Grid orders with one combined stop loss and limit, can it be done?

cfta · Thu, 14 Apr 2016 19:38:13 +0000

Hi Traders, This is my first post in the forum so let me introduce myself. I discovered the user friendly and creative PRT platform a couple of months ago and made the switch from the more frustrating MT4 platform, I have been trading FX along with commodity and index CFDs for over 7 years and picked up a few good strategies along the way, one which I am going to share and ask for help coding. The strategy is based on scaling into positions while maintaining the same risk by placing stop orders in the direction of the trend and momentum of the selected instrument, for instance earlier this week I was anticipating that EUR/USD would drop and at the time the market price was 1.1385. I would start the system placing an order to sell 1 contract at market price along with several sell stop orders to sell additional contracts at predetermined intervals by 20 pips, 1.1365, 1.1345 and 1.1325 etc. The key for the strategy is to maintain the same risk as more contracts are added to the position, starting with a 1% risk on the initial market order taken at 1.1385 with 1% risk equaling 100 pips with a stop loss at 1.1485, once the second order is filled at 1.1365 the 1% risk is maintained by the stop loss being moved automatically to 1.1425 (50 pips from the average price at 1.1375), once the third order is filled at 1.1345 the 1% risk is maintaned by the stop loss being moved automatically to 1.1398 (33 pips from the new average price at 1.1365) and on it goes until reaching the desired number of contracts, in my case most often 5-10 contracts. In a perfect world I would like to include a function to set the stop loss to break even once reaching a certain percentage of profit but I have not figured that part out yet… If going for 5 contracts at 20 pip intervalls the first 100 pips yield a 3% return and evry additional 20 pips yield 1 additional percent, for instance given that pullbacks and whipsaws are moderate and do not cause an exit by the stop loss a 240 pip move yield a 10% profit with only 1% risk, I say that is pretty sweet R:R and MM 🙂 I already have the code to do this on the frustrating and not so reliable MT4 platform but can it be coded for PRT? A few weeks ago I thought of course it can be done! Now I am a bit less convinced since I have made two requests to the inhouse ProRealTime programmers and been given two different sets of code but neither of them works as intended for my IG account so now I am asking all of you and in particular Nicolas if it es even possible to code this? This is the first code provided by the PRT programmers; stop1=round(close*1000)/1000 if stop1 <= close then stop1=stop1+0.001 endif tradesum=0 stop2=stop1+0.002 stop3=stop2+0.002 stop4=stop3+0.002 stop5=stop4+0.002 buy 1 share at stop1 stop buy 1 share at stop2 stop buy 1 share at stop3 stop buy 1 share at stop4 stop buy 1 share at stop5 stop if longonmarket then for i=0 to countoflongshares-1 do tradesum=tradesum+tradeprice(i) next averagetrade=tradesum/countoflongshares sell at averagetrade-((100/countoflongshares)*pointsize) stop endif And here is the second code; DefParam CumulateOrders = True Once firstPrice = undefined // Change these settings accordingly Once lotSize = 10 Once orderLimit = 5 Once pipInterval = 10 Once profitPercentage = 0.2 Once lossPercentage = 0.5 If CountofLongShares[1]=0 and CountofLongShares=lotSize then firstPrice = TradePrice Elsif CountOfLongShares>lotSize then Sell At firstPrice Stop Endif If Not LongOnMarket then Buy lotSize Lots At Market Elsif CountOfLongShares<orderLimit*lotSize then Buy lotSize Lots At TradePrice+pipInterval*PointValue Stop Endif Set Target %Profit profitPercentage Set Stop %Loss lossPercentage In the first code the SL function seemed to be working fine but not the order placement which tended to place all orders virtually instantly at the same price, in second code the orders were sometimes place at the proper intervalls and sometimes at the same price as a previous order. Please help me figure this out, I look forward to any replies and assistance! Regards, Filip

This topic has 306 replies, 25 voices, and was last updated 3 years ago by Philstrading.

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03/15/2018 at 2:38 PM #65371

Nicolas

In the short version you are “SELLING” short position in the BBexit function, you’d better use EXITSHORT! 😉

Is this version valuable?

Nicolas

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03/15/2018 at 4:27 PM #65379

rejo007

hello,

on what timeframe and pair do you use it?

thanks

rejo007

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03/17/2018 at 3:15 PM #65500

cfta

Thanks Nicolas, that’s such a simple and obvious miss it completly passed me by.

I say that this version is more valuable than the previous ones and is a fair improvement, however it still requires a certain amount of discretion from the trader to anticipate an upcoming move and start the system before it begins. I usually start the systems in the morning and let them run for 2-4 hours and then again in the afternoon and sometimes all day.

Rejo, these two latest verisions are intended for 1 minute, I use it on any market with good movement, primarily DAX, DOW, Nikkei EUR & GBP paired with AUD & CAD. A good system should work with plenty of markets since the behavior of any given market tend to differ over time I believe it’s not useful to build a system for one single market.

Attached is a corrected version of the short.

