DAILY Reseting postionperf to ZERO.

• 12/30/2017 at 11:50 PM #56916
  Juan Salas

  Hi all,

  I am trying to find the way to reset the function positionperf(n) to one day. If one day I have two losing operations, positionperf(1)<0 and positionperf(2)<0, I want the next day this function to be reset it to (1) again.

  Verdi55 showed me one way playing with the bar index, but I don’t get it, and I wondered if there is another way to reach this.

  Thanks,

  Juan

  

  Juan Salas

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  12/31/2017 at 12:38 AM #56917
  robertogozzi

  I think POSITIONPERF cannot be reset, it can only be affected by trades.

  You should use a variable and reset it each day, and update it at each new trade that is closed. It should not be straightforward, though.

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  robertogozzi

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  12/31/2017 at 12:53 AM #56919
  Juan Salas

  Roberto,

  Many thanks. Verdi55 found this original way but I don’t have it very clear:

  diffTiBi = barindex - tradeindex diffTiBi1 = barindex - tradeindex(2) IF (positionperf(1)<0 and date[diffTiBi] = date and (not onmarket)) OR (positionperf(1)<0 and date[diffTiBi1] = date and onmarket) THEN positionsize=1 ENDIF

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  diffTiBi = barindex - tradeindex diffTiBi1 = barindex - tradeindex(2)   IF (positionperf(1)<0 and date[diffTiBi] = date and (not onmarket)) OR (positionperf(1)<0 and date[diffTiBi1] = date and onmarket) THEN positionsize=1 ENDIF

   

  

  Juan Salas

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  12/31/2017 at 12:59 AM #56922
  robertogozzi

  Yes, that’s something I was thinking about.

  I will not be of any help for a few days, though and cannot test/write  any code.

  Try to study and test that code snippet.

  Let us know if you could find a solution worth while being shared.

  

  robertogozzi

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  12/31/2017 at 1:03 AM #56923
  robertogozzi

  Actually any solution is worth while being shared, if it’s good anyone can learn from it, if it’s a bad one the author could benefit from improvements and suggestions by members.

  

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  12/31/2017 at 1:28 AM #56926
  Juan Salas

  Hi Roberto,

  You are right. These days are to disconnect a bit from the codes 🙂

  I think I will take these days to work on this and will post the results.

  Many Thanks and Happy and prosperous 2018.

  Juan

  

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  12/31/2017 at 11:27 AM #56943
  GraHal

  Wouldn’t it be easier to use StrategyProfit?

  Record StrategyProfit and day / date then keep subtracting yesterdays StrategyProfit to start at zero again for each new day … or something similar? (My brain not woke up yet, coffee not got through! and I’ve not even been celebrating New Year! :))

  https://www.prorealcode.com/documentation/strategyprofit/

  GraHal

  

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  12/31/2017 at 12:09 PM #56951
  robertogozzi

  I agree, STRATEGYPROFIT could be a far better and easier  solution!

  

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  12/31/2017 at 12:49 PM #56959
  GraHal

  Hey Roberto, your words below are so good and true that you should add them under your Profile pic!? 🙂

  Any solution is worth sharing
  If good, we can all learn from it
  If bad, solution / author benefits from improvements and suggestions by members. 

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  GraHal

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  01/02/2018 at 11:27 PM #57082
  robertogozzi

  Juan Salas, I tried to implement GraHal‘suggestions, first you can write:

  ONCE MyProfit = 0 IF IntraDayBarIndex = 0 THEN //At each new day save current strategyprofit MyProfit = StrategyProfit ENDIF

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  ONCE MyProfit = 0 IF IntraDayBarIndex = 0 THEN   //At each new day save current strategyprofit   MyProfit  = StrategyProfit ENDIF

  At a later moment, when your, say, BUY conditions are met you can write:

  IF My_Conditions AND (StrategyProfit >= MyProfit) THEN //only BUY if no losses occurred BUY .... ENDIF

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  IF My_Conditions AND (StrategyProfit >= MyProfit) THEN //only BUY if no losses occurred    BUY .... ENDIF

   

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  01/03/2018 at 12:59 AM #57084
  Juan Salas

  Hi Roberto,

  I think your solution above is more directed to monitoring daily operations through their dailyprofit. I don’t know if that can apply to what I am trying to get.

  I am working with different types of Martingale, and although no filter may “soften” the unexpected and statistically proven drop of the Martingale, I am trying different approaches.

  Example: I have a system that operates 3-4 times a day. Lets say I have 4 losing operations that day, and I want to apply a DAILY martingale. It means positionsize=1, 2, 4 and 8. Next day I want to start in positionsize=1. RIGHT NOW, each day starts as a continuation of the past day, in this case it starts with positionsize= 16.

  It is tricky, since positionperf(n) doesn’t differentiate past performances by dates, so it doesn’t matter if the last and losing operation was three days ago, it still counts as positionperf(1)<0.

  My intention is contain the Martingales within certain periods of time to avoid escalation (days and even periods of three-four hours). Probably, it may not work, but I want to know how to do it.

  In any case, thanks so much for your approach.

  Juan

  

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  01/04/2018 at 4:16 PM #57257
  verdi55

  Try to count the number of positions that you have openend every day. For example, set a parameter np to 0 every day at 0:00. When you open a new position, increase np by 1.

  Then you can consider positionperf only for the number that np is currently showing.

  For example, when np is 2, and a position is open, you consider only positionperf and positionperf(1). When no position is open, you consider only positionperf(1) and positionperf(2).

   

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  01/04/2018 at 5:26 PM #57266
  robertogozzi

  verdi55 wrote:

  Try to count the number of positions that you have openend every day. For example, set a parameter np to 0 every day at 0:00. When you open a new position, increase np by 1. Then you can consider positionperf only for the number that np is currently showing. For example, when np is 2, and a position is open, you consider only positionperf and positionperf(1). When no position is open, you consider only positionperf(1) and positionperf(2).

  Great idea, if NP = 0 you know positionperf(1) refers to previous days, if not then it reports today’s data. And you can easily reset it daily when IntrayDayBarIndex = 0.

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