Cumulate orders and close with barindex-tradeindex

• 01/15/2021 at 6:06 AM #157903
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  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

  1 2 3

  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

  1	cumulateorders=true

  I can either run a 1 position max,

  countoflongshares<1

  1	countoflongshares<1

  or a 2 position max,

  countoflongshares<2

  1	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,

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  icharttop

  

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

  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

  1 2 3 4

  i = CountOfLongShares if barindex-tradeindex(i)=2 then    sell 1 contracts at market endif

   

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  robertogozzi

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  01/15/2021 at 12:52 PM #157944
  robertogozzi

  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

  1 2 3 4 5 6 7

  If Not OnMarket then    i = 0 Endif i = max(i,CountOfLongShares) if barindex-tradeindex(i)=2 then    sell 1 contracts at market endif

   

   

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  robertogozzi

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  01/15/2021 at 11:30 PM #158001
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  Hi Roberto,

  Thanks for that!

  will test, but it looks good and makes sense.

  Cheers,

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  01/15/2021 at 11:43 PM #158010
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  Tested, and it works as intended – thanks!

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  robertogozzi

  

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  01/16/2021 at 10:27 AM #158030
  GraHal

  Roberto correct code above added as Log 269 to here …

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