CumulateOrder=True not compatible with $Loss or $Profit

deletedaccount051022 · 2021-07-28T15:42:01+00:00

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

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07/28/2021 at 4:42 PM #174301 quote

deletedaccount051022
Participant

New

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

@AlgoHunter1 thanked this post

07/28/2021 at 5:23 PM #174304 quote
deletedaccount051022
Participant

New
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
```
@AlgoHunter1 thanked this post
07/28/2021 at 7:07 PM #174307 quote
robertogozzi
Moderator

Legend
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
```
to convert it to Pips:
```
CurrencySL = 1000
PipsSL     = (close * ((CurrencySL * 100 / close) / PipValue) / 100) / PipSize
SET STOP pLOSS PipsSL
```
I did not test them, though.
07/29/2021 at 2:35 PM #174340 quote

deletedaccount051022
Participant

New

Grazie mille Roberto! Will give that a try

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CumulateOrder=True not compatible with $Loss or $Profit

ProOrder: Automated Strategies & Backtesting

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deletedaccount051022 @deletedaccount051022 Participant

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This topic contains 3 replies,
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Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	07/28/2021
Status:	Active
Attachments:	No files