Carsten’s post about a simple pivot-based trading system was intriguing to me mainly because I have never tried to code such a system. I guessed that coding a proof-of-concept of the system would be pretty easy, and it was.
Here is the code for Tradestation:
inputs:
ATRLength( 10 ), // I used Average True Range as a substitute [...]
- Avg. Trade Return: +0.42%
- Winning Trades: 245/362 (67.68%)
- Last Closed Trade: Mar 16, 2010
- Inception: Nov 18, 2009
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