algoscript-sample.lisp

(define-strategy ((ema-length 20) ; strategy inputs
                (patience-threshold 5) ; can have default values
                (points-target 1.5)
                (points-risked 2))
  ;; declare variables
  (let ((x-up 0) (x-down 0)
        (factor1 0) (factor2 0)
        (factor3 0) (factor4 0))
    ;; set things up
    (set factor1 (* (- (high) (low)) 2.5)
         factor2 (/ (+ close (high) (low)) 3)
         factor3 (x-average factor1 ema-length)
         factor4 (x-average factor2 ema-length)
         x-up (+ factor4 factor3)
         x-down (- factor4 factor3))
    ;; entry or exit according to market position
    (cond ((= 'neutral (market-position))
           ;; enter since we are neither long nor short
           (let ((n1 0) (n2 0) (frac 0)
                 (whole 0) (ema 0) (trigger 0))
             ;; low, high, etc. are properties
             ;; of the current bar which is 
             ;; built automatically
             (set n1 (lowest-bar (low) 15)
                  n2 (highest-bar (high) 15)
                  ema (x-average (close) ema-length)
                  frac (frac-portion ema)
                  whole (int-portion ema))
             ;; conditional statement returns a value
             (set trigger (cond ((<= frac 0.125) 
                                 whole)
                                ((and (> frac 0.125) (<= frac 0.375)) 
                                 (+ whole 0.25))
                                ((and (> frac 0.375) (<= frac 0.625))
                                 (+ whole 0.50))
                                ((and (> frac 0.625) (<= frac 0.875))
                                 (+ whole 0.75))
                                ((> frac 0.875)
                                 (+ whole 1.00))))
             ;; (back n1 (low)) is the value of (low) n1 bars ago.
             ;; series are built automatically whenever the use 
             ;; of back is detected.
             (when (and (< (back n1 (low)) (back n1 x-down))
                        (< (int-portion (/ time 100)) 15)
                        (< (rate-of-change ema 2) 0))
               ;; entries can be tagged
               (short-at-limit trigger :tag "SE"))
             (when (and (> (back n2 (high)) (back n2 x-up))
                        (< (int-portion (/ time 100)) 15)
                        (> (rate-of-change ema 2) 0))
               (buy-at-limit trigger :tag "LE"))
             ))
          ((= 'long (market-position))
           ;; exit rules
           (cond ((>= (bars-since-entry) patience-threshold)
                  (sell-at-market :tag "LX Dead"))
                 ((>= (bars-since-entry) 1)
                  (sell-at-limit (+ entry-price points-target)
                                 :tag "LX Trgt")
                  (sell-at-stop (- entry-price points-risked)
                                :tag "LX Stop"))))
          ((= 'short (market-position))
           ;; we are short
           (cond ((>= (bars-since-entry) patience-threshold)
                  (cover-at-market :tag "SX Dead"))
                 ((>= (bars-since-entry) 1)
                  (sell-at-limit (- entry-price points-target)
                                 :tag "SX Trgt")
                  (sell-at-stop (+ entry-price points-risked)
                                :tag "SX Stop"))))
          )))