Cumulate orders and close with barindex-tradeindex

Finning · 2021-01-15T05:06:01+00:00

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

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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
01/15/2021 at 7:53 AM #157910 quote
robertogozzi
Moderator

Legend
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

Legend
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

Legend

Roberto correct code above added as Log 269 to here …

Snippet Link Library

robertogozzi thanked this post
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