Correct way to use PositionPerf for increasing OrderSize

• 12/21/2020 at 10:06 AM #154699
  theo123

  Hi,

  what is the correct way to increase or change ordersize based on either loss or win from previous trade.  The below I created does not proceed to order anything when I do the probacktest.  Should this be embedded somewhere?

  can “OrderSize”  be stated “OrderSize[1]” meaning previous Ordersize same as notation of close, indicators, etc?

  Once OrderSize=1 if positionperf(1)>0 OR positionperf(2)>0 and positionperf(1)<=0 then //starts with first 2 loses, 1 order (no increase) OrderSize =1 elsif positionperf(2)<=0 and positionperf(1)<=0 then //after 2 or more loses, ordersize is the sum of previous 2 ordersize OrderSize =OrderSize[1]+OrderSize[2] endif

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  Once OrderSize=1 if positionperf(1)>0 OR positionperf(2)>0 and positionperf(1)<=0 then //starts with first 2 loses, 1 order (no increase) OrderSize =1 elsif positionperf(2)<=0 and positionperf(1)<=0 then //after 2 or more loses, ordersize is the sum of previous 2 ordersize OrderSize =OrderSize[1]+OrderSize[2] endif

   

   

  

  theo123

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  12/22/2020 at 12:43 AM #154807
  robertogozzi

  1. what size do you want to start with?

  2. what increment does it have to perform after a WIN?

  3. what decrement does it have to perform after a LOSS?

   

  

  robertogozzi

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  01/01/2021 at 8:41 AM #155836
  theo123

  Hi Roberto, I was able to just copy the one in the manual – The Piquemouche.  Now I have a different issue.  It was working before but it is not woking after update to Ver11.  I posted it as another topic.

  

  theo123

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  01/01/2021 at 10:02 AM #155839
  Vonasi

  theo123 – I deleted that double post. Please pay attention to the forum rules.

  • Do not double post. Ask your question only once and only in one forum. All double posts will be deleted anyway so posting the same question multiple times will just be wasting your own time and will not get you an answer any quicker. Double posting just creates confusion in the forums.

  

  Vonasi

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  01/01/2021 at 10:44 AM #155843
  robertogozzi

  Please post the code and explain better any issue you have.

  

  robertogozzi

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  01/01/2021 at 12:41 PM #155850
  theo123

  Here you go.  This works before v11 but now it does not after update.  Thanks for checking.

  defparam preloadbars=10000 oNCE OrderSize = 1 ONCE BadTrades = 0 ONCE ExitIndex = -2 //some entry codes here //The Piquemouche IF NOT LongOnMarket AND LongEntry THEN BUY OrderSize CONTRACTS AT MARKET set stop ploss LongSLpip set target Profit TakeProfit ENDIF // Conditions to exit long positions If LongOnMarket AND LongExitDoor THEN SELL AT MARKET ExitIndex=BarIndex ENDIF // Conditions to enter SHORT positions IF NOT ShortOnMarket AND ShortEntry THEN Sellshort OrderSize CONTRACTS AT MARKET set stop ploss ShortSLpip set target Profit TakeProfit ENDIF // Conditions to exit long positions If ShortOnMarket AND ShortExitDoor THEN EXITSHORT AT MARKET ExitIndex=BarIndex ENDIF //---------------------------- IF Barindex = ExitIndex + 1 THEN ExitIndex = 0 IF PositionPerf(1) <= 0 THEN BadTrades = BadTrades + 1 IF BadTrades < 3 THEN //// If the last trade was losing and there are less than 3 successive losses, //// add one to OrderSize. OrderSize = OrderSize + 1 ELSIF BadTrades MOD 3 = 0 THEN //// If the last position was losing and there are more than 3 consecutive losses, //// double OrderSize. OrderSize = OrderSize * 2 ENDIF ELSIF PositionPerf(1) > 0 THEN // If the previous trade was winning, reset OrderSize to 1. OrderSize = 1 BadTrades = 0 ENDIF ENDIF

