Change size depending on result

• 10/30/2022 at 2:32 AM #203203
  PeterSt

  PeterSt wrote:

  But this is not related to what’s odd today (in V11).

  I meant to say : in V10.3.

  

  PeterSt

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  10/30/2022 at 2:41 AM #203204
  robertogozzi

  Anyway, just use the code I first posted AS IS (you may change it at a later moment), but with the correct spelling, and don’t be afraid of using GRAPH:

  // pl: 130 sl: 70 t & ts: 50 x: 1 = 3min 528$, 46,88W, 25% BE, 3.1 G/L ratio, 1,82 time in the market. 64 trades DEFPARAM CumulateOrders = FALSE // ONCE x = 5 ONCE y = 1 ONCE LotSize = y ONCE WinningTrades = 0 ONCE LosingTrades = 0 IF StrategyProfit > StrategyProfit[1] THEN WinningTrades = WinningTrades + 1 IF WinningTrades >= x THEN WinningTrades = 0 LotSize = y ENDIF ELSIF StrategyProfit < StrategyProfit[1] THEN LosingTrades = LosingTrades + 1 IF LosingTrades >= x THEN LosingTrades = 0 LotSize = LotSize + y ENDIF ENDIF // ONCE MaxTrades = x //no more than 2 trades a day ONCE Tally = 0 IF IntraDayBarIndex = 0 THEN Tally = 0 ENDIF IF Not OnMarket THEN MyExit = 0 ELSE c1 = 0 ENDIF // once sl = 30 once pl = sl * 2 once adr = 30 once t = 10 once ts = t //////////////////////////////////////////////////////////////////////////////////////////////////////////// NewTrade = (OnMarket AND Not OnMarket[1]) OR (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) OR ((Not OnMarket AND Not OnMarket[1]) AND (StrategyProfit <> StrategyProfit[1])) IF NewTrade THEN Tally = Tally + 1 ENDIF //////////////////////////////////////////////////////////////////////////////////////////////////////////// // ADR Average Daily Range MyADR = average[20,0](Dhigh(1) - Dlow(1)) // IF (Time = 000000) OR ((Time > 000000) AND (Time < Time[1])) THEN MyHI = high MyLO = low c1 = 0 ENDIF IF Time <= 142900 THEN MyHI = max(MyHI,high) MyLO = min(MyLO,low) MyRange = MyHI - MyLO c1 = ((MyRange / MyADR) * 100) < adr ENDIF IF LongOnMarket THEN SET TARGET pPROFIT PL //you can change this value for LONG trades SET STOP pLOSS SL //you can change this value for LONG trades ELSIF ShortOnMarket THEN SET TARGET pPROFIT PL //you can change this value for SHORT trades SET STOP pLOSS SL //you can change this value for SHORT trades ENDIF IF Time >= 142900 AND Time <= 220000 AND c1 AND Tally < MaxTrades AND Not OnMarket THEN //trade only between 15:30 and 18:00 BUY LotSize Contract AT MyHI + 1 * pipsize STOP SELLSHORT LotSize Contract AT MyLO - 1 * pipsize STOP SET TARGET pPROFIT PL //initial values cannot be different with pending orders SET STOP pLOSS SL ENDIF IF MyExit = 0 THEN IF LongOnMarket AND (close - TradePrice) >= t * pipsize THEN //you can change this value for LONG trades MyExit = TradePrice ENDIF IF ShortOnMarket AND (TradePrice - close) >= ts * pipsize THEN //you can change this value for SHORT trades MyExit = TradePrice ENDIF ENDIF IF MyExit > 0 THEN IF LongOnMarket THEN SELL AT MyExit STOP ELSIF ShortOnMarket THEN EXITSHORT AT MyExit STOP ENDIF ENDIF graph LotSize

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  // pl: 130 sl: 70 t & ts: 50 x: 1 = 3min 528$, 46,88W, 25% BE, 3.1 G/L ratio, 1,82 time in the market. 64 trades DEFPARAM CumulateOrders = FALSE // ONCE x             = 5 ONCE y             = 1 ONCE LotSize       = y ONCE WinningTrades = 0 ONCE LosingTrades  = 0 IF StrategyProfit > StrategyProfit[1] THEN WinningTrades = WinningTrades + 1 IF WinningTrades >= x THEN WinningTrades = 0 LotSize       = y ENDIF ELSIF StrategyProfit < StrategyProfit[1] THEN LosingTrades  = LosingTrades  + 1 IF LosingTrades >= x THEN LosingTrades = 0 LotSize      = LotSize + y ENDIF ENDIF // ONCE MaxTrades = x                     //no more than 2 trades a day ONCE Tally     = 0 IF IntraDayBarIndex = 0 THEN Tally = 0 ENDIF IF Not OnMarket THEN MyExit = 0 ELSE c1 = 0 ENDIF // once sl = 30 once pl = sl * 2 once adr = 30 once t = 10 once ts = t //////////////////////////////////////////////////////////////////////////////////////////////////////////// NewTrade = (OnMarket AND Not OnMarket[1]) OR (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) OR ((Not OnMarket AND Not OnMarket[1]) AND (StrategyProfit <> StrategyProfit[1])) IF NewTrade THEN Tally = Tally + 1 ENDIF //////////////////////////////////////////////////////////////////////////////////////////////////////////// // ADR Average Daily Range MyADR       = average[20,0](Dhigh(1) - Dlow(1)) // IF (Time = 000000) OR ((Time > 000000) AND (Time < Time[1])) THEN MyHI     = high MyLO     = low c1       = 0 ENDIF IF Time <= 142900 THEN MyHI     = max(MyHI,high) MyLO     = min(MyLO,low) MyRange  = MyHI - MyLO c1       = ((MyRange / MyADR) * 100) < adr ENDIF IF LongOnMarket THEN SET TARGET pPROFIT PL          //you can change this value for LONG trades SET STOP   pLOSS   SL         //you can change this value for LONG trades ELSIF ShortOnMarket THEN SET TARGET pPROFIT PL          //you can change this value for SHORT trades SET STOP   pLOSS   SL         //you can change this value for SHORT trades ENDIF IF Time >= 142900 AND Time <= 220000 AND c1 AND Tally < MaxTrades AND Not OnMarket THEN   //trade only between 15:30 and 18:00 BUY       LotSize Contract AT MyHI + 1 * pipsize STOP SELLSHORT LotSize Contract AT MyLO - 1 * pipsize STOP SET TARGET pPROFIT PL     //initial values cannot be different with pending orders SET STOP   pLOSS   SL ENDIF IF MyExit = 0 THEN IF LongOnMarket AND (close - TradePrice) >= t * pipsize THEN    //you can change this value for LONG trades MyExit = TradePrice ENDIF IF ShortOnMarket AND (TradePrice - close) >= ts * pipsize THEN   //you can change this value for SHORT trades MyExit = TradePrice ENDIF ENDIF IF MyExit > 0 THEN IF LongOnMarket THEN SELL      AT MyExit STOP ELSIF ShortOnMarket THEN EXITSHORT AT MyExit STOP ENDIF ENDIF graph LotSize

