Connors TPS

This EA is designed to automate Larry Connor’s System TPS - ( Time Position & Scale ) first described in his book “High Probability ETF Trading ”

https://www.amazon.com/High-Probability-ETF-Trading-Professional/dp/0615297412

The operation of TPS can be summarized as follows:

1.       Trade an ETF or Cash Index

2.       The Index trades above its 200-day moving average

3.       Open a 10% long position, if the 2-period RSI is below 25 for two days in a row

4.       Increase position size by 20%, if closing price dips below the previous entry price

5.       Increase position size by 30%, if closing price dips below the previous entry price

6.       Increase position size by 40%, if closing price dips below the previous entry price

7.       Exit, when the 2-period RSI closes above 70

8.       use the same rules (with opposite direction) for the short side

The DEFAULT setting will have the EA opening new positions at the OPEN of the next candle after an entry signal.

This is NOT how the system was originally described in the book. I have enabled an option to trade at the CLOSE of the DAILY candle. In this case the user must select the option CLOSE_OF_THIS_BAR. Enabling this option, the EA will trade exactly as described in the book with all trades being placed at the close of the market DAILY candle. More specifically 1 minute before the close. For users who have any issues with this method there is a 3 ^rd option EXACT_TIME. Enter the time as 4 digits. For 930pm enter 2135 and this is when trades will be placed.

The strategy was originally designed to trade Exchange Traded Funds or ETF's. When using this EA it is recommended to use it only on these types of instruments, Cash Indices such as the SP500, NASDAQ seem to be the best. The system is also profitable for some individual stocks, though they are inherently more risky.

The system is a DAILY strategy and has been hard coded to calculate all indicators and trades based on the DAILY TIMEFRAME. If you apply this EA to a lower timeframe, say 5 MIN chart. The EA will still operate on the DAILY TIMEFRAME.

This is a professional trading strategy originally designed by a world-renowned trader, I have simply automated it. This is not a GET RICH QUICK Martingale type of strategy. Scaling into the position is part of the strategy, however no more than 4 entries are permitted.

Expert Advisor Settings

Entry Mode: OPEN_OF_NEXT_BAR, CLOSE_OF_THIS_BAR or EXACT_TIME can be selected. (Metatrader back-tester will require good data for CLOSE_OF_THIS_BAR or EXACT_TIME to be used)

The user may adjust the RSI Period, Entry and Exit Levels.

The moving average filter may be toggled on or off and the moving average period may also be adjusted.

Both Long or Short trading can be enabled or disabled by the user.

Position Sizing

The user must specify the lot size of the First Trade Position. The scale-in function will then use this value to calculate the subsequent entries in much the same way as described in Larry Connor’s book. The Scale-In Sequence is 1,2,3,4.

The user may set the 1 ^st position size using one of three options DEFINED LOTS, FIXED VALUE or ACCOUNT PERCENTAGE after that the EA will multiply that position as per the sequence.

For Example

User Sets ‘First Position Size = 0.10 Lots

Position 1 = 0.10 lots
Position 2 = 0.10 x2 ==> 0.20 lots
Position 3 = 0.10 x3 ==> 0.30 lots
Position 4 = 0.10 x4 ==> 0.40 lots

Maximum Position = First Position Size x 10 ie 1.00 lots for the above example.

With the EA enabled the position sizes of each level are displayed on the chart, along with the EA settings (see example picture)

For users of Amibroker, who wish to back-test this strategy across many symbols quickly and efficiently I also sell this code as a stand-alone Amibroker.afl file.

The Amibroker backtest images in the screenshots were of the QQQ ETF with default settings.

Please paste your email address in the comments section if you require a modified version of this strategy.