Building M-Language Trading Modules and an Opening-Range Breakout
Summary
The document presents reusable M-language modules for quantitative trading, including percentage price change, new highs, price and volume surges, narrow ranges, moving-average alignment, prior-high locations, and price gaps. It also outlines moving averages, Bollinger Bands, and MACD, with examples of how to express these calculations in the platform’s language. The modules are intended to be combined into larger strategies.
As an applied example, it describes a forex spot adaptation of HANS123: measure the high and low during the first 30 minutes after the open, enter long or short when price breaks those bounds, and close positions before the session ends. The document includes strategy rules and sample code, but supplies no performance results or risk analysis. It does not specify transaction costs, position sizing, or how the approach should be tested across markets and time periods, so the example should be treated as an implementation lesson rather than evidence of profitability.
Key ideas
- M-language strategies can be assembled from reusable modules for price changes, breakouts, volume, ranges, and moving-average conditions.
- Moving averages, Bollinger Bands, and MACD offer different ways to describe trend, dispersion, and momentum.
- The HANS123 example defines an opening range from the first 30 minutes and trades breaks of its high or low.
- The example closes positions before the session ends, but gives no evidence of profitability or guidance on costs and sizing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.