{-------------------------------------------------------------------------------
 Trading Strategy Code
 Population member: 229
 Max bars back: 68

 Created by: Adaptrade Builder version 4.2.0.0
 Created:    9/4/2022 6:28:46 PM

 Scripting language: TradeStation 6 or newer

 Symbol:  @ES#C 1 Day (Daily bars), Primary (Data1)
          (C:\Adaptrade\MarketData\@ES#C 1 Day.txt)

 Build dates: 9/4/2000 to 6/15/2020

 Project file: C:\..\BreakoutStrats_Keltner.gpstrat
-------------------------------------------------------------------------------}

{ Strategy inputs }
Inputs: NBarEnt1 (68),       { Indicator look-back length (bars) }
        NStdEnt1 (0.708396), { Number of standard deviations }
        NATRMM (1),          { Indicator look-back length (bars) }
        MMFr (1.9030),       { Multiple of price difference (e.g., ATR); exit }
        NBarEx1 (7),         { Number of bars from entry for market exit if profitable }
        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 (200);     { Maximum allowable position size }

{ Variables for average true range for entry and exit orders }
Var:    ATRMM (0);

{ Variables for entry and exit prices }
Var:    EntPrL   (0),
        EntPrS   (0),
        LStop    (0),
        SStop    (0);

{ Variables for entry and exit conditions }
Var:    EntCondL  (false),
        EntCondS  (false);

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

{ Average true range }
ATRMM = AvgTrueRange(NATRMM);

{ Entry prices }
EntPrL = KeltnerChannel(H, NBarEnt1, NStdEnt1);
EntPrS = KeltnerChannel(L, NBarEnt1, -NStdEnt1);

{ Entry and exit conditions }
EntCondL = true;
EntCondS = true;

{ 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 and C < EntPrL then begin
    Buy("EnStop-L") NShares shares next bar at EntPrL stop;
end;

If MarketPosition = 0 and EntCondS and C > EntPrS then begin
    Sell short("EnStop-S") NShares shares next bar at EntPrS stop;
end;

{ Exit orders, long trades }
If MarketPosition = 1 then begin
    If BarsSinceEntry = 0 then begin
        LStop = EntryPrice - MMFr * ATRMM;
    end;

    Sell("ExStop-L") next bar at LStop stop;

    If BarsSinceEntry >= NBarEx1 and C > EntryPrice then
        Sell("ExMark-L") next bar at market;
end;

{ Exit orders, short trades }
If MarketPosition = -1 then begin
    If BarsSinceEntry = 0 then begin
        SStop = EntryPrice + MMFr * ATRMM;
    end;

    Buy to cover("ExStop-S") next bar at SStop stop;

    If BarsSinceEntry >= NBarEx1 and C < EntryPrice then
        Buy to cover("ExMark-S") next bar at market;
end;