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manel

cfta

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11/03/2019 at 11:51 AM #111923

volpiemanuele

I, I’m interested for a “grid system”. I don’t undertand the latest version that function in real marker. Can you share it? Thanks

volpiemanuele

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11/04/2019 at 9:14 AM #111984

Nicolas

This topic is not about a grid system the way you mean it I think, it doesn’t average the loss but pyramid the winners in order to get the most of a quick move of the market.

Nicolas

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06/07/2020 at 8:53 PM #135090

Philstrading

Well far too many replies for me to peruse them all, however my son looked at one of the amended codes for buy only.

Seems unclear what time frame this is for exactly. anyway he said it works best on the 3 minutes on Dax so ~I took a peek.

The code attached here would need amending for times and testing with the spread change times being ruled out as market closures etc can create a x10 value of the spread so backtesting a bit iffy for such a programme without this being factored in.

Anyway, so I will take a look at this, but for the code I looked at which is buy only over about a week and a half it didnt seem too bad, except that it was running 24hrs and there was no factoring in of the spread issues. So I would need to factor that in first.

What I’ve done here is looked at the losing trades noting they were during bearish runs, so just added an MTF clause to not buy if the 5 minutes MAs are bearish when trading the 3 minute chart. The program needs to run on the 1 minute chart to work with MTF. So it’s attached anyway, will probably see a much different picture if ruling out the spread change times, but before I do that I would need to check what times those are..

Lines 33 to 39 of code are a very simple amendment to rule out a bearish picture trading bullish using 2 MAs, could prob mod them to improve it too.

//BREAKOUT running on 1 minute timeframe for MTF//////////////////////
K=highest[1](close)     //IC*0.25
 
//EXPECTED DAILY RANGE (PERCANTAGE) = ENTRY/STOP////////////////////////
DP=0.007
 
//GRID STEP DISTANCE/ STOP////////////////////////////////////////////////
IC=((CLOSE*DP)/4)
GRIDSTEP=IC
 
//-------------------------------------------------------------------------
 
//graph close as "close"
//GRAPH K AS "BREAKOUT"
//GRAPH START AS "START"
//GRAPH IC AS "AVERAGE RANGE"
//GRAPH floatingprofit as "floating profit"
//GRAPH BBfloatingprofit as "BB Floating Profit"
 
//-------------------------------------------------------------------------
 
 
////////////////////////////////////////////////////////////////////////////////////////
// Conditions to enter long positions
////////////////////////////////////////////////////////////////////////////////////////
 
//TREND INDI////////////////////////////////////////////////////////////////////////
TFC=1
indicator1 = dema[18*TFC](ROC[13*TFC](ExponentialAverage[1*TFC]))
indicator2 = dema[18*TFC](ROC[13*TFC](ExponentialAverage[1*TFC]))
c1 = (indicator1 > indicator2[1])

//bearishness rule out based on MAs
timeframe (5 minutes, updateonclose)
indicator7 = Average[10](close)[1]
indicator8 = Average[20](close) [1]
c3 = (indicator7 < indicator8)//bearish MAs

timeframe (3 minutes, updateonclose)
 
//SET STOP ORDER INDI////////////////////////////////////////////////////////////////////////
TFC2=15
indicator10 = dema[20*TFC2](ROC[25*TFC2](ExponentialAverage[1*TFC2]))
indicator20 = dema[20*TFC2](ROC[25*TFC2](ExponentialAverage[1*TFC2]))
c10 = (indicator10 > indicator20[1])
//c20 = (indicator10[1] < indicator20[2])  AND C20
 
 
IF c1 AND C10  AND NOT ONMARKET THEN
START=K
BUY 1 CONTRACT AT K STOP
BUY 1 CONTRACT AT CLOSE+K+GRIDSTEP STOP
BUY 2 CONTRACT AT CLOSE+K+(GRIDSTEP*2) STOP
//BUY 4 CONTRACT AT START+(GRIDSTEP*3) STOP
ENDIF
 
IF c1 AND COUNTOFPOSITION=1 AND NOT C3 THEN
BUY 1 CONTRACT AT START+GRIDSTEP STOP
BUY 2 CONTRACT AT START+(GRIDSTEP*2) STOP
//BUY 4 CONTRACT AT START+(GRIDSTEP*3) STOP
ENDIF
 
IF c1 AND COUNTOFPOSITION=2 AND NOT C3 THEN
BUY 2 CONTRACT AT START+(GRIDSTEP*2) STOP
//BUY 4 CONTRACT AT START+(GRIDSTEP*3) STOP
ENDIF
 
//IF c1 AND COUNTOFPOSITION=4 THEN
//BUY 4 CONTRACT AT START+(GRIDSTEP*3) STOP
//ENDIF
 
 
////////////////////////////////////////////////////////////////////////////////////////
//  SAFETY STOPS MATTA
////////////////////////////////////////////////////////////////////////////////////////
 
// Stops and targets
if countofposition=1 then
SELL AT START-GRIDSTEP STOP
ENDIF
 
if countofposition=2 then
SELL AT START STOP
ENDIF
if countofposition=4 then
SELL AT START+GRIDSTEP STOP
ENDIF
 
