Dear Roberto,
First, I want to really thank you again for taking the time to answer my questions. I’m a beginner and may ask candide questions and I hope one day I’ll be in position to generously help others, like you do.
Secondly, I understand your point but as you can see on the screenshot I’ve attached above, it shows two pending orders, created with the same Algo running under 3min TF, the first generated at 3.15pm and the second generated at 3.18pm, meaning that the first Order has not been cancelled at 3.18pm despite the closure of the previous 3min candle. If the first order was cancelled automatically and has been replaced by a new one at the smae price conditions, then it would show the 3.18pm timing instead of 3.15pm.
I didn’t want to bother you with so much details, but below is the complete code of the Algo that doesn’t work as expected, may be something wrong with my coding skills or the order of appearance of the instructions. This code is largely inspired from https://www.prorealcode.com/topic/machine-learning-in-proorder/page/26/#post-129120
Again, my concern is that the pending orders are not cancelled automatically at the end of each candle.
Your help is much appreciated.
defparam cumulateorders = false
defparam preloadbars = 2000
N = 0.5
C1 = 1
C2 = 2
heuristicscyclelimit = 2
once heuristicscycle = 0
once heuristicsalgo1 = 1
once heuristicsalgo2 = 0
if heuristicscycle >= heuristicscyclelimit then
if heuristicsalgo1 = 1 then
heuristicsalgo2 = 1
heuristicsalgo1 = 0
elsif heuristicsalgo2 = 1 then
heuristicsalgo1 = 1
heuristicsalgo2 = 0
endif
heuristicscycle = 0
else
once valuex = startingvalue
once valuey = startingvalue2
endif
if heuristicsalgo1 = 1 then
//heuristics algorithm 1 start
if (onmarket[1] = 1 and onmarket = 0) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) then
optimise = optimise + 1
endif
//Settings 1 & 2
startingvalue = 40 //5, 100, 10 //LONG BOXSIZE
ResetPeriod = 3 //1, 0.5 Specify no of months after which to reset optimisation
increment = 10 //10 //5, 20, 10
maxincrement = 20 //5, 10 limit of no of increments either up or down
reps = 3 //1 number of trades to use for analysis //2
maxvalue = 5 //10 //70 //50 //50, 20, 300, 150 //maximum allowed value
minvalue = increment //15, 5, minimum allowed value
startingvalue2 = 15 //40 //5, 100, 50 //SHORT BOXSIZE
ResetPeriod2 = 3 //1, 0.5 Specify no of months after which to reset optimisation
increment2 = 10 //10 //5, 10
maxincrement2 = 5 //20 //1, 30 limit of no of increments either up/down //4
reps2 = 2 //3 //1, 2 nos of trades to use for analysis //3
maxvalue2 = 5 //5 //50, 20, 300, 200 maximum allowed value
minvalue2 = increment2 //15, 5, minimum allowed value
once monthinit = month
once yearinit = year
If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then
ValueX = StartingValue
WinCountB = 0
StratAvgB = 0
BestA = 0
BestB = 0
monthinit = month
yearinit = year
EndIf
once valuex = startingvalue
once pincpos = 1 //positive increment position
once nincpos = 1 //negative increment position
once optimise = 0 //initialize heuristicks engine counter (must be incremented at position start or exit)
once mode1 = 1 //switches between negative and positive increments
//once wincountb = 3 //initialize best win count
//graph wincountb coloured (0,0,0) as "wincountb"
//once stratavgb = 4353 //initialize best avg strategy profit
//graph stratavgb coloured (0,0,0) as "stratavgb"
if optimise = reps then
wincounta = 0 //initialize current win count
stratavga = 0 //initialize current avg strategy profit
heuristicscycle = heuristicscycle + 1
for i = 1 to reps do
if positionperf(i) > 0 then
wincounta = wincounta + 1 //increment current wincount
endif
stratavga = stratavga + (((positionperf(i)*countofposition[i]*close)*-1)*-1)
next
stratavga = stratavga/reps //calculate current avg strategy profit
//graph (positionperf(1)*countofposition[1]*100000)*-1 as "posperf1"
//graph (positionperf(2)*countofposition[2]*100000)*-1 as "posperf2"
//graph stratavga*-1 as "stratavga"
//once besta = 300
//graph besta coloured (0,0,0) as "besta"
if stratavga >= stratavgb then
stratavgb = stratavga //update best strategy profit
besta = valuex
endif
//once bestb = 300
//graph bestb coloured (0,0,0) as "bestb"
if wincounta >= wincountb then
wincountb = wincounta //update best win count
bestb = valuex
endif
if wincounta > wincountb and stratavga > stratavgb then
mode1 = 0
elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 1 then
valuex = valuex - (increment*nincpos)
nincpos = nincpos + 1
mode1 = 2
elsif wincounta >= wincountb or stratavga >= stratavgb and mode1 = 1 then
valuex = valuex + (increment*pincpos)
pincpos = pincpos + 1
mode1 = 1
elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 2 then
valuex = valuex + (increment*pincpos)
pincpos = pincpos + 1
mode1 = 1
