Bollinger Strategy problems with exit orders

• 08/13/2022 at 9:31 AM #199003
  taklause

  Hello everyone,

  I am having problems implementing a Bollinger Strategy.

  The following code should buy and sell with the shown condition. But we have trouble with the exits. They do not as they should

  defparam cumulateorders = false startTradingTime = 090500 stopTradingTime = 210000 positionSize = 1 // TRADING HOURS timeCondition = 0 IF(time >= startTradingTime) AND (time <= stopTradingTime) THEN timeCondition = 1 ENDIF AmountOfSigmas = 2 BollingerAmountOfPeriods = 20 BollingerBandsMeanAtCurrentClose = average[BollingerAmountOfPeriods,0](close) standardDeviation = STD[BollingerAmountOfPeriods](close) upperBollingerBand = BollingerBandsMeanAtCurrentClose + (AmountOfSigmas * standardDeviation) lowerBollingerBand = BollingerBandsMeanAtCurrentClose - (AmountOfSigmas * standardDeviation) AmountOfSigmascloseMean = 0.1 UpperBollingerCloseMean = BollingerBandsMeanAtCurrentClose + AmountOfSigmascloseMean*standardDeviation LowerBollingerCloseMean = BollingerBandsMeanAtCurrentClose - AmountOfSigmascloseMean*standardDeviation // Onboard Condition CurrentValueAboveUpperBollinger = close > upperBollingerBand // BollingerUp[BollingerAmountOfPeriods](close)//upperBollingerBand //BollingerUp[BollingerAmountOfPeriods](close) CurrentValueBelowLowerBollinger = close < lowerBollingerBand //BollingerDown[BollingerAmountOfPeriods](close)//lowerBollingerBand// BollingerDown[BollingerAmountOfPeriods](close) // BuyShortCondition = CurrentValueAboveUpperBollinger AND timeCondition BuyLongCondition = CurrentValueBelowLowerBollinger AND timeCondition // EXIT CONDITION sellLongCondition = close >= LowerBollingerCloseMean sellShortCondition = close <= UpperBollingerCloseMean sellstoplong = 40 sellstopshort = 40 IF BuyLongCondition AND NOT LONGONMARKET THEN BUY positionSize PERPOINT AT MARKET //SET STOP PLOSS sellstoplong SET TARGET PROFIT (BollingerBandsMeanAtCurrentClose +AmountOfSigmascloseMean*standardDeviation)*pipsize // POINT WHERE IT SHOULD SELL ENDIF IF BuyShortCondition AND NOT SHORTONMARKET THEN SELLSHORT positionSize PERPOINT AT MARKET //SET STOP PLOSS sellstopshort SET TARGET PROFIT (BollingerBandsMeanAtCurrentClose-AmountOfSigmascloseMean*standardDeviation)*pipsize // POINT WHERE IT SHOULD SELL ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50

