Adding to Open

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  • 06/09/2017 at 10:53 AM #37879 quote
    johnmensink
    Participant
    New

    I am trying to create a simple system that takes the Open price and adds 28 points to it.
    This far I can’t seem to get it working right. If I backtest it, the graph shows it always buys on the Open price + 0.5 (half the spread on DAX)
    So I think the 28 is left out of the formula.
    I have tried multiple things, with all the same result:

    c1 = open + 28
    c1 = high > (open+28)
    c1 = open + 0.028
    c1 = (open => 28)

    The complete code:

    // Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Prevents the system from placing new orders on specified days of the week
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

// Conditions to enter long positions
c1 = (open + 28)

IF c1 AND not daysForbiddenEntry THEN
BUY 1 PERPOINT AT MARKET
ENDIF

// Stops and targets
SET STOP pLOSS 70
SET TARGET pPROFIT 9
    06/09/2017 at 3:22 PM #37900 quote
    Nicolas
    Keymaster
    Master

    Because the code is only read once per bar at its Close, the program will never met your c1 condition. In order to put a pending order on market (a conditional order) you’ll have to use a STOP or a LIMIT one. In your case, because you want to buy at an higher price than the actual one, you should use STOP order, like this:

    // Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Prevents the system from placing new orders on specified days of the week
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

IF not daysForbiddenEntry THEN
BUY 1 PERPOINT AT close+28*pointsize STOP
ENDIF

// Stops and targets
SET STOP pLOSS 70
SET TARGET pPROFIT 9

    The stop order will remain active only 1 bar. I use Close instead of Open, because it will put the order at current Close level (+28 points) of the candlestick (when the code is read) and at the next bar open. Hope it’s clear 😀

    06/09/2017 at 3:59 PM #37901 quote
    johnmensink
    Participant
    New

    Thank you Nicolas, that helps a lot!
    I can work with this.

    If I use this code, will there be a conditional order added to my ‘working orders’ on IG?
    Or will it only be visible on ProReal. (ProReal makes a market deal once the parameters are met)

    06/09/2017 at 4:06 PM #37903 quote
    Nicolas
    Keymaster
    Master

    The pending orders will be of course visible in your broker orders list, just like any other ones 🙂

    06/09/2017 at 4:19 PM #37905 quote
    johnmensink
    Participant
    New

    I was hoping I could skip the margin withdrawal 🙂 (other brokers do not take margin for pending orders)

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Adding to Open


ProOrder: Automated Strategies & Backtesting

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johnmensink @johnmensink Participant
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This topic contains 4 replies,
has 2 voices, and was last updated by johnmensink
8 years, 9 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/09/2017
Status: Active
Attachments: No files
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