Close stop or Close limit

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  • 06/26/2018 at 6:20 PM #74451 quote
    pancho0423
    Participant
    New

    Hello,

    In my trading system with long positions, probacktest sometimes executes the order better like “buy 1 share at close stop” and other times it is more correct “buy 1 share at close limit” depending on whether there is a bullish or bearish gap.

    Is it possible to tell probacktest to choose the option closest to the closing price when the conditions are met? I have tried to put the two options, but then open two positions and I just want you to open one.

    Thank you.

    06/26/2018 at 6:42 PM #74452 quote
    Vonasi
    Moderator
    Master

    All decisions are made at the close of a candle and orders placed at the opening of the next one so once a new candle opens it is too late to change anything or make any decisions based on this candles opening price.

    06/26/2018 at 6:49 PM #74453 quote
    robertogozzi
    Moderator
    Master

    Use LIMIT when your entry price is more favorable, i.e. you want either to buy at a lower price or sell at a higher one.

    Use STOP when your entry price is less favorable, i.e. you want to either buy at a higher price or sell at a lower one.

    Use IF to compare prices and place the correct pending order.

    06/26/2018 at 7:19 PM #74455 quote
    Vonasi
    Moderator
    Master
    robertogozzi wrote:

    Use IF to compare prices and place the correct pending order.

    But if I understand correctly the OP wants to make that decision based on the gap to the next candle which is not known until that candle opens and then it is too late to place any orders.

    06/26/2018 at 7:53 PM #74457 quote
    robertogozzi
    Moderator
    Master

    Entering AT CLOSE is a bit awkward, ’cause when the candle closes and conditions are met maybe a tenth of a pip has already moved up or down (ot there can be a GAP)  and CLOSE might be slightly away from that price and you cannot tell whether you have to place a LIMIT or STOP order.

    As Vonasi said, it is impossible to predict a GAP, so I suggest to use AT MARKET, instead.

    06/26/2018 at 9:25 PM #74460 quote
    pancho0423
    Participant
    New

    ok, thanks !

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Close stop or Close limit


ProOrder: Automated Strategies & Backtesting

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pancho0423 @pancho0423 Participant
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This topic contains 5 replies,
has 3 voices, and was last updated by pancho0423
7 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/26/2018
Status: Active
Attachments: No files
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