always execute stop/limit order at next bar

• 01/24/2021 at 11:34 PM #159301
  Paul

  Hi, I’am stuck on something. It’s not intended for live, but for backtest purpose.

  defparam cumulative orders=true.

  I’ve a buy signal and a long position will be sold at the market next bar open.

  But at the same time I need to buy at that bar where that long position was closed.

  How do I write the condition with stop/limit so the order will always be executed, regardless how the next candle (after the signal) looks or gaps.

  So far I’ve this and works in part. In pic an example where it doesn’t work.

  if longonmarket and condbuy and (reentry=1 or reentry=2) then sell positionsize contract at market newprice=close if newprice=newprice+0.01 then buy positionsize contract at newprice stop else buy positionsize contract at newprice limit endif set stop %loss sll set target %profit ptl endif

  1 2 3 4 5 6 7 8 9 10 11

  if longonmarket and condbuy and (reentry=1 or reentry=2) then sell positionsize contract at market newprice=close if newprice=newprice+0.01 then buy positionsize contract at newprice stop else buy positionsize contract at newprice limit endif set stop %loss sll set target %profit ptl endif

   

  

  Paul

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  01/24/2021 at 11:55 PM #159305
  robertogozzi

  You can’t, unless you use the MTF support with a default 1-minute TF and BUY 1 minute after the previous position is closed.

  This is because ProOrder needs one bar before knowing the updated OnMarket status.

   

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  Paul

  

  robertogozzi

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  01/25/2021 at 4:06 AM #159309
  Paul

  Thnx roberto. that’s a shame. I don’t want to use MTF because that defeats the purpose.

  But I’ve changed it a little. Removed the 0.01, the condition is always true.

  It works often now. I will update progress on the concept in the vectorial dax topic.

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  Nicolas

  

  Paul

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  01/26/2021 at 3:10 AM #159436
  Paul

  Here’s the file i’ve been working on.

  step1 & step2 use with cumulative orders set to true, optimising one or both steps to find good values to be used in step3.

  step3 set cumulative orders to false for live trading

  this is about seeing the trades that the normal backtest might not see because it is already on the market. Now those trades/signals have more meaning when optimising and always have impact. Best is to have all 3 equity-curves look similar (regardless the extra spread/trades with step1/2)

  Maybe it will be useful and can be improved or maybe it’s not useful at all. I’am not sure yet.

  example; dow 5m 100k optimised with a dpo setup for long

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  nonetheless

  

  Paul

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  01/26/2021 at 7:37 PM #159532
  Paul

  @nonetheless

  After having founded good & robust entry settings, added Roberto’s ts  (disabled pt) and you have on (step3) a nice equity-curve on 200k. Maybe I shouldn’t have posted it here in this topic. But pretty good for an entry parameter with only 1 (best) value which is 100! Should be robust on vrt too I hope.

   

   

   

   

  

  Paul

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  01/27/2021 at 5:46 PM #159596
  nonetheless

  This is a really cool idea – comes close to incorporating VRT at the optimization level by using more of the possible entries. I’ll have to make some time to play around with it, thanks for sharing!

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  Paul

  

  nonetheless

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