LinReg ATR-TL BreakOut on Close Strategy - Trading system

[JPR]

Here's a strategy based on buying or selling when a bar breaks out of a Linear Regression Trendline Channel.
To create the LR Channel ATR's are used. The Tradestation "Lin Reg Line" indicator was modified to create the code. The strategie plot the LR Channel on the screen and Buys or Sells when a bar closes outside of the channel.



inputs:
Length( 20 ),
? ?Mult(2.0),
Color( Yellow ),
ColorTop( Cyan ),
ColorBot( Magenta ),
ExtRight( true ) ;

variables:
LRV( 0 ),
LRVAgo( 0 ),
LRVAgot( 0 ),
LRVAgob( 0 ),
TLLRV( 0 ),
TLLRVt( 0 ),
TLLRVb( 0 ),
Flag( 0 ),
?Dev(0),
? ?BuyPrice( 0 ),
? ?SellPrice( 0 );

if Flag = 0 then begin { Insert 1st LinRegLine; Set Color and ExtRight }
if BarNumber > 2*Length {and LastBarOnChart} then begin
?LRV = LinearRegValue( C, Length, 0 ) ;
?LRVAgo = LinearRegValue( C, Length, Length - 1 ) ;
?Dev = Mult * average(range,Length);
?TLLRV = TL_New( Date[ Length - 1 ], Time[ Length - 1 ], LRVAgo, Date, Time, LRV ) ;
?TLLRVt = TL_New( Date[ Length - 1 ], Time[ Length - 1 ], LRVAgo+Dev, Date, Time, LRV+dev ) ;
?TLLRVb = TL_New( Date[ Length - 1 ], Time[ Length - 1 ], LRVAgo-Dev, Date, Time, LRV-Dev ) ;
?Flag = 1 ;
?TL_SetColor( TLLRV, Color ) ;TL_SetColor( TLLRVt, ColorTop ) ;TL_SetColor( TLLRVb, ColorBot ) ;
?TL_SetExtLeft( TLLRV, false ) ;TL_SetExtLeft( TLLRVt, false ) ;TL_SetExtLeft( TLLRVb, false ) ;
?if ExtRight then begin
? TL_SetExtRight( TLLRV, true );TL_SetExtRight( TLLRVt, true );TL_SetExtRight( TLLRVb, true );
?end else begin
? TL_SetExtRight( TLLRV, false ) ;TL_SetExtRight( TLLRVt, false ) ;TL_SetExtRight( TLLRVb, false ) ;
?end ;
end ;
end
else if Flag = 1 then begin

{ Signals. }
BuyPrice = TL_GetValue( TLLRVt, Date, Time ) ;
SellPrice = TL_GetValue( TLLRVb, Date, Time ) ;
if Close crosses over BuyPrice then
?Buy ( "LR-LE" ) next bar at Market ;
if Close crosses under SellPrice then
?SellShort ( "LR-SE" ) next bar at Market ;

{ Reset the end-points of LRLines ?}
LRV = LinearRegValue( C, Length, 0 ) ;
LRVAgo = LinearRegValue( C, Length, Length - 1 ) ;
Dev = Mult * average(range,Length);
TL_SetBegin( TLLRV, Date[ Length - 1 ], Time[ Length - 1 ], LRVAgo ) ;
TL_SetEnd( TLLRV, Date, Time, LRV ) ;
TL_SetBegin( TLLRVt, Date[ Length - 1 ], Time[ Length - 1 ], LRVAgo+Dev ) ;
TL_SetEnd( TLLRVt, Date, Time, LRV+Dev ) ;
TL_SetBegin( TLLRVb, Date[ Length - 1 ], Time[ Length - 1 ], LRVAgo-Dev ) ;
TL_SetEnd( TLLRVb, Date, Time, LRV-Dev ) ;

end ;


Paul M .... Heb jij een oplossing voor de kleuren & lijnen .... ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?Groet, ? ? ?? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? Paul R ?

(Edited by JPR at 4:28 pm op 8,nov. 2003)

[Paul M]

Hallo Paul,

Nee, die heb ik niet. Veel van deze functie's zijn nog niet geimplementeerd.

Paul.