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  defparam preloadbars=10000   oNCE OrderSize = 1 ONCE BadTrades = 0 ONCE ExitIndex = -2   //some entry codes here   //The Piquemouche IF NOT LongOnMarket AND LongEntry THEN   BUY OrderSize CONTRACTS AT MARKET set stop ploss LongSLpip set target Profit TakeProfit ENDIF   // Conditions to exit long positions If LongOnMarket AND LongExitDoor THEN SELL AT MARKET ExitIndex=BarIndex ENDIF   // Conditions to enter SHORT positions IF NOT ShortOnMarket AND ShortEntry THEN Sellshort OrderSize CONTRACTS AT MARKET set stop ploss ShortSLpip set target Profit TakeProfit ENDIF   // Conditions to exit long positions If ShortOnMarket AND ShortExitDoor THEN EXITSHORT AT MARKET ExitIndex=BarIndex ENDIF   //---------------------------- IF Barindex = ExitIndex + 1 THEN ExitIndex = 0 IF PositionPerf(1) <= 0 THEN BadTrades = BadTrades + 1 IF BadTrades < 3 THEN //// If the last trade was losing and there are less than 3 successive losses, //// add one to OrderSize. OrderSize = OrderSize + 1 ELSIF BadTrades MOD 3 = 0 THEN //// If the last position was losing and there are more than 3 consecutive losses, //// double OrderSize. OrderSize = OrderSize * 2 ENDIF ELSIF PositionPerf(1) > 0 THEN // If the previous trade was winning, reset OrderSize to 1. OrderSize = 1 BadTrades = 0 ENDIF ENDIF

   

  

  theo123

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  01/01/2021 at 5:30 PM #155866
  Dow Jones

  I think you need to utilize strategyprofit  and strategyprofit [1] to determine when the trade closed, and make the calculation of positionperf

  Example below:

  maxconsecutiveloss = 5 once losscount = 0 if strategyprofit <> strategyprofit[1] then if positionperf(1)<0 then losscount = losscount + 1 else losscount = 0 endif endif IF losscount > maxconsecutiveloss THEN Quit // abandon strategy with consecutive loss above required ENDIF

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  maxconsecutiveloss = 5 once losscount = 0 if strategyprofit <> strategyprofit[1] then if positionperf(1)<0 then losscount = losscount + 1 else losscount = 0 endif endif   IF losscount > maxconsecutiveloss THEN Quit // abandon strategy with consecutive loss above required ENDIF

   

  

  Dow Jones

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  01/01/2021 at 5:35 PM #155867
  Dow Jones

  Maybe better to directly try with your code,

  //---------------------------- IF Barindex = ExitIndex + 1 THEN ExitIndex = 0 IF strategyprofit <> strategyprofit[1] THEN IF PositionPerf(1) <= 0 THEN BadTrades = BadTrades + 1 IF BadTrades < 3 THEN //// If the last trade was losing and there are less than 3 successive losses, //// add one to OrderSize. OrderSize = OrderSize + 1 ELSIF BadTrades MOD 3 = 0 THEN //// If the last position was losing and there are more than 3 consecutive losses, //// double OrderSize. OrderSize = OrderSize * 2 ENDIF ELSIF PositionPerf(1) > 0 THEN // If the previous trade was winning, reset OrderSize to 1. OrderSize = 1 BadTrades = 0 ENDIF ENDIF ENDIF

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  //---------------------------- IF Barindex = ExitIndex + 1 THEN ExitIndex = 0 IF strategyprofit <> strategyprofit[1] THEN IF PositionPerf(1) <= 0 THEN BadTrades = BadTrades + 1 IF BadTrades < 3 THEN //// If the last trade was losing and there are less than 3 successive losses, //// add one to OrderSize. OrderSize = OrderSize + 1 ELSIF BadTrades MOD 3 = 0 THEN //// If the last position was losing and there are more than 3 consecutive losses, //// double OrderSize. OrderSize = OrderSize * 2 ENDIF ELSIF PositionPerf(1) > 0 THEN // If the previous trade was winning, reset OrderSize to 1. OrderSize = 1 BadTrades = 0 ENDIF ENDIF ENDIF

  Btw,

  1) Your comment “If the last position was losing and there are more than 3 consecutive losses,” seems doesn’t tally with the code, why to mod with 3 and not >= 3?

  2) Using my example, I’m not sure if the ExitIndex still necessary, perhaps can be removed, otherwise I’m not sure if it will enter the condition when trade is closed by STOP LOSS or TARGET

  

  Dow Jones

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  01/10/2021 at 4:38 PM #157217
  theo123

  Hi DowJones,

  Thanks for the reply.  Just able to check the reply today and will try your code and update.

  Actually the whole thing is copied from the PRT manual, so I am not really sure of the use of the MOD.

  

  theo123

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