// Built for @ES 1 minute chart 
// Jonathan Kinlay
//  May 19 2014
//
using elsystem; 
using elsystem.collections; 
Using elsystem.io ;  
Using tsdata.marketdata; 
using tsdata.common; 
  

 
input: 
 
	Len(10),  
	PTLVticks(30), 
	PTSVticks(2), 
	SLLVticks(2), 
	SLSVticks(30), 
	 
	upperVolThreshold(3), 
	lowerVolThreshold(0.25), 
	 
	StartTime(0800), 
	EndTime(1515);//use exchange time on chart; 
	 
	 
var: 

	BN(1), 
	PT(0), 
	SL(0), 
	PTv(0.25), 
	SLv(10), 
	plusTrueRange(0), 
	minusTrueRange(0), 
	upsideVol(0), 
	downsideVol(0), 
	upsideFCSTVOL(0), 
	downsideFCSTVOL(0); 

	 
once clearprintlog;	  
	 
if date <> date[1] then begin  
	BN = 1;  
	 
	end else begin 
	BN += 1; 

	 
	If Close > Close[1] then begin	 
		upsideFCSTVOL = plusTrueRange + (plusTrueRange-plusTrueRange[1])*0.5; 
		plusTrueRange = TrueRange; 
		end; 
	If Close < Close[1] then begin 
		downsideFCSTVOL=minusTrueRange + (minusTrueRange-minusTrueRange[1])*0.5; 
		minusTrueRange = TrueRange; 
		end;		  
	 
	if BN >= Len -1 
	and marketposition = 0 
	and time >= StartTime 
	and upsideFCSTVOL > upperVolThreshold 
	then begin 
		buy("LE LV") 1 contracts next bar at Market; 
		PT = PTLVticks; 
		SL = SLLVticks; 
		end; 
	 	 
	if BN >= Len - 1 
	and marketposition = 0  
	and time >= StartTime 
	and downsideFCSTVOL > upperVolThreshold 
	then begin 
		sellshort("SE LV") 1 contracts next bar at Market; 
		PT = PTLVticks; 
		SL = SLLVticks; 
		end; 
		 
	if BN >= Len -1 
	and marketposition = 0 
	and time >= StartTime 
	and upsideFCSTVOL < lowerVolThreshold 
	then begin 
	 
		SellShort("SE SV") 1 contract next bar at InsideAsk Limit; 
		PT = PTSVticks; 
		SL = SLSVticks; 
		end; 
		 
	if BN >= Len -1 
	and marketposition = 0 
	and time >= StartTime 
	and downsideFCSTVOL < lowerVolThreshold 
	then begin 
	 
		Buy("LE SV") 1 contract next bar at InsideBid Limit; 
		PT = PTSVticks; 
		SL = SLSVticks; 
		end; 

	 
	PTv = PT* Minmove/Pricescale; 
	SLv = SL*Minmove/Pricescale; 
	 
	setprofittarget(PTv*bigpointvalue); 
	setstoploss(SLv*bigpointvalue); 
	setexitonclose; 
	 
	 
	 
	end;