Defining exit strategy based on profit target

• 01/04/2020 at 10:59 PM #115904
  AleksLi

  Hi guys,

  I’m trying to define the exit parameters of my strategy to be the following:

  Exit on the next open if we’ve achieved a close 0.3% higher than the trade bars’ close.

  I’m having trouble with this because a simple take profit won’t do. I’m trying to exit on the next bar once we’ve achieved that 0.3% profit target. Here’s my autogenerated code:

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = MoneyFlowIndex[4] c1 = (indicator1 = 0) IF c1 THEN BUY 1 SHARES AT MARKET ENDIF // Conditions to exit long positions percent = close / close[-1] - 1 c2 = (percent >= 0.3) IF c2 THEN SELL AT MARKET TOMORROWOPEN ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = MoneyFlowIndex[4] c1 = (indicator1 = 0)   IF c1 THEN BUY 1 SHARES AT MARKET ENDIF   // Conditions to exit long positions percent = close / close[-1] - 1   c2 = (percent >= 0.3)   IF c2 THEN SELL AT MARKET TOMORROWOPEN ENDIF

   

  I’ve trying looking in the documentation, but I’ve only been able to define the percent parameter, not the “exit on the next bar once we’ve achieved 0.3% profit” part.

  Let me know what you think,

  Aleks

  

  AleksLi

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  01/04/2020 at 11:11 PM #115905
  AleksLi

  fixed my syntax, apologies for the spam.

  c2 = (percent >= 0.003)

  1	c2 = (percent >= 0.003)

   

  

  AleksLi

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  01/05/2020 at 9:55 AM #115911
  Vonasi

  AleksLi – Welcome to the forums.

  Please always use the ‘Insert PRT Code’ button when posting code to make it more readable for others. I have tidied up your posts 🙂

  Glad you fixed your own problem however there is an issue in your code.

  You cannot use [-1 ] after CLOSE as it must be a positive integer value. CLOSE[1] is the previous bars close. If you want to compare current price to the price your trade opened at then you need to use TRADEPRICE or POSITIONPRICE. I usually use the latter to avoid any confusion as TRADEPRICE can also be the last price you sold at.

  Also it is simpler just to do the exit price calculation as part of the condition.

  // Conditions to exit long positions c2 = close >= positionprice * 1.003 IF c2 THEN SELL AT MARKET TOMORROWOPEN ENDIF

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  // Conditions to exit long positions c2 = close >= positionprice * 1.003 IF c2 THEN SELL AT MARKET TOMORROWOPEN ENDIF

   

  1 user thanked author for this post.

  AleksLi

  

  Vonasi

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  01/05/2020 at 12:52 PM #115921
  AleksLi

  Thank you very much for your reply Vonasi!

  One issue I have though- for some reason after inserting the positionprice variable, the backtest doesn’t generate any positions? I’ve tried removing selling rules altogether and it generated a buy signal.

  For reference, here’s my latest code:

  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 143000 timeEnterBefore = time >= noEntryBeforeTime // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions indicator1 = MoneyFlowIndex[4] c1 = (indicator1 = 0) IF c1 THEN BUY 1 SHARES AT MARKET ENDIF // Conditions to exit long positions c2 = close >= positionprice * 1.003 IF c2 THEN SELL AT MARKET TOMORROWOPEN ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated   // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 143000 timeEnterBefore = time >= noEntryBeforeTime   // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions to enter long positions indicator1 = MoneyFlowIndex[4] c1 = (indicator1 = 0)   IF c1 THEN BUY 1 SHARES AT MARKET ENDIF   // Conditions to exit long positions   c2 = close >= positionprice * 1.003 IF c2 THEN SELL AT MARKET TOMORROWOPEN ENDIF

  I’ve tried fiddling around with brackets, and that hasn’t helped. I’ve also used other rules to exit positions (like my first attempt) and that generated backtest results.

  

  AleksLi

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  01/05/2020 at 2:01 PM #115922
  Vonasi

  Sorry – I was coding without thinking too hard about it!

  The problem is that your c2 condition is true when you are not on the market because POSITIONPRICE  = 0 and so this cancels out any buy orders. The addition of an ONMARKET condition should solve the problem.

  Try this (not tested):

  defparam cumulateorders = false // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 143000 timeEnterBefore = time >= noEntryBeforeTime // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions indicator1 = MoneyFlowIndex[4] c1 = (indicator1 = 0) IF c1 THEN BUY 1 SHARES AT MARKET ENDIF // Conditions to exit long positions c2 = close >= positionprice * 1.003 IF onmarket and c2 THEN SELL AT MARKET TOMORROWOPEN ENDIF

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  defparam cumulateorders = false   // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 143000 timeEnterBefore = time >= noEntryBeforeTime   // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions to enter long positions indicator1 = MoneyFlowIndex[4] c1 = (indicator1 = 0)   IF c1 THEN BUY 1 SHARES AT MARKET ENDIF   // Conditions to exit long positions   c2 = close >= positionprice * 1.003 IF onmarket and c2 THEN SELL AT MARKET TOMORROWOPEN ENDIF

   

  

  Vonasi

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  01/05/2020 at 2:55 PM #115929
  AleksLi

  It worked! Thank you so much for taking the time to look into this. Much appreciated 🙂

  

  AleksLi

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