Code for partial closures by percentage.

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  • 01/19/2022 at 10:08 AM #185903 quote
    jhon
    Participant
    New

    Good.
    I needed code for multiple partial closures within one operation.

    If the operation is positive and earns equal to or more than 0.25%, close 1/5 of the position.
    If the operation is positive and earns equal to or more than 0.5%, close 1/5 of the position.

    It’s an example, thanks.

    01/19/2022 at 10:56 AM #185906 quote
    robertogozzi
    Moderator
    Master

    There you go (not tested):

    If not OnMarket then
   Tally = 0
Endif
ProfitPC = PositionPrice * PositionPerf * 100
If ProfitPC >= 0.25 and Tally = 0 then
   Close PositionSize/5 contracts at Market
   Tally = Tally + 1
Endif
If ProfitPC >= 0.50 and Tally = 1 then
   Close PositionSize/5 contracts at Market
   Tally = Tally + 1
Endif
    01/19/2022 at 12:30 PM #185908 quote
    nonetheless
    Participant
    Master

    Here’s another version (also coded by Roberto👍)

    ONCE partialclose = 1
ONCE PerCent     = pc              //0.2 = 20%  positions to close
ONCE PerCent2     = pc2            //0.2 = 20%  positions to close
ONCE PerCentGain = pcg             //.0025 = 0.25% gain
ONCE PerCentGain2 = pcg2            //.005 = 0.5% gain
ONCE MinLotSize  = 0.5              //0.5  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 partialclose AND LongOnMarket and close >= (PositionPrice * (1 + PerCentGain))  AND Flag THEN
SELL CloseQuantity Contracts AT Market
Flag = 0
endif
 
IF partialclose AND shortOnMarket and  close <= (PositionPrice * (1 - PerCentGain2)) AND Flag2 THEN
exitshort CloseQuantity2 Contracts AT Market
Flag2 = 0
endif
    robertogozzi thanked this post
    01/19/2022 at 1:51 PM #185923 quote
    jhon
    Participant
    New

    Thanks boys.

    01/20/2022 at 9:45 AM #186018 quote
    jhon
    Participant
    New

    I’m sorry, but in Roberto’s code, line 5, it doesn’t matter if I put 0.25, 0.5, or 1, he always wins the same in backtest.

    I think the code is not working properly.

    01/20/2022 at 11:18 AM #186037 quote
    robertogozzi
    Moderator
    Master

    Sorry, there are two mistakes:

    • I typed CLOSE in line 6 and 10 instead of SELL (or SELLSHORT)
    • line 4 should read
    ProfitPC = PositionPerf * 100
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Code for partial closures by percentage.


ProOrder: Automated Strategies & Backtesting

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jhon @jhon Participant
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This topic contains 5 replies,
has 3 voices, and was last updated by robertogozzi
4 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/19/2022
Status: Active
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