CumulateOrder=True not compatible with $Loss or $Profit

• 07/28/2021 at 4:42 PM #174301
  deletedaccount051022

  Hi,

  Hoping someone knows a work around for this.  Am running a strategy that can take up to 2 positions, so I set CumulateOrder to True and Max Position to 2 x N contracts.  No issues back testing however, when I go to launch in production I get an error saying CumulateOrder not compatible with $LOSS stops or $PROFIT targets.  The strategy uses a $Loss stop, as well as a %Loss.

  Does anyone know of any workaround for this please?

  Thanks very much

  1 user thanked author for this post.

  @AlgoHunter1

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 97 times
  07/28/2021 at 5:23 PM #174304
  deletedaccount051022

  I got this piece of code from Robo Futures Trader (one of the best sites – check it out) and it comes surprisingly close, but I’d still like to use $LOSS with CumulativeOrders.  Appreciate any ideas to try, thank you

  stoplimit=70 atrvalue = AverageTrueRange[20](close) atrstopv = 40*atrvalue if atrstopv>stoplimit then atrstop = stoplimit else atrstop = atrstopv endif set stop ploss atrstop

  1 2 3 4 5 6 7 8 9 10

  stoplimit=70 atrvalue = AverageTrueRange[20](close) atrstopv = 40*atrvalue   if atrstopv>stoplimit then atrstop = stoplimit else atrstop = atrstopv endif   set stop ploss atrstop

  1 user thanked author for this post.

  @AlgoHunter1

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 97 times
  07/28/2021 at 7:07 PM #174307
  robertogozzi

  You should convert the currency amount in a percentage or pips.

  I you have a 1K amount you can convert to % with this snippet:

  CurrencySL = 1000 PerCentSL = (CurrencySL * 100 / close) / PipValue SET STOP %LOSS PerCentSL

  1 2 3

  CurrencySL = 1000 PerCentSL  = (CurrencySL * 100 / close) / PipValue SET STOP %LOSS PerCentSL

  to convert it to Pips:

  CurrencySL = 1000 PipsSL = (close * ((CurrencySL * 100 / close) / PipValue) / 100) / PipSize SET STOP pLOSS PipsSL

  1 2 3

  CurrencySL = 1000 PipsSL     = (close * ((CurrencySL * 100 / close) / PipValue) / 100) / PipSize SET STOP pLOSS PipsSL

  I did not test them, though.

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16465

  Been thanked: 3641 times
  07/29/2021 at 2:35 PM #174340
  deletedaccount051022

  Grazie mille Roberto!  Will give that a try

  1 user thanked author for this post.

  @AlgoHunter1

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 97 times
• Author
  Posts