Conditions on number of trades, reversing trade direction

mrbolt · Tue, 08 Nov 2022 18:43:10 +0000

Good day, all! Hope all are doing well. Kindly ask community help on the coding some backtest example for the strategy. So, long story short: I enter with a buy stop to go long, or a sell stop to go short. I enter with 3 contracts. Position size: 3 contracts, with profit targets of 1R, 2R, and 3R. Once my first target is hit, my stop loss becomes breakeven. If I get stopped out on my first signal, I can stop out and reverse (Go long, get stopped, go short or Go short, get stopped, go long) – only 3 attempts per day. What I did so far: I can track multitimeframe, open and close positions, but can’t realize how to reverse trade if it fails with one direction, how to count correctly number of attempts, in which timeframe? and how to partially close trade. DEFPARAM CumulateOrders = False DEFPARAM PreLoadBars = 0 TIMEFRAME(30 seconds, UPDATEONCLOSE) // No new position is taken after the candlestick that closes 9:45 a.m. FinishTime = 143000 // The market analysis strats at the 30-sec candlestick which closes at 9:00:30 a.m. StartTime = 120000 PositionSize = 3 TickScale = TICKSIZE ScaleReward = 1 PartialCloseCoeff = 3 CloseQuantity = PositionSize/PartialCloseCoeff // Some holidays such as the 24th and 31st of December are excluded IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) OR (Month = 1 AND Day = 1) OR (DayOfWeek = 0 OR DayOfWeek = 6) OR (Time < StartTime OR Time >= FinishTime) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // We initialize this variable once at the beginning of the trading system. //ONCE StartTradingDay = -1 // We initialize this variable once at the beginning of the trading system. ONCE StartTradingDay = -1 IF (Time < StartTime AND StartTradingDay <> 0) THEN CloseO = 0 HighO = 0 LowO = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time = StartTime AND TradingDay = 1 THEN //ELSIF Time >= StartTime AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the index of the first bar of the trading day IndexStartDay = IntradayBarIndex StartTradingDay = 1 CloseO = Close HighO = High LowO = Low RangeOpen = HighO - LowO BuyLevel = HighO + TickScale SellLevel = LowO - TickScale StopLong = LowO - TickScale StopShort = HighO + TickScale ENDIF TIMEFRAME(1 seconds, UPDATEONCLOSE) If IntraDayBarIndex = 0 Then TradeONLong = 1 TradeONShort = 1 CntLong = 0 CntShort = 0 LastTrade = 0 count = 0 Endif IF Time > StartTime AND TradingDay = 1 THEN //GRAPH CloseO as "CloseO" GRAPH HighO as "HighO" GRAPH LowO as "LowO" GRAPH RangeOpen as "RangeOpen" //GRAPH DayOfWeek as "DayOfWeek" //GRAPH StopShort as "StopShort" //GRAPH StopLong as "StopLong" //GRAPH TickScale as "TickScale" // //GRAPH Time as "Time" //GRAPH DayOfWeek as "DayOfWeek" //GRAPH UpperLevel as "UpperLevel" //GRAPH LowerLevel as "LowerLevel" IF Close > HighO AND Not LongOnMarket AND CntLong = 0 AND CntShort = 0 THEN BUY PositionSize CONTRACTS AT BuyLevel STOP //SELLSHORT PositionSize CONTRACTS AT BuyLevel STOP // Definition of the maximum amount to risk per position in case // price goes in an unfavorable direction //LastTrade = 1 CntLong = CntLong + 1 TradeONLong = 0 count = count + 1 //GRAPH CntLong as "CntLong" ELSIF Close < LowO AND Not SHORTONMARKET AND CntLong = 0 AND CntShort = 0 THEN SELLSHORT PositionSize CONTRACTS AT SellLevel STOP //BUY PositionSize CONTRACTS AT SellLevel STOP // Definition of the maximum amount to risk per position in case // price goes in an unfavorable direction TradeONShort = 0 //LastTrade = 2 CntShort = CntShort + 1 count = count + 1 //GRAPH CntShort as "CntShort" ENDIF SET TARGET pPROFIT RangeOpen*ScaleReward SET STOP PLOSS RangeOpen ENDIF

This topic has 37 replies, 4 voices, and was last updated 1 year ago by PeterSt.

