Different market entries with different positionsize.

Viewing 5 posts - 1 through 5 (of 5 total)
  • Author
    Posts
  • 02/25/2022 at 9:35 PM #188852 quote
    jhon
    Participant
    New

    I am looking for code for two different inputs within the same system.

    The first entry is under conditions a and b and positionsize normal.
    The second entry is under conditions a, b, and c and positionsize/2.

    They are not cumulative positions, or he enters with the first entry or with the second entry.

     

    Thanks.

    02/25/2022 at 11:40 PM #188853 quote
    JS
    Participant
    Senior

    Hi @jhon,

    Something like this…

    DefParam CumulateOrders = False

IF NOT OnMarket AND a and b THEN
BUY PositionSize Contracts AT MARKET
ENDIF

If Not OnMarket AND a and b and c THEN
BUY PositionSize/2 Contracts AT MARKET
ENDIF
    02/26/2022 at 1:00 AM #188859 quote
    PeterSt
    Participant
    Master
    JS wrote:

    Something like this

    IF NOT OnMarket AND a and b THEN
BUY PositionSize Contracts AT MARKET
ENDIF
 
If Not OnMarket AND a and b and c THEN
BUY PositionSize/2 Contracts AT MARKET
ENDIF

    Nah, not really. That may end up with 1.5x PositionSize because it is ambiguous (but we should try it for real in order to be sure); I mean, this will not end up in two times a position, but both will accumulated in the one bar-call.  DefParam CumulateOrders = false won’t help here.

    IF NOT OnMarket AND a and b THEN
  BUY PositionSize Contracts AT MARKET
ELSIF Not OnMarket AND a and b and c THEN
  BUY PositionSize/2 Contracts AT MARKET
ENDIF

    Maybe that will work better. 🙂

    02/26/2022 at 7:13 AM #188860 quote
    JS
    Participant
    Senior

    Hi @jhon,

    First test the entry with the most conditions, then the entry with the second most…etc.

    Otherwise you will endup with a wrong PositionSize.

    Use CumulateOrders = False to prevent cumulated orders.

      

    DefParam CumulateOrders = False

If a and b and c then
Buy PositionSize/2 Contracts at Market
ElsIf a and b then
Buy PositionSize Contracts at Market
EndIf
    02/26/2022 at 9:46 AM #188870 quote
    jhon
    Participant
    New

    Thank you very much JS.

    I see that the problem I had was because of the order of the entries, your last post.
    For the rest, I was using that same code.

    It is curious, the order of the factors does alter the product. 🙂

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Different market entries with different positionsize.


ProOrder: Automated Strategies & Backtesting

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jhon @jhon Participant
Summary

This topic contains 4 replies,
has 3 voices, and was last updated by jhon
3 years, 12 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/25/2022
Status: Active
Attachments: No files
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