Need a program for a breakout trading method

Discussion in 'Automated Trading' started by Sam Mcgee, Oct 29, 2008.

  1. I have a trading method that works fairly well when I test it manually. I'm just starting to learn Easylanguage and hope to be able to program it sometime soon but it's too difficult for me yet as a beginner. If anyone more capable would like to give it a try I'd appreciate it. I'm just hoping that in exchange for me sharing the method, that someone might send or post the Easylanguage program for it.

    Here's the method, it's a little hard to explain in words, I've attached a picture as well:
    Use 30 minute bars
    Start at 9:30 EST
    Use NQ emini futures
    The high of a bar must be higher by at least one point than the high of any bar before or after. Call that high, the high breakout point.
    When that high breakout point is exceeded in a bar at least two bars later, enter a long trade. Exit at the end of the day.
    Vice versa for shorts.

    When I test it manually over hundreds of days the method works out to be profitable. I'd like to use programming to test it through years of data.
  2. I'm not an easy language guy, but these guys have done some easylanguage work for me. I'm sure they could help you out.
  3. rosy2


    if you know java or c# look into esper. it would be airly simple to do.
  4. sam,

    my easy language is rusty, but it will be something like

    if (high>(high[-1]+1)) then buy limit at high
    if (low<(low[-1]-1)) then sell limit at low
    You could also checkout open source c# tradelink platform I develop with a number of other traders and firms

    The code for your idea in tradelink would be something like :

    public SamIdea : DayTraderBox
     override ReadOrder(Tick t)
       if (bl.RecentBar.High>(bl[bl.Last-1].High+1) 
     return new BuyLimit(Symbol, bl.RecentBar.High, MinSize);
      if (bl.RecentBar.Low<(bl[bl.Last-1].Low-1))
     return new SellLimit(Symbol,bl.RecentBar.Low,MinSize);
    Unlike TS, this software is free and open source and works with Assent, IB and Sterling/Echo is upcoming.
  5. my examples didn't include exceeding that limit 2 bars later, but you get the idea.
  6. wenzi


    I think you need to sit down and write a set of concrete rules before you give it to a programmer.

    For example, you state
    But in the image, the bar where you state a breakout high is created has a lower high than the first, second or third bars. So how is that a high breakout point ?

    Those are the questions you are going to get from a programmer.
  7. Yes, you're correct, I wasn't clear. How about, the high of a bar must be higher by at least one point than at least one of the bars before and at least one point higher than at least one of the closed bars after. Call that high, the high breakout point.
  8. Similar to 123, the selling at the EOD I'm not sure, how about sell at next major resistance area.

  9. Tradelink, thank you very much for your post, it gives me a good start.

    I really like the Tradelink program. I think the idea of making an open source charting/trading program is great. Are you the main person that made the program? I downloaded and tried Tradelink and it looked very good. For the 90% of us who aren't making a profit with technical trading, it's hard to justify putting out big $ for charting and trading software.

    I'm looking at using Multicharts right now though over Tradelink. The main reason for that is because I can find a lot of existing Easylanguage programs that I can plug right in. Too bad Tradelink couldn't use Easylanguage. I'm sure that the Tradelink language has it's advantages but you can't beat the huge library of programs in Easylanguage that's available in books and on the net.
  10. telozo