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High Percentage Trading System by Michael R. Bryant
The trading system used in my article in this issue, "Position Sizing With Monte Carlo Simulation,"
can be coded in TradeStation and other software as follows:

Typ : System, Name : High Percentage Trading System

Input:  ASize   (30000), { starting account size, $ }
         DDGoal  (50),   { max closed out trade drawdown, % }
         RiskPer (10),   { percentage risk per trade }
         NRand   (1000), { number of random sequences }
         EntFrac (0.75); { multiple of range for entry }

 Var:   EntPr   (0),    { Entry target price }
         XitPr   (0),    { mm stop exit price }
         TrRisk  (0);    { trade risk, $ }
 
TrRisk = 1000;
EntPr = H + EntFrac * (H - L);
If C > C[1] then
        Buy next bar at EntPr Stop;
        
Exitlong("MMStop") next bar at EntryPrice - TrRisk/BigPointValue stop;
If BarsSinceEntry >= 1 and open of next bar > EntryPrice then
        ExitLong("ProfOpen") next bar at market;

{Value1 = MonteCarlo (ASize, DDGoal, RiskPer, TrRisk, NRand);}

{This last line calls the MonteCarlo function, which randomizes the
trades and summarizes the results. Delete it if you don't want the
MonteCarlo results.}

 

t-s-High_Percentage_Trading_System.gif
Source / From: TOP
http://www.traders.com

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