elsif wincounta >= wincountb or stratavga >= stratavgb and mode1 = 2 then
valuex = valuex - (increment*nincpos)
nincpos = nincpos + 1
mode1 = 2
endif
if nincpos > maxincrement or pincpos > maxincrement then
if besta = bestb then
valuex = besta
else
if reps >= 10 then
weightedscore = 10
else
weightedscore = round((reps/100)*100)
endif
valuex = round(((besta*(20-weightedscore)) + (bestb*weightedscore))/20) //lower reps = less weight assigned to win%
endif
nincpos = 1
pincpos = 1
elsif valuex > maxvalue then
valuex = maxvalue
elsif valuex < minvalue then
valuex = minvalue
endif
optimise = 0
endif
// heuristics algorithm 1 end
elsif heuristicsalgo2 = 1 then
// heuristics algorithm 2 start
if (onmarket[1] = 1 and onmarket = 0) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) then
optimise2 = optimise2 + 1
endif
//Settings 2
once monthinit2 = month
once yearinit2 = year
If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then
ValueY = StartingValue2
WinCountB2 = 0
StratAvgB2 = 0
BestA2 = 0
BestB2 = 0
monthinit2 = month
yearinit2 = year
EndIf
once valuey = startingvalue2
once pincpos2 = 1 //positive increment position
once nincpos2 = 1 //negative increment position
once optimise2 = 0 //initialize heuristicks engine counter (must be incremented at position start or exit)
once mode2 = 1 //switches between negative and positive increments
if optimise2 = reps2 then
wincounta2 = 0 //initialize current win count
stratavga2 = 0 //initialize current avg strategy profit
heuristicscycle = heuristicscycle + 1
for i2 = 1 to reps2 do
if positionperf(i2) > 0 then
wincounta2 = wincounta2 + 1 //increment current wincount
endif
stratavga2 = stratavga2 + (((positionperf(i2)*countofposition[i2]*close)*-1)*-1)
next
stratavga2 = stratavga2/reps2 //calculate current avg strategy profit
if stratavga2 >= stratavgb2 then
stratavgb2 = stratavga2 //update best strategy profit
besta2 = valuey
endif
if wincounta2 >= wincountb2 then
wincountb2 = wincounta2 //update best win count
bestb2 = valuey
endif
if wincounta2 > wincountb2 and stratavga2 > stratavgb2 then
mode2 = 0
elsif wincounta2 < wincountb2 and stratavga2 < stratavgb2 and mode2 = 1 then
valuey = valuey - (increment2*nincpos2)
nincpos2 = nincpos2 + 1
mode2 = 2
elsif wincounta2 >= wincountb2 or stratavga2 >= stratavgb2 and mode2 = 1 then
valuey = valuey + (increment2*pincpos2)
pincpos2 = pincpos2 + 1
mode2 = 1
elsif wincounta2 < wincountb2 and stratavga2 < stratavgb2 and mode2 = 2 then
valuey = valuey + (increment2*pincpos2)
pincpos2 = pincpos2 + 1
mode2 = 1
elsif wincounta2 >= wincountb2 or stratavga2 >= stratavgb2 and mode2 = 2 then
valuey = valuey - (increment2*nincpos2)
nincpos2 = nincpos2 + 1
mode2 = 2
endif
if nincpos2 > maxincrement2 or pincpos2 > maxincrement2 then
if besta2 = bestb2 then
valuey = besta2
else
if reps2 >= 10 then
weightedscore2 = 10
else
weightedscore2 = round((reps2/100)*100)
endif
valuey = round(((besta2*(20-weightedscore2)) + (bestb2*weightedscore2))/20) //lower reps = less weight assigned to win%
endif
nincpos2 = 1
pincpos2 = 1
elsif valuey > maxvalue2 then
valuey = maxvalue2
elsif valuey < minvalue2 then
valuey = minvalue2
endif
optimise2 = 0
endif
// heuristics algorithm 2 end
endif
//
boxsizeL = max ( ValueX , (maxvalue+minvalue)/2) //added (maxvalue+minvalue)/2 to avoid division by zero error
boxsizeS = max ( ValueY , (maxvalue2+minvalue2)/2) //added (maxvalue+minvalue)/2 to avoid division by zero error
//
renkomaxl = round(close / boxsizel) * boxsizel
renkominl = renkomaxl - boxsizel
renkomaxs = round(close / boxsizes) * boxsizes
renkomins = renkomaxs - boxsizes
//
if high > renkomaxl + boxsizel then
renkomaxl = renkomaxl + boxsizel
renkominl = renkominl + boxsizel
endif
if low < renkomins - boxsizes then
renkomaxs = renkomaxs - boxsizes
renkomins = renkomins - boxsizes
endif
// IG SPREAD for DAX 1€
IF time>=001500 AND time>060000 then
spread = 2
ELSIF (time>=060000 AND time>070000) AND (time>=153000 AND time>200000)then
spread = 1
ELSIF time>=070000 AND time>153000 then
spread = 0.6
ELSIF time>=200000 AND time>001500 then
spread = 2.5
ENDIF
// Conditions C1 and C2 (can be customized) set to 1 to test the programme
IF C1=1 THEN
BUY N CONTRACT at (renkoMaxL + boxSizeL + spread) STOP
ENDIF
IF C2=2 THEN
SELLSHORT N CONTRACT at (renkoMinS - boxSizeS - spread) STOP
ENDIF
// SL and TP and Breakeven
set stop ptrailing 3
set target pprofit 500
startBreakeven = 6
PointsToKeep = 1
IF NOT ONMARKET THEN
breakevenLevel=0
ENDIF
IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN
//calculate the breakevenLevel
breakevenLevel = tradeprice(1)+PointsToKeep*pipsize
ENDIF
IF SHORTONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN
//calculate the breakevenLevel
breakevenLevel = tradeprice(1)-PointsToKeep*pipsize
ENDIF
IF breakevenLevel>0 THEN
SELL AT breakevenLevel STOP
ENDIF
IF breakevenLevel>0 THEN
EXITSHORT AT breakevenLevel STOP
ENDIF
