he programmers who want to implement this logic can find the code of the trading

system in TradeStation s Easy Language below. (Other readers can skip this paragraph
and continue on to the description of the trading system.) We added some comment
s into
the code so that you know what is done and so that you can change the code easil
y
according to your needs.
Text 3.1: Easy Language Code of the LUXOR trading system. Bold letters: Code for
the entries.
Normal letters: added time filter. In comment brackets: possible simple exits.
{Copyright 2000. OMEGA RESEARCH, INC. MIAMI, FLORIDA.
Strategy Trading and Development Club STAD, Volume 13,
Modified 18 June 2006 and 15 July 2008 by Urban Jaekle
Modified 1 January 2007 by Russell Stagg}
{1. Definition of necessary inputs and variables}
Inputs:
FastLength( 3 ),
{The input parameters of the two moving averages... }
SlowLength( 30 ),
tset(1600), {...start time for the intraday time window filter...}
WindowDist(100); {...window distance for the intraday time window filter...}
{...can be changed this makes optimisation possible}
Variables:
{Definition of needed variables}
MP(0), Fast(0), Slow(0), GoLong(False), GoShort(False), BuyStop(0),
SellStop(0), BuyLimit(0), SellLimit(0), tEnd(1700);
MP = MarketPosition;
{2. Time window filter; see below: 3.4,