amibroker code

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Project Description

I have try to create a simple stratergy, moving average trend filter. And buy ony new high in last 50 days and sell 50
50 day low. Also position size is set as 2 percente of equity divided by ATR * point value. Trailing
stop is at 3 * ATR. I want this system to trade a diverse set of markets. However due to a smaller capital base
i would not have enough money to cover all positions without an increase in risk, so to avoid this i want to
trade markets with low correlation. If possible i want to create another filter to this stratergy, the filter would
involve filtering out high correlated markets, based on x periods. The filter would select the market with the highest
momentum. Can this be done.

SetOption("InitialEquity", 500000);
SetOption("MinShares", 50);
SetOption("NoDefaultColumns", True );
SetOption("CommissionMode", 10); //$$ per trade
SetOption("CommissionAmount", 0);
SetOption("MarginRequirement", 10);
SetOption("UsePrevBarEquityForPosSizing", True);
SetBacktestMode( backtestRegular );

SetPositionSize( 50, spsPercentOfEquity )/(6* ATR(20));

H1 = High > Ref(HHV(High,50),-1);
L1 = Low < Ref(LLV(Low,50),-1);

fast = EMA(C, 50);
slow = EMA(C, 100);
BB = fast>slow;
SS = fast

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