Index Futures Trading System - Please comment :)

When the market opens, the first print will be both the high and the low for the session, so maybe you can code it as

long if c = open + (ave range * .5)
short if c = open - (ave range * .5)

What am I missing?
 
This is a good approach if you understand the limitations. Overcoming them is tricky. They can be overcome by a dual definition of trend with BO and fading system.
 
Quote from trader60611:

Here is an initial attempt at coding. Entry breakout version is commented out. Alternate version of ATR is commented out

Code follows
------------------------------------------
{Start Easylanguage Here}
{Data1: Intraday Bars Data2:Daily bars}
input:lookback(20),Rangepct(.5),StopPct(.25);

Var:mp(0),Atr(0),upcross(0),downcross(0);
mp=marketposition;
{Atr=average(range,lookback) data2;}
Atr=avgtruerange(lookback) data2;
commentary("LowD(0) = ",Lowd(0));
commentary("Range = ",Atr);
Commentary("Long entry = ",Lowd(0)+(rangepct*ATR));
{if c >= Lowd(0)+(rangepct*ATR) then buy next bar at (highest(c,3)+(minmove/100))stop;
if c <=Highd(0)-(rangepct*ATR) then sell short next bar at (lowest(c,3)-(minmove/100))stop;}

if c crosses above Lowd(0)+(rangepct*ATR) then begin
if upcross=0 then buy this bar;
upcross=1;
end;

if c crosses below Highd(0)-(rangepct*ATR) then begin
if downcross=0 then sell short this bar;
downcross=1;
end;


if mp=1 then begin
sell("LX Target") next bar at lowd(0)+(.75*atr) limit;
sell ("Lx Stop")next bar at entryprice(0)-(Atr*StopPct)stop;
end;

if mp=-1 then begin
buy to cover("Sx Target") Next bar at Highd(0)-(.75*Atr )limit;
buy to cover("Sx Stop") next bar at entryprice(0)+(Atr*StopPct) stop;
end;

setexitonclose;
if time=sess1endtime then begin
upcross=0;
downcross=0;
end;
More...

How did this backtest? Are we on intrabar order calculation on daily bars for this?
 
Quote from steve.k.tang:

Hi Everyone,

Here's an idea I've been using for a few months and has been doing ok. I'll go through the details but not going to post any results.

OK, here we go :)

Suppose that the average intraday range (say 20 days) on a stock index futures contract is 3.00%. The sytem will assume that the range of 3.00% will be traded each day. We dynamically assign long and short triggers and profit targets as follows:

Long Trigger = Day Low + (0.5 x Average Intraday Range)
Short Trigger= Day High - (0.5 x Average Intraday Range)

Long Target = Day Low + Average Intraday Range
Short Target = Day High - Average Intraday Range

Stop Loss = Entry +/- (0.25 x Average Intraday Range )
More...

On the Day Low, are you referring to the current bar's low? or the current bar's high? If so, you'd need to wait at least a half hour to make use of this bit of code.
 
Quote from steve.k.tang:

I'll go through the details but not going to post any results.

...

Comments welcome :)
More...

Results are the only thing of use. Once you leave it out, there is nothing here to comment on. It is one more of a million various ideas floated by people, that almost always, does not really work.
 
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