Day Open Straddle: una operación de breakout al día

// ============================================================
// Day Open Straddle
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 3 minutes
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // contracts per trade
useHighLowFilter = 1      // 1 = only trade inside the last days' highs and lows
stopLossPct = 0.60        // protective stop, percent of entry price
takeProfitPct = 0.40      // profit target, percent of entry price
trailPct = 0.35           // trailing distance, percent of entry price
entryDistance = 15        // points beyond the day open that trigger an entry
forbiddenDay = 0          // day of week with no entries (0 = Sunday)

// --- Indicators ---
// One trade per day at most, counters reset on the first bar of the session.
IF IntradayBarIndex = 0 THEN
  longTradeCount = 0
  shortTradeCount = 0
  tradeCount = 0
ENDIF

dayAllowed = DayOfWeek <> forbiddenDay

// Evaluated before the entries on purpose, the counters update inside the entry blocks.
longAllowed = CountOfLongShares < 1 AND longTradeCount < 1 AND tradeCount < 1
shortAllowed = CountOfShortShares < 1 AND shortTradeCount < 1 AND tradeCount < 1

IF Date <> Date[1] THEN
  dayOpen = open
ENDIF

// Lowest daily high and highest daily low over today and the two previous days.
lowestDayHigh = Min(Min(DHigh(0), DHigh(1)), Min(DHigh(1), DHigh(2)))
highestDayLow = Max(Max(DLow(0), DLow(1)), Max(DLow(1), DLow(2)))

IF useHighLowFilter THEN
  longFilter = high < lowestDayHigh
  shortFilter = low > highestDayLow
ELSE
  longFilter = high
  shortFilter = low
ENDIF