Code for partial close with percentage

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  • #168205 quote
    nonetheless
    Participant
    Master

    I’m using the following partial close with a EUR/USD mini strategy:

    ONCE partialclose = 1
    IF partialclose THEN
    ONCE PerCent     = 0.9              //%  positions to close
    ONCE PerCent2     = 0.01              //%  positions to close
    ONCE MinLotSize  = 1              //1  lots minimum
    ExitQuantity     = abs(CountOfPosition) * PerCent
    LeftQty          = max(MinLotSize,abs(CountOfPosition) - ExitQuantity)
    CloseQuantity    = abs(CountOfPosition) - LeftQty
    
    ExitQuantity2     = abs(CountOfPosition) * PerCent2
    LeftQty2          = max(MinLotSize,abs(CountOfPosition) - ExitQuantity2)
    CloseQuantity2    = abs(CountOfPosition) - LeftQty2
     
    IF Not OnMarket THEN
    Flag = 1
    Flag2 = 1
    ENDIF
     
    IF LongOnMarket and close >= (PositionPrice + 4*pipsize)  AND Flag THEN
    SELL CloseQuantity Contracts AT Market
    Flag = 0
    endif
    
    IF ShortOnMarket and close <= (PositionPrice - 8*pipsize)  AND Flag2 THEN
    exitshort CloseQuantity2 Contracts AT Market
    Flag2 = 0
    endif
    endif

    This seems to work and the result is better than without partial close, but I’m getting confused between % and pips, especially as the optimization is so different for long and short (0.9 vs 0.01) ???

    The profit target is 0.9% long and 0.5% short. If 0.9% is ~110 pips, how does 4*pipsize relate to that?

    I tried using

    IF LongOnMarket and close >= (PositionPrice * (1 + PerCentGain))

    but it definitely works better with pipsize.

    #168221 quote
    nonetheless
    Participant
    Master

    To put some detail on this, I find it hard to make sense of the partial closes in the attached order list.

    On 19 Apr it buys 10 @ 1.19606 and sells 90% after a gain of .00067

    On 29 Mar it buys 10 @ 1.17864 and sells 90% after a gain of .00109, which is a huge difference.

    Is this just a matter of slippage? in which case, what should the partial close amount be, in pips?

    Most grateful for any enlightenment…

    eurusd.jpg eurusd.jpg
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Code for partial close with percentage


ProOrder: Automated Strategies & Backtesting

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Fran55 @fran55 Participant
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This topic contains 61 replies,
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4 years, 10 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 12/11/2020
Status: Active
Attachments: 11 files
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