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11/10/2022 at 10:18 PM #203969

GraHal

On 21 Oct at 09:30:31 your code … entered with a Buy (Long) then exit with Sell (Long) then entered with a SellShort (Short) … all these actions occured at 09:30:31.

Then at 09:31:57 y0ur code exit the Short with a Buy / ExitShort at a loss.

Anybody see the scenario on the screenshot above any different to what I state above?? 🙂

GraHal
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11/10/2022 at 10:32 PM #203970

GraHal

mrbolt wrote:

what does it mean 1 points for backtesting

We need to allow in our backtests for the ‘broker spread’ else our code / backtest results do not emulate Live trading when the broker makes us pay the spread between buy and sell price.

https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/products-markets-and-trading-hours/what-are-igs-indices-spread-bet-product-details

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11/11/2022 at 8:54 AM #203975

mrbolt

GraHal, that’s I’m asking, why it happened? I mean I understand closing trade by stop loss or profit taking, but what is that with opening and exiting and opening again in the same bar? stop loss and take profit is much higher then 1 point, that is the question.

Regarding points: sure I understand the spread, I meant, 1 points in Prorealcode settings is how much bips compare to let’s say ES mini contract? I tick is 0.25, so, 1 point is 4 ticks here?

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11/11/2022 at 9:40 AM #203976

GraHal

mrbolt wrote:

why it happened?

Change your Buy and SellShort to ‘at Market’ orders (remove the ‘at Stop Orders’) and if the zero bars trades stop then you know that the ‘at Stop Orders’ are the cause.

Fault finding is a process of elimination.

GraHal
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11/11/2022 at 9:42 AM #203977

GraHal

mrbolt wrote:

ES mini contract? I tick is 0.25, so, 1 point is 4 ticks here?

What is the difference between Buy Price and Sell Price quoted by your broker for ES Mini?

GraHal
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11/11/2022 at 12:13 PM #203982

GraHal

mrbolt wrote:

why it happened?

Might be useful to check out the Topic on the link below as may be same problem you are experiencing?

https://www.prorealcode.com/topic/0-second-transaction/

GraHal
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11/11/2022 at 12:19 PM #203983

GraHal

GraHal wrote:

What is the difference between Buy Price and Sell Price quoted by your broker for ES Mini?

If ‘ES mini‘ is same as shown on attached, then the spread at 11:16 UK time on 11 Nov 22 is 0.6 points.

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mrbolt

GraHal
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11/11/2022 at 5:07 PM #203988

mrbolt

Thanks, GraHal, got all your points, really appreciate it.

Have you ever faced with the different results on your trading system when you backtest on Beta version versus previous one? Yesterday I recognized it, maybe because working on seconds time frame data is not stable for backtesting.

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11/11/2022 at 5:20 PM #203989

GraHal

mrbolt wrote:

Beta version versus previous one

Which Beta version (v12?) and which previous one?

At times I have had different results even overnight (then backtest again the next morning) but I put it down to my imagination and move on!? 🙂

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11/12/2022 at 6:24 PM #204033

mrbolt

So, in PREMIUM V11.1 I got worser results than in BETA V12. I’ll check data, and all other sutff, but this is really weird.

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11/12/2022 at 10:51 PM #204043

GraHal

Maybe the backtest engine in beta v12 is ‘kinder’ to your strategy / code and so gives better results?

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11/13/2022 at 2:37 AM #204050

PeterSt

GraHal wrote:

Maybe the backtest engine in beta v12 is ‘kinder’ to your strategy / code

I would hope such a phenomenon does not exist. 🙂

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11/13/2022 at 6:09 PM #204114

mrbolt

So, guys. The reason why in Beta results are better than in V11, is because of wrong data, it’s unbelievable, what a mess. So, I checked randomly data on ES futures (minutes timeframe, coz I don’t have another data with Thinkorswim platform), and difference sometimes reaches for 20 points (!!!). So, decided not to use Beta version at all, be cautious here.

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11/13/2022 at 9:22 PM #204117

PeterSt

May I ask … is this V12 with PRT-IG or PRT-IB ??

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11/14/2022 at 10:29 AM #204120

robertogozzi

It’s the version offered by ProRealTime, so it uses data from IB (as far as I know).

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Conditions on number of trades, reversing trade direction

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