{-------------------------------------------------------------------------------
 Trading Strategy Code
 Population member: 203
 Max bars back: 91

 Created by: Adaptrade Builder version 4.2.1.0
 Created:    9/5/2022 5:33:53 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_stopandreverse.gpstrat
-------------------------------------------------------------------------------}

{ Strategy inputs }
Inputs: N1 (2),          { Indicator look-back length (bars) }
        N2 (80),         { Indicator look-back length (bars) }
        N3 (8),          { Indicator look-back length (bars) }
        N4 (24),         { Indicator look-back length (bars) }
        Shift1 (9),      { Indicator shift value (bars) }
        NBarEnt1 (4),    { Indicator look-back length (bars) }
        NBarEnt2 (27),   { Indicator look-back length (bars) }
        NBarEnt3 (91),   { Indicator look-back length (bars) }
        EntFr (2.3114),  { Multiple of price difference (e.g., ATR); entry }
        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 entry and exit prices }
Var:    EntPrL   (0),
        EntPrS   (0);

{ Variables for entry and exit conditions }
Var:    VarL1     (0),
        VarL2     (0),
        VarL3     (0),
        VarL4     (0),
        VarS1     (0),
        VarS2     (0),
        VarS3     (0),
        VarS4     (0),
        EntCondL  (false),
        EntCondS  (false);

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

{ Entry prices }
EntPrL = Highest(L, NBarEnt1) + EntFr * AbsValue(WAverage(O, NBarEnt2) - WAverage(L, NBarEnt3));
EntPrS = Lowest(H, NBarEnt1) - EntFr * AbsValue(WAverage(O, NBarEnt2) - WAverage(L, NBarEnt3));

{ Entry and exit conditions }
VarL1 = Average(L, N1)[Shift1];
VarL2 = StandardDev(VarL1, N2, 1);
VarL3 = MACD(O, N3, N4);
VarL4 = AbsValue(VarL3);
VarS1 = Average(H, N1)[Shift1];
VarS2 = StandardDev(VarS1, N2, 1);
VarS3 = MACD(O, N3, N4);
VarS4 = AbsValue(VarS3);
EntCondL = VarL2 >= VarL4;
EntCondS = VarS2 >= VarS4;

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

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