{-------------------------------------------------------------------------------
 Trading Strategy Code
 Population member: 257
 Max bars back: 119

 Created by: Adaptrade Builder version 4.2.1.0
 Created:    9/6/2022 4:05:04 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_with_stops.gpstrat
-------------------------------------------------------------------------------}

{ Strategy inputs }
Inputs: ShiftL1 (19),         { Indicator shift value (bars), long trades }
        NS1 (2),              { Level of floor trader pivot function (1 to 3), short trades }
        NS2 (80),             { Indicator look-back length (bars), short trades }
        EntPtsL (12.500000),  { Number of points for stop price, long trades }
        TargFrL (4.2918),     { Multiple of price difference (e.g., ATR); exit, long trades }
        NBarExL1 (24),        { Number of bars from entry for market exit if profitable, long trades }
        NMML1 (36),           { Indicator look-back length (bars), long trades }
        MMFrL (0.7067),       { Multiple of price difference (e.g., ATR); exit, long trades }
        NBarEntS1 (96),       { Indicator look-back length (bars), short trades }
        EntPtsS (119.500000), { Number of points for stop price, short trades }
        NMMS1 (8),            { Indicator look-back length (bars), short trades }
        NATRMMS (67),         { Indicator look-back length (bars), short trades }
        MMFrS (3.0900),       { Multiple of price difference (e.g., ATR); exit, short trades }
        NTargS1 (34),         { Indicator look-back length (bars), short trades }
        NBarExS1 (24),        { Number of bars from entry for market exit, short trades }
        PriceBandSz (0.0000), { Size of price band for limit orders }
        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:    ATRMMS (0);

{ Variables for entry and exit prices }
Var:    EntPrL   (0),
        EntPrS   (0),
        TargPrL  (0),
        TargPrS  (0),
        LStop    (0),
        SStop    (0),
        InBandExL(false),
        InBandExS(false);

{ Variables for entry and exit conditions }
Var:    VarL1     (0),
        VarL2     (0),
        VarS1     (0),
        VarS2     (0),
        VarS3     (0),
        EntCondL  (false),
        EntCondS  (false);

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

{ Average true range }
ATRMMS = AvgTrueRange(NATRMMS);

{ Entry prices }
EntPrL = O + EntPtsL;
EntPrS = XAverage(L, NBarEntS1) - EntPtsS;

{ Entry and exit conditions }
VarL1 = AS_CongestCount[ShiftL1];
VarL2 = AS_CongestCount;
VarS1 = AS_PivotR(NS1);
VarS2 = XAverage(VarS1, NS2);
VarS3 = TypicalPrice;
EntCondL = VarL1 <> VarL2;
EntCondS = VarS2 <> VarS3;

{ 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 = Highest(L, NMML1) - MMFrL * TrueRange;
    end;

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

    TargPrL = EntryPrice + TargFrL * TrueRange;
    InBandExL = AbsValue(TargPrL - C) <= PriceBandSz;

    If InBandExL then
        Sell("ExTarg-L") next bar at TargPrL limit;

    If BarsSinceEntry >= NBarExL1 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 = TriAverage(C, NMMS1) + MMFrS * ATRMMS;
    end;

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

    TargPrS = WAverage(L, NTargS1);
    InBandExS = AbsValue(TargPrS - C) <= PriceBandSz;

    If InBandExS then
        Buy to cover("ExTarg-S") next bar at TargPrS limit;

    If BarsSinceEntry >= NBarExS1 then
        Buy to cover("ExMark-S") next bar at market;
end;