Grid orders with one combined stop loss and limit, can it be done?
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Hi,
I rewrote the whole thing for the sell side only. I think it should make it, but test it with minimal lot size under real market conditions please.
I add 2 GRAPH instructions for displaying the new stoploss and the average price position of the whole basket for debugging purpose (see picture attached). Please have a look if it’s ok with your strategy.
// first trade whatever condition if NOT ONMARKET AND close<close[1] then SELLSHORT 1 LOT AT MARKET endif // case SELL - add orders on the same trend if tradeprice(1)-close>20*pipsize then SELLSHORT 1 LOT AT MARKET endif // stoploss at 1% from the average price of the whole positions on market if shortonmarket then newSL = positionprice + (positionprice*0.01) if close>newSL then EXITSHORT AT MARKET endif GRAPH newsl coloured(200,0,0) as "stop loss 1%" GRAPH positionprice coloured(100,100,100) as "position price" endifHello Nicolas,
Unfortunately I lost my remote connection from work today so I have only been able to test for a couple of hours tonight. I learned that graphs are not allowed when testing in real market conditions so I did a slight modification to the code removing the graphs;
// first trade whatever condition if NOT ONMARKET AND close<close[1] then SELLSHORT 1 LOT AT MARKET endif // case SELL - add orders on the same trend if tradeprice(1)-close>20*pipsize then SELLSHORT 1 LOT AT MARKET endif // stoploss at 1% from the average price of the whole positions on market if shortonmarket then newSL = positionprice + (positionprice*0.01) if close>newSL then EXITSHORT AT MARKET endif endifHowever I also did some backtesting and it seems like the code cause the positions to close at -1 % each instead of -1 % in total, see the attached screenshot, for the first set of trades with 10 sell orders the average price once all orders had been filled was 1.4162 and the-1 % in total SL should have kicked in at about 10 pips higher around 1.4172.
Nicolas do you have an idea how to fix this please?
No worries I would probably forget it all the time too 🙂
I updated the code with some minor modifications replacing “lots” with “shares” to match your code with the first one I got;
// first trade whatever condition if NOT ONMARKET AND close<close[1] then SELLSHORT 1 SHARE AT MARKET endif // case SELL - add orders on the same trend if tradeprice(1)-close>20*pipsize then SELLSHORT 1 SHARE AT MARKET endif if shortonmarket then for i=0 to countofshortshares-1 do tradesum=tradesum+tradeprice(i) next averagetrade=tradesum/countofshortshares sell at averagetrade-((100/countofshortshares)*pointsize) stop endifIn backtesting the problem remains, five orders triggered but not exited until way past the total -1 %. Could it be due to the first code being a long only and yours being short only? Or is necessary for line 1 – 9 in the first code to be included for the SL to work?
I have just tested once more, this time with long only orders, and set the exit at 1% and things go well under tester:
// first trade whatever condition if NOT ONMARKET AND close>close[1] then BUY 1 LOT AT MARKET endif // case BUY - add orders on the same trend if close-tradeprice(1)>20*pipsize then BUY 1 LOT AT MARKET endif // stoploss at 1% from the average price of the whole positions on market if longonmarket then newSL = positionprice - (positionprice*0.01) if close<=newSL then SELL AT MARKET endif GRAPH newSL endifPOSITIONPRICE is really the average open price of the whole opened orders.
Hey guys,
I bought a new aparment today so I haven’t had as much time for testing as I wanted but I set up the system on NZD/JPY and Dax which have been running on real market conditions for about 24 hours now.
The good news is that the entries seem to work very good with orders being filled at every 20 pips with small differencies. The less good news is that the SL seem to kick in too early with (positionprice*0.001) at only -0.1 % but kick in too late with (positionprice*0.01) with floating loss of CAD 200 on a USD 10 000 account. I may have missed something in the calculations but so far I can’t figure it out.
NOTE! Due to my lack of experience of PRT and lack of coding knowledge I have not mentioned one of the most important features, since this strategy is meant to manage R:R and MM for manual trades, though taken automatically, it is crucial that no new entry orders are placed after a SL kicked in. The system must wait to be started again manually, how can this feature be added?
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 04/14/2016 |
| Status: | Active |
| Attachments: | 106 files |
