EXITSHORT not working?

• 01/23/2021 at 10:59 AM #158971
  Philippo

  Hi, I have a trading system which appears not to want to EXITSHORT. Which is clearly very strange. what am i missing here?

  Am certain the exitdn condition is triggered as other variables in the if statement are being correctly affected (position is reset to its initial value) and the exitdn boolean is true at the expected time. however the EXITSHORT is not executing: the position size is unaffected and so the position’s losses are unusually large.

  I may have read the outcome incorrectly and it is in actual fact executing, but then why is the positionsize not zero?

  For BUY, SELL and SELL SHORT the system behaves as expected: overall position size adjusted, new position entry size decreased (the system takes a large initial stake and then decreases new stake position size each time until 1 or the exit is tirggered and so a reset to initial)

  On the screenshot we see EURCAD 5min on Friday 22nd Jan at 16:15. At 16:10 the CCI crossed over the 100 line which is an exit short condition in this system. At 16:20 the Positions should have gone down to zero. on the user variables chart the blue variable Position (new entry size) is reset to initial value 5. The variable Xdn is set to 1 indicating an exit down criteria has been met, so the contents of the if condition should all be executed.

  I tried with EXITSHORT and with BUY, same inaction both times.

  Will keep looking and any suggestions questions welcome 🙂

   

  Thank you.

  CCI system

  myCCI=CCI[20] CCIMA=Average[20](myCCI) initialposition = 5 if onmarket then ccimaup = ccima > 70 ccimadn = ccima < -70 else ccimaup = ccima > 10 ccimadn = ccima < -10 position = initialposition endif Vup = mycci>mycci[1] and mycci[1] < mycci[2] and mycci>0// \/ Vdn= mycci<mycci[1] and mycci[1] > mycci[2]and mycci<0// /\ entryup= ccimaup and Vup entrydn= ccimadn and Vdn exitup = myCCI crosses under -100 and longonmarket exitdn = myCCI crosses over 100 and shortonmarket if entryup then buy position contract at market SET STOP TRAILING SAR[0.02,0.02,0.09] if position >1 then position = position -1 endif endif if entrydn then SELLSHORT position contract at market SET STOP TRAILING SAR[0.02,0.02,0.09] if position >1 then position = position -1 endif endif GRAPH exitup*-1 coloured (255,0,0) as "Xup" GRAPH exitdn coloured (155,0,0) as "Xdn" GRAPH entryup coloured (0,255,0) as "UP" GRAPH entrydn*-1 coloured (0,200,0)as "DN" GRAPH position coloured (0,0,200) as "Position" if exitup then SELL COUNTOFPOSITION contract at market position = initialposition endif if exitdn then EXITSHORT COUNTOFPOSITION contract at market //BUY COUNTOFPOSITION contract at market position = initialposition 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 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59

  myCCI=CCI[20] CCIMA=Average[20](myCCI)   initialposition = 5   if onmarket then ccimaup = ccima > 70 ccimadn = ccima < -70 else ccimaup = ccima > 10 ccimadn = ccima < -10 position = initialposition endif   Vup = mycci>mycci[1] and mycci[1] < mycci[2] and mycci>0//  \/ Vdn= mycci<mycci[1] and mycci[1] > mycci[2]and mycci<0//    /\   entryup= ccimaup and Vup entrydn= ccimadn and Vdn     exitup = myCCI crosses under -100 and longonmarket exitdn = myCCI crosses over 100 and shortonmarket       if entryup then buy position contract at market SET STOP TRAILING SAR[0.02,0.02,0.09] if position >1 then position = position -1 endif endif   if entrydn then SELLSHORT position contract at market SET STOP TRAILING SAR[0.02,0.02,0.09] if position >1 then position = position -1 endif endif   GRAPH exitup*-1 coloured (255,0,0) as "Xup" GRAPH exitdn coloured (155,0,0) as "Xdn" GRAPH entryup coloured (0,255,0) as "UP" GRAPH entrydn*-1 coloured (0,200,0)as "DN" GRAPH position coloured (0,0,200) as "Position"     if exitup then SELL COUNTOFPOSITION contract at market position = initialposition endif   if exitdn then EXITSHORT COUNTOFPOSITION contract at market //BUY COUNTOFPOSITION contract at market position = initialposition endif

   

  

  Philippo

  Participant

  Topics: 20

  Replies: 30

  Been thanked: 2 times
  01/23/2021 at 11:06 AM #158977
  fifi743

  Hello,
  Graph COUNTOFPOSITION .
  It is negative -16 on the graph whereas you have 5 trades.

  

  fifi743

  Participant

  Topics: 10

  Replies: 994

  Been thanked: 489 times
  01/23/2021 at 4:26 PM #159082
  Philippo

  this is expected, the position builds with decreasing stakes, so 16=5+4+3+2+1+1 for a total of six entries as the favourable wind continues…

  if the wind changes and the stoploss is triggered, everything appears ok. Well at least it triggers.

  The problem I have is that this position of 16, when the exit criteria are met, does not execute the EXITSHORT.

  at 2030 on your attachment I see an exit long signal on the variables, so SELL happens and the position is reset. But looking earlier you will see two exit short (red /\ on the variables graph) but the position size keeps growing. It should be same as exit long: BUY and position is reset. why no buy?

  Thanks

  

  Philippo

  Participant

  Topics: 20

  Replies: 30

  Been thanked: 2 times
  01/23/2021 at 4:55 PM #159095
  robertogozzi

  Instead of using COUNTOFPOSITION, which can be negative, use:

  abs(COUNTOFPOSITION)

  1	abs(COUNTOFPOSITION)

  to make it positive.

   

  1 user thanked author for this post.

  Philippo

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 18045

  Been thanked: 4611 times
  01/24/2021 at 11:08 AM #159178
  Philippo

  awesome! thanks

  

  Philippo

  Participant

  Topics: 20

  Replies: 30

  Been thanked: 2 times
• Author
  Posts