  defparam cumulateorders = false   startTradingTime = 090500 stopTradingTime = 210000   positionSize = 1   // TRADING HOURS timeCondition = 0 IF(time >= startTradingTime) AND (time <= stopTradingTime) THEN timeCondition = 1 ENDIF   AmountOfSigmas = 2 BollingerAmountOfPeriods = 20 BollingerBandsMeanAtCurrentClose = average[BollingerAmountOfPeriods,0](close) standardDeviation = STD[BollingerAmountOfPeriods](close) upperBollingerBand = BollingerBandsMeanAtCurrentClose + (AmountOfSigmas * standardDeviation) lowerBollingerBand = BollingerBandsMeanAtCurrentClose - (AmountOfSigmas * standardDeviation)   AmountOfSigmascloseMean = 0.1 UpperBollingerCloseMean = BollingerBandsMeanAtCurrentClose + AmountOfSigmascloseMean*standardDeviation LowerBollingerCloseMean = BollingerBandsMeanAtCurrentClose - AmountOfSigmascloseMean*standardDeviation   // Onboard Condition CurrentValueAboveUpperBollinger = close > upperBollingerBand // BollingerUp[BollingerAmountOfPeriods](close)//upperBollingerBand //BollingerUp[BollingerAmountOfPeriods](close) CurrentValueBelowLowerBollinger = close < lowerBollingerBand //BollingerDown[BollingerAmountOfPeriods](close)//lowerBollingerBand// BollingerDown[BollingerAmountOfPeriods](close) //   BuyShortCondition = CurrentValueAboveUpperBollinger AND timeCondition BuyLongCondition = CurrentValueBelowLowerBollinger AND timeCondition   // EXIT CONDITION sellLongCondition = close >= LowerBollingerCloseMean sellShortCondition = close <= UpperBollingerCloseMean   sellstoplong = 40 sellstopshort = 40 IF BuyLongCondition AND NOT LONGONMARKET THEN BUY positionSize PERPOINT AT MARKET //SET STOP PLOSS sellstoplong SET TARGET PROFIT (BollingerBandsMeanAtCurrentClose +AmountOfSigmascloseMean*standardDeviation)*pipsize // POINT WHERE IT SHOULD SELL ENDIF     IF BuyShortCondition AND NOT SHORTONMARKET THEN   SELLSHORT positionSize PERPOINT AT MARKET //SET STOP PLOSS sellstopshort SET TARGET PROFIT (BollingerBandsMeanAtCurrentClose-AmountOfSigmascloseMean*standardDeviation)*pipsize // POINT WHERE IT SHOULD SELL ENDIF

   

  

  taklause

  Participant

  Topics: 5

  Replies: 5

  Been thanked: 1 time
  08/13/2022 at 11:25 AM #199008
  JS

  I don’t see exit orders, I do see “Exit Condition” but these are not used in the code…

  You go Long with “Buy” but I don’t see “Sell” as “exit order”

  You go Short with “SellShort” but I don’t see “ExitShort” as “exit order”

  LONG: Buy vs Sell

  SHORT: SellShort vs ExitShort

   

  

  JS

  Participant

  Topics: 22

  Replies: 1411

  Been thanked: 554 times
  08/13/2022 at 12:22 PM #199013
  taklause

  IF sellLongCondition THEN sell at market ENDIF IF sellShortCondition THEN exitshort at market ENDIF

  1 2 3 4 5 6 7 8

  IF sellLongCondition THEN sell at market ENDIF     IF sellShortCondition THEN exitshort at market ENDIF

  Yes you are right, but how would I use a SET TARGET PROFIT with UpperBollingerCloseMean or LowerBollingerCloseMean as example?

  

  taklause

  Participant

  Topics: 5

  Replies: 5

  Been thanked: 1 time
  08/13/2022 at 2:51 PM #199021
  JS

  Bollinger Exits

  DefParam CumulateOrders = False Period = 20 xMean = Average[Period](Close) xStd = Std[Period](Close) BBUp = xMean + 2 * xStd BBDown = xMean - 2 * xStd If Close Crosses Over BBUp then SellShort 1 contract at Market EndIf If Close Crosses Under BBDown then Buy 1 contract at Market EndIf xMeanUp = xMean + 0.1 * xStd xMeanDown = xMean - 0.1 * xStd If LongOnMarket then Sell at xMeanUp LIMIT EndIf If ShortOnMarket then ExitShort at xMeanDown LIMIT EndIf

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28

  DefParam CumulateOrders = False   Period = 20   xMean = Average[Period](Close) xStd = Std[Period](Close)   BBUp = xMean + 2 * xStd BBDown = xMean - 2 * xStd   If Close Crosses Over BBUp then SellShort 1 contract at Market EndIf   If Close Crosses Under BBDown then Buy 1 contract at Market EndIf   xMeanUp = xMean + 0.1 * xStd xMeanDown = xMean - 0.1 * xStd   If LongOnMarket then Sell at xMeanUp LIMIT EndIf   If ShortOnMarket then ExitShort at xMeanDown LIMIT EndIf

  Hi @taklause

  You can use a LIMIT order to exit your positions…

   

  1 user thanked author for this post.

  taklause

  

  JS

  Participant

  Topics: 22

  Replies: 1411

  Been thanked: 554 times
• Author
  Posts