Cumulate orders and close with barindex-tradeindex

Viewing 6 posts - 1 through 6 (of 6 total)
  • Author
    Posts
  • 01/15/2021 at 6:06 AM #157903 quote
    Finning
    Participant
    Veteran

    Hi there,

    just something I’ve noticed, and I’m not sure why it’s happening.

    I have a strategy, and it should exit after 2 full bars on the market. I have this set up as:

    if barindex-tradeindex=2 then
sell at market
endif

    Now, there are two different ways that I could run this strategy. Both with

    cumulateorders=true

    I can either run a 1 position max,

    countoflongshares<1

    or a 2 position max,

    countoflongshares<2

    The thing I’ve noticed, is that if I run the countoflongshares<1, then it exits the position after 2 full bars. This is what is intended.

    If I run it as countoflongshares<2 and if I buy a second position while the first position is still on, then it doesn’t do 2 separate exits but a combined single exit, and it pushes the first exit out, so that the first trade is on the market for 3 full bars, and not 2.

    Please see the attached picture that shows this.

    What I want to know, is this normal/is this to be expected?

    What will the broker (IG) see and do?

    Will it execute as backtested, or will I have two separate exits, and not the single exit that I’m seeing?

    Thanks,

    Finning

    icharttop thanked this post
    Countoflongshares-and-barindex.jpg Countoflongshares-and-barindex.jpg
    01/15/2021 at 7:53 AM #157910 quote
    robertogozzi
    Moderator
    Master

    TRADEINDEX(1), or simply TRADEINDEX, always refers to the most recent entry, so 2 bars will be computed from THAT barindex.

    Refer to TRADEINDEX(2) for the previous entry and use the partial closure support to exit only the first position entered.

    (not tested)

    i = CountOfLongShares
if barindex-tradeindex(i)=2 then
   sell 1 contracts at market
endif
    icharttop thanked this post
    01/15/2021 at 12:52 PM #157944 quote
    robertogozzi
    Moderator
    Master

    The correct code is:

    If Not OnMarket then
   i = 0
Endif
i = max(i,CountOfLongShares)
if barindex-tradeindex(i)=2 then
   sell 1 contracts at market
endif
    Finning and icharttop thanked this post
    01/15/2021 at 11:30 PM #158001 quote
    Finning
    Participant
    Veteran

    Hi Roberto,

    Thanks for that!

    will test, but it looks good and makes sense.

    Cheers,

    Finning

    01/15/2021 at 11:43 PM #158010 quote
    Finning
    Participant
    Veteran

    Tested, and it works as intended – thanks!

    robertogozzi thanked this post
    01/16/2021 at 10:27 AM #158030 quote
    GraHal
    Participant
    Master

    Roberto correct code above added as Log 269 to here …

    Snippet Link Library

    robertogozzi thanked this post
  • Author
    Posts
Viewing 6 posts - 1 through 6 (of 6 total)
  • You must be logged in to reply to this topic.

Cumulate orders and close with barindex-tradeindex


ProOrder: Automated Strategies & Backtesting

New Reply
Author
author-avatar
Finning @finning Participant
Summary

This topic contains 5 replies,
has 3 voices, and was last updated by GraHal
5 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/15/2021
Status: Active
Attachments: 1 files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™