CUMULATEORDERS – COUNTOFPOSITION

• 12/01/2021 at 11:05 AM #182578
  murre87

  Hi.
  If i want to create at strategy with CUMULATEORDERS. Maximun 1 long position and 1 short position at once.
  What do i choose in “MAX Position” when i start the tradingsystem?

  CUMULATEORDERS - COUNTOFPOSITION

  DEFPARAM CUMULATEORDERS = true defparam preloadbars = 10000 MAXSHARES = abs(COUNTOFPOSITION) <= 1 CB = RSI[14]>50 CS = RSI[14]<45 If cb and MAXSHARES and not longonmarket then Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF If cs and MAXSHARES and not shortonmarket then sellshort PositionSize CONTRACTS AT MARKET SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF

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  DEFPARAM CUMULATEORDERS = true defparam preloadbars = 10000   MAXSHARES = abs(COUNTOFPOSITION) <= 1 CB = RSI[14]>50 CS = RSI[14]<45   If cb and MAXSHARES and not longonmarket then Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF   If cs and MAXSHARES and not shortonmarket then sellshort PositionSize CONTRACTS AT MARKET SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF

  

  murre87

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  12/01/2021 at 11:10 AM #182581
  robertogozzi

  You cannot open opposite positions (Long & Short) in the same strategy.
  Anytime you go Long any previous Short position still open will be closed. The other way round when you go Short.
  PositionSize is correct, but it must be defined before being used.

  

  robertogozzi

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  12/01/2021 at 11:35 AM #182584
  murre87

  It need to look like this?

  Test code

  DEFPARAM CUMULATEORDERS = false defparam preloadbars = 10000 PositionSize=1 CB = RSI[14]>50 CS = RSI[14]<45 If cb then // Entry long Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF If cs then // Exit long sell at market endif If cs then // Entry short sellshort PositionSize CONTRACTS AT MARKET SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF If cb then // Exit short exitshort at market endif

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  DEFPARAM CUMULATEORDERS = false defparam preloadbars = 10000 PositionSize=1   CB = RSI[14]>50 CS = RSI[14]<45   If cb then // Entry long Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF   If cs then // Exit long sell at market endif   If cs then // Entry short sellshort PositionSize CONTRACTS AT MARKET SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF   If cb then // Exit short exitshort at market endif

  

  murre87

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  12/01/2021 at 12:26 PM #182588
  PeterSt

  murre87 wrote:

  What do i choose in “MAX Position” when i start the tradingsystem?

  1.

  However, I would be very careful with depending on that, because in my particular case it seems it does not work reliably. And do notice that this happens specifically in the situation that the Strategy additionally buys. In other words, enter less in that field than the Strategy wants to do and nothing ever starts (taking position), but set it to e.g. 1 and let the Strategy take position – then when it additionally want to take position (make 2 from 1) then it just does it.
  Thus, take care of not depending on it, as it seems that you do that (not 100% sure).

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  murre87

  

  PeterSt

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  12/01/2021 at 12:38 PM #182594
  robertogozzi

  MAX positions set when starting the strategy in autotrading and the number of lots/contracts coded with BUY/SELLSHORT grant that the lowest of the two is the one actually used, so if Max is set to 999 but you BUY 1, only 1 contract will be bought, if you set Max to 5 and BUY 10, then only 5 contracts will be bought.

  I have never had problems with this, so far.

   

  

  robertogozzi

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  12/01/2021 at 1:02 PM #182598
  nonetheless

  The way I do it is not to control the number of contracts, but the number of entries. This way you can let your MM alter the positionsize.

  if not onmarket then flag1 = 1 flag2 = 1 flag3 = 1 ENDIF // Conditions to enter long positions IF not longonmarket and CB and Flag1 THEN BUY positionsize CONTRACT AT MARKET flag1 = 0 elsif longonmarket and CBA and flag2 then BUY positionsize CONTRACT AT MARKET flag2 = 0 elsif longonmarket and CBA and flag3 then BUY positionsize CONTRACT AT MARKET flag3 = 0 ENDIF

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  if not onmarket then flag1 = 1 flag2 = 1 flag3 = 1 ENDIF   // Conditions to enter long positions   IF not longonmarket and CB and Flag1 THEN BUY positionsize CONTRACT AT MARKET flag1 = 0 elsif longonmarket and CBA and flag2 then BUY positionsize CONTRACT AT MARKET flag2 = 0 elsif longonmarket and CBA and flag3 then BUY positionsize CONTRACT AT MARKET flag3 = 0 ENDIF

  You can repeat the elsif and flags 4, 5, 6 as many times as you want. You can also create different conditions for the additional positions (CBA vs CB).

  Eg. you might start the first entry within a certain time range, but let it add extra positions outside of that (ie overnight)

  or add other criteria such as “positionperf <0” so that your aggregate is always averaging down.

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  murre87

  

  nonetheless

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  12/01/2021 at 1:41 PM #182602
  PeterSt

  robertogozzi wrote:

  if you set Max to 5 and BUY 10, then only 5 contracts will be bought.

  Maybe you have a special system, but mine (for IG) does not enter at all in that case (which is what I am happy with or else things will happen I did not code).
  Maybe I am wrong with my observations.

  

  PeterSt

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  12/01/2021 at 4:16 PM #182622
  robertogozzi

  Yes, you are right PeterSt, if you set MAX=5 then if you BUY more than 5 no trade is opened.

  You can only buy 5 or less contracts. It makes sense.

  Actually I never used that, I always set MAX=999 then I apply lot size management up to that limit.

   

   

   

  

  robertogozzi

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  12/01/2021 at 5:05 PM #182632
  PeterSt

  robertogozzi wrote:

  Actually I never used that, I always set MAX=999 then I apply lot size management up to that limit.

  Yes, I did too, until I dynamically started to increase the position (during the original Trade-opening). So now I limit it (with say 5) in order not to run into an out of money and *that* part seems not to work reliably. So this is the other half of the story (“be careful with that !”) but it is hard to test – waiting for the situation to happen.
  See example of what I am talking about (if not obvious in the first place).

  

  PeterSt

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  12/01/2021 at 5:08 PM #182635
  robertogozzi

  I see, but with Lot & Money management that shouldn’t happen!

   

  

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  12/01/2021 at 5:39 PM #182637
  PeterSt

  I most certainly agree and this is in there all right (see attachment). Meanwhile with such setups I like to have an extra protection. Thus, I set my own MM a tad too high deliberately and want to see if that extra protection (by PRT) works.

  N.b.: It s also testing myself (or my code) in order to see what actually happens and how decent I coded it. Thus, if an order is rejected, how do I actually notice that, and is that not one bar too late to remain in control. Understand ?

  

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  12/01/2021 at 5:49 PM #182639
  robertogozzi

  Ok, that’s clear.

   

  

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