Breakeven- and trailing stop problem
-
Thank you both. The easiest try was Nicolas suggestion so I tried that to start with.
Focussed on the trailing stop.
- if I use “not on market’ as a criteria to enter a new position, a new position is not entered with a valid opposite signal. So removed “not on market’ to start with
- If the trailing stop is not used, a long signal goes short with a valid opposite signal
- But a trailing stop (0.35) is used but not reached, the long signal goes short, but short is immediately closed. So there’s the problem and it’s in the trailing stop I believe.
// mfe trailing stop if mfewtrailingstop then trailingstop = (tradeprice/100)*mwts if not onmarket then maxprice = 0 minprice = close priceexit = 0 elsif onmarket[1] and ( (longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket) ) then maxprice = 0 minprice = close priceexit = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pipsize then priceexit = maxprice-trailingstop*pipsize endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pipsize then priceexit = minprice+trailingstop*pipsize endif endif endifIn de added suggestion, I tried with onmarket[1] or onmarket[0], or without onmarket but that made no difference
tried with elsif, and with new if command no difference
Here’s my final test code on the dax with working breakeven- and trailing stops in every scenario.
It does matter that a trailing stop code is above the breakeven code.
// test trailingstop and breakeven on the dax defparam cumulateorders = false once enableSL = 1 // stop loss once enablePT = 1 // profit target once enableTS = 1 // trailing stop once enableBE = 1 // breakeven stop once displaySL = 1 // stop loss once displayPT = 1 // profit target once displayTS = 1 // trailing stop once displayBE = 1 // breakeven stop SL = 0.75 // % stop loss PT = 1.00 // % profit target TS = 0.35 // % trailing stop BESG = 0.25 // % break even stop gain BESL = 0.00 // % break even stop level // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 endif pclong= longtradecounter<1 pcshort = shorttradecounter<1 shortma = average[25](close) longma = average[50](close) // conditions to enter long positions l1 = (shortma crosses over longma) // conditions to enter short s1 = (shortma crosses under longma) if pclong and l1 then buy 1 contract at market longtradecounter=longtradecounter+1 endif if pcshort and s1 then sellshort 1 contract at market shorttradecounter=shorttradecounter+1 endif // trailing stop if enableTS then trailingstop = (tradeprice/100)*TS if not onmarket then maxprice=0 minprice=close priceexit=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close priceexit=0 endif if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pointsize then priceexit=maxprice-trailingstop*pointsize endif endif if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pointsize then priceexit=minprice+trailingstop*pointsize endif endif if longonmarket and priceexit>0 then sell at priceexit stop endif if shortonmarket and priceexit>0 then exitshort at priceexit stop endif if displayTS then graphonprice priceexit coloured(0,0,255,255) as "trailingstop" endif endif // break even stop if enableBE then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)+((tradeprice/100)*BESL)*pipsize endif endif if shortonmarket then if tradeprice(1)-close>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)-((tradeprice/100)*BESL)*pipsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif if displayBE then graphonprice newsl coloured(244,102,27,255) as "breakevenstop" endif endif // to set & display profittarget if enablePT then set target %profit PT if displaypt then if not onmarket then ptarget=0 elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then ptarget=0 endif if onmarket then if longonmarket then ptarget=tradeprice(1)+((tradeprice(1)*PT)/100)*pointsize endif if shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*PT)/100)*pointsize endif endif graphonprice ptarget coloured(121,141,35,255) as "profittarget" endif endif // to set & display stoploss if enableSL then set stop %loss SL if displaysl then if not onmarket then sloss=0 elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then sloss=0 endif if onmarket then if longonmarket then sloss=tradeprice(1)-((tradeprice(1)*SL)/100)*pointsize endif if shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*SL)/100)*pointsize endif endif graphonprice sloss coloured(255,0,0,255) as "stoploss" endif endif graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"haha spot on Vonasi, works now, thank you!
I had tried same / similar. but I can see now I was // out 3 lines too many in each code section with a GRAPH function.
Also I’ve now noticed that I was optimising over 10k bars only!
I was watching a good film at same time, but maybe I need to get my glasses from Australia! 🙂
Actually below are what I wear on the computer when my eyes are tired! Pinhole glasses (£4 or £1 from china!) ,,, think physics in school and pinhole cameras and that’s how they work! Well worth checking out for anybody who’s eyesight is not what it used to be!
- You must be logged in to reply to this topic.
New Reply
Summary
This topic contains 16 replies,
has 5 voices, and was last updated by 
7 years ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/30/2019 |
| Status: | Active |
| Attachments: | 7 files |
Loading...