pivot_point_trending.rb

# { Pivot Point Breakout Copyright 2011, P.J.Kaufman. All rights reserved. }
# 	
# 	inputs: 	period(3);
# 	vars:		startday(0), ix(0), lasthigh(0), lastlow(0), lowpassed(false), size(0),
# 				investment(25000);
# 	
# 
# 	startday = 2*period + 1;
# 	
# { test high pivot point }	
# 	if high[period+1] >= highest(high,startday) then lasthigh = high[period+1];
# 	
# { test low pivot point }
# 	If low[period+1] <= lowest(low,startday) then lastlow = low[period+1];
# 	
# 	If marketposition <> 1 and High > lasthigh then	begin
# 			size = investment/(AvgTrueRange(10)*bigpointvalue);
# 			If Marketposition = -1 then buy to cover this bar on close;
# 			Buy size contracts this bar on close;
# 			end
# 		Else if Marketposition <> -1 and low < lastlow then begin
# 			size = investment/(AvgTrueRange(10)*bigpointvalue);
# 			If Marketposition = 1 then sell this bar on close;
# 			Sell short size contracts this bar on close;
# 		end;
#

def strategy(period)
  # pivot points
  prices = @stock.prices_between(period.days - now, now)
  
  highest_high = prices.map(*&:high).max
  lowest_low = prices.map(*&:low).min

  todays_high = prices.last.high
  todays_low = prices.last.low
  
  # how does position sizing here work? what's big point value
  # size = investment/(AvgTrueRange(10)*bigpointvalue);
  
  if todays_high >= pivot_point_high
    close_all_positions
    buy(...)
  else if todays_low <= pivot_point_high
    close_all_positions
    sell(..)
  end
end