{-------------------------------------------------------------------------------
 Trading Strategy Code
 Population member: 45
 Max bars back: 103

 Created by: Adaptrade Builder version 4.2.0.0
 Created:    9/2/2022 5:47:48 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_nonsymmetric_no_stops.gpstrat
-------------------------------------------------------------------------------}

{ Strategy inputs }
Inputs: NL1 (88),             { Indicator look-back length (bars), long trades }
        NS1 (49),             { Indicator look-back length (bars), short trades }
        NS2 (53),             { Indicator look-back length (bars), short trades }
        XS1 (57.0000),        { Oscillator indicator value (0 to 100), short trades }
        NBarEntL3 (6),        { Indicator look-back length (bars), long trades }
        EntFrL (1.5325),      { Multiple of price difference (e.g., ATR); entry, long trades }
        NBarExL1 (11),        { Number of bars from entry for market exit, long trades }
        EntPtsS (105.250000), { Number of points for stop price, short trades }
        NBarExS1 (8),         { Number of bars from entry for market exit if profitable, short trades }
        NBarExS2 (48),        { Number of bars from entry for market exit, short trades }
        NATRS (25),           { Indicator look-back length (bars), short trades }
        MMFrS (1.9056),       { Multiple of price difference (e.g., ATR); exit, short trades }
        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:    ATRS (0);

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

{ Variables for entry and exit conditions }
Var:    VarL1     (0),
        VarL2     (0),
        VarL3     (0),
        VarS1     (0),
        VarS2     (0),
        EntCondL  (false),
        EntCondS  (false);

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

{ Average true range }
ATRS = AvgTrueRange(NATRS);

{ Entry prices }
EntPrL = C + EntFrL * AbsValue(O - Average(L, NBarEntL3));
EntPrS = L - EntPtsS;

{ Entry and exit conditions }
VarL1 = TrueRange;
VarL2 = TrueRange;
VarL3 = ZLTrend(VarL2, NL1);
VarS1 = FastK(NS1);
VarS2 = WAverage(VarS1, NS2);
EntCondL = VarL1 < VarL3;
EntCondS = XS1 crosses above VarS2;

{ 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 >= NBarExL1 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 + MMFrS * ATRS;
    end;

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

    If BarsSinceEntry >= NBarExS2 or (BarsSinceEntry >= NBarExS1 and C < EntryPrice) then
        Buy to cover("ExMark-S") next bar at market;
end;