT II BY GEORGE PRUITT

{This system is an extension of the original Dynamic Break Out system written
by George for Futures Magazine in 1996. In addition to the channel break out
methodology, DBS II incorporates Bollinger Bands to determine trade entry.}

Inputs: ceilingAmt(60),floorAmt(20),bolBandTrig(2.00);

Vars: lookBackDays(20),todayVolatility(0),yesterDayVolatility(0),
deltaVolatility(0);

Vars: buyPoint(0),sellPoint(0),longLiqPoint(0),shortLiqPoint(0),upBand(0),
dnBand(0);

todayVolatility = StdDev(Close,30);

yesterDayVolatility = StdDev(Close[1],30); {See how I offset the function call to

       get yesterday's value}

deltaVolatility = (todayVolatility – yesterDayVolatility)/todayVolatility;

lookBackDays ...