code for limiting the number of cumulative orders

• 10/12/2020 at 5:08 PM #147183
  nonetheless

  I’m using the following code to limit cumulative orders to a max of 8:

  Once MaxPositionsAllowed = 8 // Conditions to enter long positions IF Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a and abs(CountOfPosition) < MaxPositionsAllowed THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.3 SET TARGET %PROFIT 2.2 ENDIF

  1 2 3 4 5 6 7

  Once MaxPositionsAllowed = 8 // Conditions to enter long positions IF Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a and abs(CountOfPosition) < MaxPositionsAllowed THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.3 SET TARGET %PROFIT 2.2 ENDIF

  but in practice (demo) the strategy is taking more than 8, see attached pic. Is there anything wrong with the above code?

  

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  10/12/2020 at 5:26 PM #147185
  JC_Bywan

  I don’t know how your positionsize is calculated and how your countofposition usually evolves, but let’s say as an example you have abs(countposition)=7 ( is lower than 8) and positionsize is 3, the “if” statement will conclude that 7 being lower than 8 (and your other conditions being respected), it’s ok to add 3 to this, and 7+3=10…

  In other words, from quick read without the rest of the code, this piece of code is not preventing you from going above 8 at all, because you made your check before adding to the position, so I’d try with :    abs(countofposition)<maxpositionallowed-positionsize   to see there’s enough room left below the max before increasing the position

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  nonetheless

  

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  10/12/2020 at 5:35 PM #147188
  robertogozzi

  I think line 3 could be written as:

  IF Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a and (abs(CountOfPosition) + PositionSize) <= MaxPositionsAllowed THEN

  1	IF Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a and (abs(CountOfPosition)  + PositionSize) <= MaxPositionsAllowed THEN

   

   

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  Paul, nonetheless

  

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  10/12/2020 at 5:38 PM #147189
  nonetheless

  Thanks for that, but perhaps I am missing something. Surely countofposition and positionsize are 2 different things, no?

  In this case, positionsize is .4 on the DJ and I want to have a max of 8 different entries of .4 each. Would the MaxPositionsAllowed then need to be 3.2 ?

  

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  10/12/2020 at 5:40 PM #147190
  swedshare

  Yes, 3.2. I also had to think twice on DJI.

  

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  10/12/2020 at 5:50 PM #147193
  nonetheless

  But how will that work with MM then? when the positionsize increases? Maybe

  MaxPositionsAllowed = (positionsize x 8)

  1	MaxPositionsAllowed = (positionsize x 8)

  ???

  

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  10/12/2020 at 5:52 PM #147194
  robertogozzi

  COUNTOFPOSITION is the number (negative for Short positions) of total positions accumulated so far, while PositionSize is the number of positions you want to trade at that very moment. After opening additional PositionSize contracts/shares, COUNTOFPOSITION will be increased by PositionSize units.

   

  

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  10/12/2020 at 6:43 PM #147206
  nonetheless

  Sorry Roberto, if my positionsize = .4 and the strategy has cumulated 7 orders then the countofposition is 7  or 2.8 ?

  

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  10/12/2020 at 7:01 PM #147208
  robertogozzi

  2.8

   

  

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  10/12/2020 at 7:09 PM #147209
  nonetheless

  Ok, so countofposition is actually the total number of contracts. In this case I would want that to max at 3.2 and if positionsize didn’t change then there’s no problem. But what happens when the MM  changes the positionsize? Is there no way of specifying the number of instances, rather than the number of contracts?

  

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  10/12/2020 at 7:50 PM #147211
  fifi743

  hi nonetheless

  Try this

  round(COUNTOFPOSITION /positionsize)

  1	round(COUNTOFPOSITION /positionsize)

   

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  nonetheless

  

  fifi743

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  10/12/2020 at 8:24 PM #147212
  nonetheless

  Hi Fifi, comment ca va?

  Do you mean

  

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  10/12/2020 at 8:37 PM #147217
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  that is supposed to say

  Once MaxPositionsAllowed = 8 // Conditions to enter long positions IF Ctime and myconditions and round(CountOfPosition/positionsize) <= MaxPositionsAllowed THEN

  1 2 3 4

  Once MaxPositionsAllowed = 8   // Conditions to enter long positions IF Ctime and myconditions and round(CountOfPosition/positionsize) <= MaxPositionsAllowed THEN

   

  

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  10/12/2020 at 8:53 PM #147220
  robertogozzi

  Why using ROUND()?

  MaxPositionsAllowed is a limit. If your current COUNTOFPOSITION is 7.4 and you wanna add 0.8 the code won’t allow that.

  Rounding that number will count it as 7, so you’ll be allow to add 0.8 PositionSize contracts, but doing this actually will raise COUNTOFPOSITION to 8.2, which is not what you asked with MaxPositionsAllowed.

   

  

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  10/12/2020 at 8:57 PM #147221
  robertogozzi

  Sorry, I just realized I misunderstood.

  You want MaxPositionsAllowed to set the number of times you open positions, no matter how large they are.

  In that case your code is correct.

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  Kovit, nonetheless

  

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