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Submitted by: 

Periodicity: 

Rules...

RULE 1: 10 Minutes: If SAR_BUY_SIGNAL then REVERSE, buying 100 at Next Bar Open price
SIGNAL=SAR_BUY_SIGNAL: SAR1>CL1 AND SAR<CL
ELEM=SAR:Parabolic SAR:SAR [Scan] 0.07,0.20
ELEM=CL:Close

RULE 2: 10 Minutes: If SAR_BUY_SIGNAL then BUY 100 at Next Bar Open price
SIGNAL=SAR_BUY_SIGNAL: SAR1>CL1 AND SAR<CL
ELEM=SAR:Parabolic SAR:SAR [Scan] 0.07,0.20
ELEM=CL:Close

RULE 3: 10 Minutes: If SAR_SELL_SIGNAL then REVERSE, selling short 100 at Next Bar Open price
SIGNAL=SAR_SELL_SIGNAL: SAR1<CL1 AND SAR>CL
ELEM=SAR:Parabolic SAR:SAR [Scan] 0.07,0.20
ELEM=CL:Close

RULE 4: 10 Minutes: If SAR_SELL_SIGNAL then SELL at Next Bar Open price
SIGNAL=SAR_SELL_SIGNAL: SAR1<CL1 AND SAR>CL
ELEM=SAR:Parabolic SAR:SAR [Scan] 0.07,0.20
ELEM=CL:Close

Explanation and Comments...

This system is based on the Parabolic SAR.  It is designed to stay in the market at all times, reversing positions when the SAR reverses.  The key to setting up “an always in-the-market” backtest is placing the rules in proper order. (Please note that it also works correctly if the rules are placed in the order of 3, 4, 1, 2.)  I prefer to run the system with 10 minute data on QQQ.