Below is the Tradestation Easylanguage Code for a Eurocurrency futures momentum strategy. This is set up on a 2 minute EC on data1 and 30 minute EC data2 chart in Tradestation:
inputs:
iContracts(1),
iProfit(400),
iStop(500),
iPercent1(0.0015),
iPercent2(0.002),
iPercent3(0.004),
iMA(50);
Variables:
Tim(0),
iBars(30),
iADX(30),
iADXLength(20);
If Close/Close[iBars]>(1+iPercent1)
And Close/Close[iBars+iBars]>(1+iPercent2)
And Close/Close[iBars+iBars+iBars]>(1+iPercent3)
And C of Data2>Average(C of Data2, iMA)[1]
And ADX(iADXLength)>iADX
Then Buy ("EC LE") iContracts Contracts Next Bar at Lowest(L,5)[1] Limit;
If Close/Close[iBars]<(1-iPercent1)
And Close/Close[iBars+iBars]<(1-iPercent2)
And Close/Close[iBars+iBars+iBars]<(1-iPercent3)
And C of Data2<Average(C of Data2, iMA)[1]
And ADX(iADXLength)>iADX
Then Sell Short ("EC SE") iContracts Contracts Next Bar at Highest(H,5)[1] Limit;
SetProfitTarget(iProfit*iContracts);
SetStopLoss(iStop*iContracts);
Thanks for sharing with the community. I am able to duplicate your results approximately, but assuming $0 slippage and commissions. I realize limit orders have no slippage, but shouldn't an allowance for slippage of stop orders be made?