   

  

  robertogozzi

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  10/30/2022 at 4:59 AM #203210
  PeterSt

  Here’s my take, based on the original snippet from Roberto.
  Ulle, As far as I can see this should do what you want.
  It is optimized on the TakeProfit and the StopLoss, and I would not use this in Live. Also, I made it a version for Short only, as this works out for the better (Long loses whatever I try within the mechanism).

  ONCE x = 5 ONCE y = 1 ONCE LotSize = y ONCE WinningTrades = 0 ONCE LosingTrades = 0 ONCE Spread = 1.5 // Nasdaq average of the day. Fill this at Backtest (Editor) start as well. // These are (over-)optimized, so be careful : ONCE TPA = 124 ONCE SLA = 66 // Set to 33 for a nice test. IF StrategyProfit > StrategyProfit[1] THEN WinningTrades = WinningTrades + 1 LosingTrades = 0 // Reset. IF WinningTrades >= x THEN WinningTrades = 0 // Start all over. LotSize = y ENDIF ELSIF StrategyProfit < StrategyProfit[1] THEN LosingTrades = LosingTrades + 1 WinningTrades = 0 // Reset. IF LosingTrades >= x THEN LotSize = LotSize + (y / 5) // = 0.2 LosingTrades = 0 // Start all over. ENDIF ENDIF TP = TPA * LotSize SL = SLA * LotSize If Not OnMarket then //Buy Lotsize Shares at Market // Long version. SellShort Lotsize Shares at Market // Short version. else Gain = (PositionPerf * abs(countofposition) * TradePrice) - (Spread * CountOfPosition) If Gain > TP then //Sell at Market // Long version. ExitShort at market // Short version. else If Gain < -SL then // Don't make too small or else no subsequent losses of x will occur. //Sell at market // Long version. ExitShort at market // Short version. endif endif endif Graph winningTrades Coloured ("Green") Graph LosingTrades Coloured ("Red") Graph LotSize Coloured ("White")

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  ONCE x             = 5 ONCE y             = 1 ONCE LotSize       = y ONCE WinningTrades = 0 ONCE LosingTrades  = 0 ONCE Spread = 1.5   // Nasdaq average of the day. Fill this at Backtest (Editor) start as well. // These are (over-)optimized, so be careful : ONCE TPA = 124 ONCE SLA = 66   // Set to 33 for a nice test. IF StrategyProfit > StrategyProfit[1] THEN   WinningTrades = WinningTrades + 1   LosingTrades = 0   // Reset.   IF WinningTrades >= x THEN     WinningTrades = 0   // Start all over.     LotSize = y   ENDIF ELSIF StrategyProfit < StrategyProfit[1] THEN   LosingTrades  = LosingTrades  + 1   WinningTrades = 0   // Reset.   IF LosingTrades >= x THEN     LotSize = LotSize + (y / 5)  // = 0.2     LosingTrades = 0   // Start all over.   ENDIF ENDIF   TP = TPA * LotSize SL = SLA * LotSize   If Not OnMarket then   //Buy Lotsize Shares at Market   // Long version.   SellShort Lotsize Shares at Market   // Short version. else   Gain = (PositionPerf * abs(countofposition) * TradePrice) - (Spread * CountOfPosition)   If Gain > TP then     //Sell at Market   // Long version.   ExitShort at market   // Short version.   else     If Gain < -SL then   // Don't make too small or else no subsequent losses of x will occur.       //Sell at market   // Long version.       ExitShort at market   // Short version.     endif   endif endif   Graph winningTrades Coloured ("Green") Graph LosingTrades Coloured ("Red") Graph LotSize Coloured ("White")

  Use this on Nasdaq (Tech 100), Contract size of 1 euro.
  Timeframe 1 minute.
  Load 100K bars.

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  The problem with this idea – at least how I see it – is that the subsequent losses form the mechanism, while the subsequent losses only form (really emerge) at the lower SL which implies losing because of the Spread. And thus the SL must be higher than the mechanism desires, and next the mechanism doesn’t work well.

  Have fun now !

  

  PeterSt

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