Exit and Reenter same bar

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  • 05/08/2018 at 1:36 PM #69994
    dburgh

    Hello,

    Is it possible to have a strategy exit on the next open but then re-enter on that same open for next trade?

    For example, in an existing position on Monday. On Monday’s close the exit condition is true (and so is the entry condition). So on Tuesday’s open we should exit existing trade but also enter next trade (because of Monday’s signal).

    Any help is greatly appreciated,

    Dburgh

    05/08/2018 at 4:45 PM #70004
    Leo

    You can close a trade on Monday and open a pending order for the Tuesday

    05/09/2018 at 2:39 PM #70076
    dburgh

    I do not want to close the trade on Monday. I need to close the trade on Tuesday’s open (and also re-enter next trade on Tuesday’s open). Is this possible?

    05/09/2018 at 3:23 PM #70081
    robertogozzi

    This will do the trick, at the end of each bar it first closes any open trade (no matter their direction), then it opens a new one according to your conditions:

    Since each strategy is executed at the closing of every bar, on a Daily TF each day it’ll close the previous day’s trade and eventually enter a new one.

    05/09/2018 at 4:58 PM #70083
    dburgh

    Hey, this makes sense. However, I am still unable to get the desired effect.

    Can you try a simple example.

    Entry: buy if low[0] <= low[1]

    Exit: hold for 1 bar

     

    I have tried a few iterations and this is the closest I can get to desired results, but it still does not exit and re-enter on the same bar. Thanks for the help.

    if onmarket and barindex – tradeindex >= 0 then
    sell at market
    endif

    if low[0] <= low[1] and not onmarket then
    buy 1 shares at market
    endif

     

    Attachment: The trade inside the yellow box has correct entry. The bar prior to the entry bar did have the entry rule true (low[0] <= low[1]). The exit is also correct. However, we should have also re-entered on the small green bar (exit bar) because the entry bar also had low[0] <= low[1]

    05/09/2018 at 5:16 PM #70087
    robertogozzi

    You need not check how many bars have elapsed, if you put this code at the very beginning of your strategy (just after DEFPARAMs and CONSTANT/VARIABLE initialization):

    your trades won’t live longer than a SINGLE bar!

    Try this one (I tested it on Gbp/Chf, 1-hour TF, from May 1st till now)

    05/09/2018 at 5:27 PM #70089
    dburgh

    Thank you for your help on this. However, in your example, it is still not doing what I’d expect and am asking.

    You can see that the entry inside the yellow box is correct. However, how come it does not re-enter on the exit bar (with red arrow above)? The previous bar (which we entered on) had entry condition true.

    Thanks

    05/09/2018 at 6:36 PM #70102
    robertogozzi

    Run this verion and you’ll see the differences:

    Setting the first line to TRUE and commenting the ONMARKET condition in line 8 changes the behaviour of ProOrder.

    I think this is may be due to ONMARKET requiring a candle to be considered TRUE when a trade is started, but I am not sure about this, let’s hope @Nicolas help us when back to work from sunbathing!

     

    05/09/2018 at 6:39 PM #70103
    dburgh

    Yeah, let’s hope he can help as this still does not work. This is actually worse as holds trades for more than 1 bar now lol

    05/09/2018 at 6:45 PM #70105
    robertogozzi

    There must be something wrong with your system, I ran it on both GbpChf and DAX, 1-hour TF, from the beginning till now and both executed more than 12,000 trades, ALL of them closed after ONE bar!

     

    05/09/2018 at 6:48 PM #70106
    dburgh

    Yes, if we set cumulateOrders = false (not true) then it will hold for only 1 bar. But still the issue about no re-entry.

    05/10/2018 at 1:36 PM #70135
    Nicolas

    Set cumulateorders=true and count in variables if we are on market or not:

    You will prevent cumulating orders while allowing close and open of orders on the same candle. Is that what you wanted?

    1 user thanked author for this post.
    avatar robertogozzi
    05/10/2018 at 1:45 PM #70138
    dburgh

    Ok, so this is mimicking the same idea but merging the trades? As opposed to the attached image?

    Anyway to not merge the trades so it is similar to the attached image?

    05/14/2018 at 1:10 PM #70351
    dburgh

    Hello,

    Any help on this? It has been 6 days or so and still no resolution. If it is not possible then please let me know else please help me understand how to achieve this.

    Thanks,

    David

    05/14/2018 at 1:21 PM #70355
    robertogozzi

    It seems you’ve already been given solutions.

     

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