I tried using the Luxor script to generate the csv file with the value of the slow moving MA, fast moving MA, Gross Profit and Gross Loss.
I failed miserably it seems.
Can anyone help point me where I am making mistakes?
Code:
function run()
{
	StartDate = 2003;
	EndDate = 2008;
	BarPeriod = 30;
	LookBack = 30;
	asset("GBP/USD");
	
	int Slow = 20;
	int Fast = 1;
	int MaxSlow = 60;
	int MaxFast = 10;
	
// no trade costs...	
	Spread = 0;
	Slippage = 0;
	RollLong = RollShort = 0;
	 
	for(Slow; Slow<=MaxSlow;++Slow){
		for(Fast; Fast<=MaxFast;++Fast){
				vars Price = series(priceClose()),
				Fast = series(SMA(Price,Fast)),
				Slow = series(SMA(Price,Slow));
				
				static var BuyLimit,SellLimit,BuyStop,SellStop;
				
				if(crossOver(Fast,Slow)) {
					BuyStop = priceHigh() + 1*PIP;
					BuyLimit = priceHigh() + 5*PIP;
				}
				if(crossUnder(Fast,Slow)) {
					SellStop = priceLow() - 1*PIP;
					SellLimit = priceLow() - 5*PIP;
				}
					
				if(!NumOpenLong && Fast[0] > Slow[0] && Price[0] < BuyLimit)
					enterLong(1,BuyStop);
				if(!NumOpenShort && Fast[0] < Slow[0] && Price[0] > SellLimit)
					enterShort(1,SellStop);
			
			if(is(EXITRUN)){
					char line[100];
	  				sprintf(line,
	    						"%i,%i,%i,%i\n",
	    						Slow,Fast,WinTotal,LossTotal);	  
	     			file_append("Data\\NetProfit.csv",line);
			}	
		}
	}
	
}