Simple System for Beginners

Here's a start:

// ----- Sample Opening Range Breakout system --------

slip=TickSize*1;
NumContracts = 1;
PositionSize = NumContracts * MarginDeposit;

BuyLimit = TimeFrameGetPrice( "O", inDaily) *1.0033;
ShortLimit = TimeFrameGetPrice( "O", inDaily) *9967;

BuyCond1 = TimeNum() > 125500 AND TimeNum() < 150000;
BuyCond2 = Close > BuyLimit;

ShortCond1 = TimeNum() > 125500 AND TimeNum() < 150000;
ShortCond2 = Close < BuyLimit;

Buy = BuyCond1 AND BuyCond2;
BuyPrice = BuyLimit+slip;

Short = ShortCond1 AND ShortCond2;
ShortPrice = ShortLimit-slip;

SellCond = TimeNum() >= 153000;
Sell = SellCond;
Cover = SellCond;
SellPrice = Close-Slip;
CoverPrice = Close+Slip;

// END

I just can't get it to obey to only sell after 15:00, most of the trades do, but some don't??

Let me know if there's anything wrong with the code or if you know how to force a close at 15:00.

Also can't limit only to one trade per day...

Needs some work, but it's a start
 
I just discovered this thread. Could someone point me to a link where I could quickly and easily check the 9:30 AM (opening) price of the ER2 contract. I'm at work and can't check it untill pretty close to 2:00, so I need a place to get that information quickly.

Any help appreciated.
 
Quote from mogul:

Here's a start:

// ----- Sample Opening Range Breakout system --------

slip=TickSize*1;
NumContracts = 1;
PositionSize = NumContracts * MarginDeposit;

BuyLimit = TimeFrameGetPrice( "O", inDaily) *1.0033;
ShortLimit = TimeFrameGetPrice( "O", inDaily) *9967;

BuyCond1 = TimeNum() > 125500 AND TimeNum() < 150000;
BuyCond2 = Close > BuyLimit;

ShortCond1 = TimeNum() > 125500 AND TimeNum() < 150000;
ShortCond2 = Close < BuyLimit;

Buy = BuyCond1 AND BuyCond2;
BuyPrice = BuyLimit+slip;

Short = ShortCond1 AND ShortCond2;
ShortPrice = ShortLimit-slip;

SellCond = TimeNum() >= 153000;
Sell = SellCond;
Cover = SellCond;
SellPrice = Close-Slip;
CoverPrice = Close+Slip;

// END

I just can't get it to obey to only sell after 15:00, most of the trades do, but some don't??

Let me know if there's anything wrong with the code or if you know how to force a close at 15:00.

Also can't limit only to one trade per day...

Needs some work, but it's a start
More...

early closings, perhaps?
 
Quote from choppystride:

early closings, perhaps?
More...

no, it was from the sell stop (when long) being hit that closed out the trade. And then a re-entry occured when the original buy signal appeared again after 13.00.
 
Just for ask when was the expiration day of the emini russell 2000 ? (what is the rule ? the 3th friday of mars,june,september,december as the emini s&p ; or there is an other rule ?)
If someone can tell me when we have changed ERTU4 to ERTZ4 (the exact day) ?
Thank you very much and excuse my poor english...:cool
 
Thank you for your answer,but I have bought data on www.anfutures.com and the current contract december e-mini russell begins after the 8 september 2004
The 3th friday september month was the 17th and your cme link tells the same thing...
Thank you to help me to choose the good expiration contract for backtesting...
 
Quote from Stop Losses:

Thank you for your answer,but I have bought data on www.anfutures.com and the current contract december e-mini russell begins after the 8 september 2004
The 3th friday september month was the 17th and your cme link tells the same thing...
Thank you to help me to choose the good expiration contract for backtesting...
More...

I believe ANFutures data already takes into account the contract switchover.

But FYI, active trading on the new contract switches over on the Thursday before the 2nd Friday of the expiration month. ie. 8 days before expiration.

As a noob, when you backtest this thing be very aware of the drawdowns. This system in it's simplest form is pretty volatile. Don't forget slippage on the entries and exits.
 
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