Trading Strategies from Active Trader Magazine

Two-bar Breakout System (futures and options)

MetaStock 8.0 or latter is required to specify the entry price for this system. This system will also have to be edited for each future you wish to test. In the buy order and the sell short order, the entry price formula assigns a value to a variable named x. You need to set x to the value of one tick for the future in question as the data is reported by your data provider. To create this system:

• Select the Enhanced System tester from the Tools menu
• Click New
• Enter the name of the system
• Select the Buy Order tab and enter the following formula:
  
  ref(l<ref(l,-1) and h<ref(h,-1) and c<o,-1)
  
  
• Set the order type to Stop Limit
• Enter the following formula for the Limit or Stop Price:
  
  x:=0.01;
  ref(h,-1)+x
  
  
• Select the Sell Order tab and enter this formula:
  
  l<ref(l,-1)
  
  
• Set the order type to "Stop Limit"
• Enter the following formula for the Limit or Stop Price:
  
  ref(l,-1)
  
  
• Select the Sell Short Order tab and enter the following formula:
  
  ref(l>ref(l,-1) and h>ref(h,-1) and c>o,-1)
  
  
• Set the order type to "Stop Limit"
• Enter the following formula for the Limit or Stop Price:
  
  x:=0.01;
  ref(l,-1)-x
  
  
• Set the enter size dropdown to "number of units"
• Enter a 1 in the space to the right of the entry size
• Select the Buy to Cover order tab and enter this formula:
  
  h>ref(h,-1)
  
  
• Set the order type to "Stop Limit"
• Enter the following formula for the Limit or Stop Price:
  
  ref(h,-1)