Cumulative orders based on prev order and ATR?

• 09/16/2017 at 9:43 AM #46336
  LO

  Hi,

  I’m stuck and could use a little help.

  I would like to add orders based on price of last order + ATR, I think I got that right. But I would also like the Stop Loss to follow along, that’s to big challange for me. Anyone want to help?

  Example.

  Price 100

  ATR 10

  Order 1: 1 contract @ 100, stop @ 90

  Order 2: 1 contract @ 110. stop @ 100 and stop for order 1 should also move to 100

  Order 3: 1 contract @ 120, Stop @ 110 and stop for both order 1 and 2 should move to 110

  Order 4: 1 contract @ 130, stop @ 120 and stop for order 1-3 should move to 120.

  Maximum orders at any give time is 4 and the last stop should not move from 120. Exit is @ Low [n] not a stop loss.

  If let’s say price move to 115 and down to 75, order 1-2 should execute and then stop out @ 100 with 10 loss.

  Let’s say price move to 200 and then down to 110, and Exit (Low [10]) is 180, all the orders should exit @ 180 with entry @ 100-110-120-130 and profit 260.

  It’s alot like the moneymanagementsystem as turtle traders used back in the day….at least according to one of the books.

  

  LO

  Participant

  Topics: 5

  Replies: 7

  Been thanked: 0 times
  09/16/2017 at 9:49 AM #46337
  Despair

  This shouldn’t be problem. To you mind sharing your code you have so far so I can add the stops and so on.

  

  Despair

  Blocked

  Topics: 97

  Replies: 1034

  Been thanked: 217 times
  09/16/2017 at 10:06 AM #46340
  JC_Bywan

  >> Hi, Please update your country flag by selecting a location in your profile settings. Thank you 🙂 <<

   

  

  JC_Bywan

  Moderator

  Topics: 20

  Replies: 2560

  Been thanked: 844 times
  09/16/2017 at 10:51 AM #46344
  LO

  Thanks, here’s the code so far:

  I’m looking for a modified version of turtle trading strategy, most for fun and see if it works nowadays. Read the book couple of weeks ago, great story by the way.  🙂

  Adding 1/4 ATR to each position and move the stop accordingly, the first example was for ilustration only.

  For backtesting

  DEFPARAM CUMULATEORDERS = true a = highest[55](high) b = lowest[20](low) c = Average[50](close) d = Average[200](close) Avg = 0.25*AverageTrueRange[14](close) // Long Entry Long = HIGH>a[1] AND c > d // Long Exit LongExit = LOW<b[1] if countofposition<=4 then IF NOT LongOnMarket AND Long THEN BUY 1 CONTRACTS AT MARKET ENDIF IF High>TradePrice(1)+avg THEN BUY 1 CONTRACTS AT MARKET ENDIF ENDIF SET STOP LOSS 2*AverageTrueRange[14](close) If LongOnMarket AND Longexit THEN SELL AT MARKET ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26

  DEFPARAM CUMULATEORDERS = true   a = highest[55](high) b = lowest[20](low) c = Average[50](close) d = Average[200](close) Avg = 0.25*AverageTrueRange[14](close)   // Long Entry Long = HIGH>a[1] AND c > d // Long Exit LongExit = LOW<b[1]   if countofposition<=4 then IF NOT LongOnMarket AND Long THEN BUY 1 CONTRACTS AT MARKET ENDIF IF High>TradePrice(1)+avg THEN BUY 1 CONTRACTS AT MARKET ENDIF ENDIF SET STOP LOSS 2*AverageTrueRange[14](close)   If LongOnMarket AND Longexit THEN SELL AT MARKET ENDIF

   

   

  

  LO

  Participant

  Topics: 5

  Replies: 7

  Been thanked: 0 times
  09/16/2017 at 11:14 AM #46347
  Despair

  Ok and where do you want to have the SL? Always 2*ATR away from the combined positionprice? This would look like this:

  if longonmarket then sell at positionprice-2*averagetruerange[14](close) stop endif

  1 2 3

  if longonmarket then   sell at positionprice-2*averagetruerange[14](close) stop endif

   

  

  Despair

  Blocked

  Topics: 97

  Replies: 1034

  Been thanked: 217 times
  09/16/2017 at 11:40 AM #46349
  LO

  Ok, what do you mean with combined price? I assume you mean 2*atr from last position taken, is that the same perhaps?

  

  LO

  Participant

  Topics: 5

  Replies: 7

  Been thanked: 0 times
  09/16/2017 at 12:00 PM #46350
  LO

  Or to be more precise, it’s 2*atr from last position entry price.

  

  LO

  Participant

  Topics: 5

  Replies: 7

  Been thanked: 0 times
  09/16/2017 at 12:34 PM #46351
  Despair

  So you do not want the SL to be in the distance from the combined price (your average position price changes when you cumulate) but from the last lot you bought? In that case just replace positionprice with tradeprice.

  

  Despair

  Blocked

  Topics: 97

  Replies: 1034

  Been thanked: 217 times
• Author
  Posts