{-------------------------------------------------------------------------------
 Trading Strategy Code
 Population member: 9
 Max bars back: 78

 Created by: Adaptrade Builder version 2.4.1.0
 Created:    7/24/2019 5:17:05 PM

 Scripting language: TradeStation 6 or newer

 Symbol file:  MES
 Build dates: 1/7/2000 to 7/18/2019

 Project file: LongTermIndex_LongOnly_Top.gpstrat
-------------------------------------------------------------------------------}

{ Strategy inputs }
Inputs: N1 (2),                 { Day of week (0 to 6 for Sunday to Saturday) }
        N2 (72),                { Indicator look-back length (bars) }
        Shift1 (6),             { Indicator shift value (bars) }
        NBarEn1 (17),           { Price pattern look-back length (bars) }
        NBarEn2 (56),           { Indicator look-back length (bars) }
        NBarEn3 (88),           { Indicator look-back length (bars) }
        EntFr (3.2618),         { Multiple of price difference (e.g., ATR); entry }
        MMStopPct (8.155),      { Value of percentage money management stop }
        NBarEx1 (86),           { Number of bars from entry for market exit if profitable }
        StartEquity (20000.00), { Starting account equity value }
        PSParam (200.00),       { 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 (100);        { Maximum allowable position size }

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

{ Variables for entry and exit conditions }
Var:    VarL1     (0),
        VarL2     (0),
        VarL3     (0),
        CondL1    (false),
        CondL2    (false),
        EntCondL  (false);

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

{ Entry price }
EntPrL = L[NBarEn1] - EntFr * AbsValue(XAverage(L, NBarEn2) - XAverage(H, NBarEn3));

{ Entry and exit conditions }
VarL1 = DayOfWeek(date);
VarL2 = AvgTrueRange(N2)[Shift1];
VarL3 = TrueRange;
CondL1 = VarL1 crosses below N1;
CondL2 = VarL2 >= VarL3;
EntCondL = CondL1 or CondL2;

{ Position sizing calculations }
Equity = StartEquity + NetProfit + OpenPositionProfit;
NShares = (Equity * 0.01 * PSParam)/AbsValue(EntPrL * BigPointValue);

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 then begin
    Buy("EnLimit-L") NShares shares next bar at EntPrL limit;
end;

{ Exit orders, long trades }
If MarketPosition = 1 then begin
    If BarsSinceEntry = 0 then begin
        LStop = (1 - MMStopPct/100.0) * EntryPrice;
    end;

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

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