Confusing about the TradeIndex

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  • 04/09/2022 at 11:53 PM #191507 quote
    JS
    Participant
    Senior

    Suppose I buy 1 contract on BarIndex = 1000 and I sell this contract on BarIndex = 2000

    And I buy 1 contract on BarIndex =3000 and I sell this contract on BarIndex = 4000

    What is the value of:

    TradeIndex(1)

    TradeIndex(2)

    TradeIndex(3)

    TradeIndex(4)

    Etc…

    04/10/2022 at 5:16 AM #191508 quote
    robertogozzi
    Moderator
    Master
    Appending these lines to any strategy  might help: 
    Graph BarIndex
Graph TradeIndex(1)
Graph TradeIndex(2)
Graph TradeIndex(3)
Graph TradeIndex(4)
    04/10/2022 at 5:35 AM #191509 quote
    JS
    Participant
    Senior

    Thanks Roberto,

    I had done that, but I couldn’t place the results well:

    TradeIndex(0) = 0

    TradeIndex = TradeIndex(1) = 4001

    TradeIndex(2) = 3001

    TradeIndex(3) = 2001

    TradeIndex(4) = 1001

    TradeIndex(5) = 0

    04/10/2022 at 11:50 AM #191515 quote
    robertogozzi
    Moderator
    Master
    TradeIndex is the BarIndex when either a trade is a) opened, b) closed. At every new operation the TradeIndex is shifted one place. If it’s a Stop & Reverse (exit followed by a new open), two places are shifted and both the Exit of the previous trade and the open of the new one share the same BarIndex, despite they will have a different TradeIndex ID due to the sequential occurrences. The 4 attached pics should make it clear what the process is like.
    JS and Nicolas thanked this post
    Pic1-before-the-very-first-trade.jpg Pic1-before-the-very-first-trade.jpg Pic2-first-Stop-Reverse.jpg Pic2-first-Stop-Reverse.jpg Pic3-first-exit-no-S-R.jpg Pic3-first-exit-no-S-R.jpg Pic4-Not-OnMarket.jpg Pic4-Not-OnMarket.jpg
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Confusing about the TradeIndex


ProOrder: Automated Strategies & Backtesting

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JS @js Participant
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This topic contains 3 replies,
has 2 voices, and was last updated by robertogozzi
3 years, 10 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 04/09/2022
Status: Active
Attachments: 4 files
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