I’m finding that with trailing stops a trade will often close at a profit only to reopen a few candles later if entry conditions persist, even if it’s near the top of the run and not actually a sensible place to buy. Is there an easy way to prevent this? such as, only opening at a price better than wherever last trade closed?
Ciao Roberto, thanks for that – could definitely work. Is there no way to do it base on price rather than time (bars) ?
Is there no way to do it base on price rather than time (bars) ?
The problem with doing it on price is that if you say I will only enter again at a lower price and then the market just goes up from there then your strategy will never open a trade ever again. I guess you could have this rule and then maybe reset things once or twice a day or week to get the strategy trading again.
Something like this perhaps:
defparam cumulateorders = false
once tradeon = 1
if (your conditions) and tradeon then
buy 1 contract at market
tradeon = 0
endif
if strategyprofit <> strategyprofit[1] then
lasttime = opentime
endif
if not tradeon and (your conditions) and close < tradeprice then
buy 1 contract at market
endif
if intradaybarindex = 0 or time = lasttime + 120000 then //resets 12 hours after last trade is closed or at start of the day.
tradeon = 1
endif
Yeah, that looks good too. I’ll play around with both solutions and see which works best. Thanks to you both!
@Vonasi unfortunately this results in no trades at all, unless I added it wrong? I tried altering the reset time, but no difference.
// Definition of code parameters
DEFPARAM CumulateOrders = false // Cumulating positions deactivated
DEFPARAM preloadbars = 5000
//Money Management
MM = 0
if MM = 0 then //MM = 0 for optimization
positionsize=1
ENDIF
if MM = 1 then
ONCE startpositionsize = 1
ONCE factor = 10 // factor of 15 means margin increases/decreases @ 6.6% of strategy profit; 10 = 10% 20 = 5% etc — optimize for best result, profit vs drawdown
ONCE margin = 40 // enter margin value of 1 contract
ONCE maxpositionsize = 200 // NAS €1 IG first tier margin limit
ONCE minpositionsize = .5 // enter minimum position allowed
IF Not OnMarket THEN
positionsize = startpositionsize + Strategyprofit/(factor*margin)
ENDIF
IF Not OnMarket THEN
if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN
positionsize = minpositionsize// keeps positionsize from going below allowed minimum
ENDIF
IF startpositionsize + Strategyprofit/(factor*margin) > maxpositionsize then
positionsize = maxpositionsize// keeps positionsize from going above IG first tier margin limit
ENDIF
ENDIF
ENDIF
TIMEFRAME(120 minutes)
Period= p
inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice)
HULL = weightedaverage[round(sqrt(Period))](inner)
c1 = HULL > HULL[1]
//c2 = HULL < HULL[1]
indicator1 = SuperTrend[m,n]
c3 = (close > indicator1)
//c4 = (close < indicator1)
TIMEFRAME(30 minutes)
indicator4 = Average[2](typicalPrice)
indicator5 = Average[8](typicalPrice)
c11 = (indicator4 > indicator5)
//c12 = (indicator4 < indicator5)
TIMEFRAME(15 minutes)
indicator2 = Average[7](typicalPrice)
indicator3 = Average[10](typicalPrice)
c7 = (indicator2 > indicator3)
//c8 = (indicator2 < indicator3)
Perioda= p1
innera = 2*weightedaverage[round( Perioda/2)](typicalprice)-weightedaverage[Perioda](typicalprice)
HULLa = weightedaverage[round(sqrt(Perioda))](innera)
c9 = HULLa > HULLa[1]
//c10 = HULLa < HULLa[1]
TIMEFRAME(5 minutes)
once tradeon = 1
Periodb= p2
innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice)
HULLb = weightedaverage[round(sqrt(Periodb))](innerb)
c5 = HULLb > HULLb[1]and HULLb[1]<HULLb[2]
//c6 = HULLb < HULLb[1]and HULLb[1]>HULLb[2]
// Conditions to enter long positions
IF c1 AND C3 AND C5 and c7 and c9 and c11 and tradeon THEN
BUY PositionSize CONTRACT AT MARKET
tradeon = 0
ENDIF
if strategyprofit <> strategyprofit[1] then
lasttime = opentime
IF not tradeon and c1 AND C3 AND C5 and c7 and c9 and c11 and close < tradeprice THEN
BUY PositionSize CONTRACT AT MARKET
ENDIF
if intradaybarindex = 0 or time = lasttime + 120000 then //resets 12 hours after last trade is closed or at start of the day.
tradeon = 1
endif
ENDIF
SET STOP %LOSS stl
SET TARGET %PROFIT .7
//trailing stop function
trailingstart = tst //trailing will start @trailinstart points profit
trailingstep = st //trailing step to move the "stoploss"
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
Have you analysed the trades to ensure that the reentries are not profitable?
Your comment suggests that you see the second entry as less optimal, are you able to define the optimal state that you would want for entry in the code ie more than 30 points from high of day? That you could add as an opening condition to support the averages and supertrend that you are using that are more persistent conditions
Insert an ENDIF after line 72. It seems there was one missing in my code (I didn’t test it as it was ust a general idea to work with).
I’ll edit the code in my earlier post to correct it.
Thanks Vonasi, that solves the problem I thought I had … but sadly doesn’t make the algo any more effective. Back to the proverbial…
@Robo Futures Trader tbh I haven’t gone through the backtest trade by trade, it’s more of an instinctive thing. The win rate is 87% so it’s getting it mostly right, but when the price retraces and closes a position it just ‘feels wrong’ to see it reopen 15 minutes later at a worse price. I’ve tried all kinds of things to redefine the entry conditions but nothing seems to help. Perhaps as you suggest, some sort of fixed price criteria rather than the combination of averages i tend to work with…
If you get the entries into Excel, convert the entry date to only be the date and then use a countif formula which will give you a column with the entry number on that day, you can then pivot to compare first, second entries etc
I was not saying to drop the use of moving averages but if you can define what you see as ideal and less ideal entries then it may be that you can add a further condition to allow the system to only take the first entry