//if countofposition=8 then
//SELL AT START+(GRIDSTEP*2) STOP
//ENDIF
 
 
floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize
 
 
//actual trade gains
MAfloatingprofit = average[20](floatingprofit) //[ONMARKET]
BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*1.8//0.25
 
 
 
FPP= (BBfloatingprofit)/((pointvalue*countofposition/pipsize))+positionprice
 
if onmarket  then
if FPP<CLOSE then
SELL AT FPP STOP
endif
ENDIF
 
 
 
//GRAPH FPP AS "floatingprofit stop FPP"
//GRAPH floatingprofit AS "floatingprofit"
//GRAPH CLOSE AS "Close"

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//BREAKOUT running on 1 minute timeframe for MTF//////////////////////

K=highest[1](close) //IC*0.25

//EXPECTED DAILY RANGE (PERCANTAGE) = ENTRY/STOP////////////////////////

DP=0.007

//GRID STEP DISTANCE/ STOP////////////////////////////////////////////////

IC=((CLOSE*DP)/4)

GRIDSTEP=IC

//-------------------------------------------------------------------------

//graph close as "close"

//GRAPH K AS "BREAKOUT"

//GRAPH START AS "START"

//GRAPH IC AS "AVERAGE RANGE"

//GRAPH floatingprofit as "floating profit"

//GRAPH BBfloatingprofit as "BB Floating Profit"

//-------------------------------------------------------------------------

////////////////////////////////////////////////////////////////////////////////////////

// Conditions to enter long positions

////////////////////////////////////////////////////////////////////////////////////////

//TREND INDI////////////////////////////////////////////////////////////////////////

TFC=1

indicator1 = dema[18*TFC](ROC[13*TFC](ExponentialAverage[1*TFC]))

indicator2 = dema[18*TFC](ROC[13*TFC](ExponentialAverage[1*TFC]))

c1 = (indicator1 > indicator2[1])

//bearishness rule out based on MAs

timeframe (5 minutes, updateonclose)

indicator7 = Average[10](close)[1]

indicator8 = Average[20](close) [1]

c3 = (indicator7 < indicator8)//bearish MAs

timeframe (3 minutes, updateonclose)

//SET STOP ORDER INDI////////////////////////////////////////////////////////////////////////

TFC2=15

indicator10 = dema[20*TFC2](ROC[25*TFC2](ExponentialAverage[1*TFC2]))

indicator20 = dema[20*TFC2](ROC[25*TFC2](ExponentialAverage[1*TFC2]))

c10 = (indicator10 > indicator20[1])

//c20 = (indicator10[1] < indicator20[2]) AND C20

IF c1 AND C10 AND NOT ONMARKET THEN

START=K

BUY 1 CONTRACT AT K STOP

BUY 1 CONTRACT AT CLOSE+K+GRIDSTEP STOP

BUY 2 CONTRACT AT CLOSE+K+(GRIDSTEP*2) STOP

//BUY 4 CONTRACT AT START+(GRIDSTEP*3) STOP

ENDIF

IF c1 AND COUNTOFPOSITION=1 AND NOT C3 THEN

BUY 1 CONTRACT AT START+GRIDSTEP STOP

BUY 2 CONTRACT AT START+(GRIDSTEP*2) STOP

//BUY 4 CONTRACT AT START+(GRIDSTEP*3) STOP

ENDIF

IF c1 AND COUNTOFPOSITION=2 AND NOT C3 THEN

BUY 2 CONTRACT AT START+(GRIDSTEP*2) STOP

//BUY 4 CONTRACT AT START+(GRIDSTEP*3) STOP

ENDIF

//IF c1 AND COUNTOFPOSITION=4 THEN

//BUY 4 CONTRACT AT START+(GRIDSTEP*3) STOP

//ENDIF

////////////////////////////////////////////////////////////////////////////////////////

// SAFETY STOPS MATTA

////////////////////////////////////////////////////////////////////////////////////////

// Stops and targets

if countofposition=1 then

SELL AT START-GRIDSTEP STOP

ENDIF

if countofposition=2 then

SELL AT START STOP

ENDIF

if countofposition=4 then

SELL AT START+GRIDSTEP STOP

ENDIF

//if countofposition=8 then

//SELL AT START+(GRIDSTEP*2) STOP

//ENDIF

floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize

//actual trade gains

MAfloatingprofit = average[20](floatingprofit) //[ONMARKET]

BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*1.8//0.25

FPP= (BBfloatingprofit)/((pointvalue*countofposition/pipsize))+positionprice

if onmarket then

if FPP<CLOSE then

SELL AT FPP STOP

endif

ENDIF

//GRAPH FPP AS "floatingprofit stop FPP"

//GRAPH floatingprofit AS "floatingprofit"

//GRAPH CLOSE AS "Close"

Hope it helps..

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Nicolas

Philstrading

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06/08/2020 at 4:46 PM #135209

Philstrading

Well perhaps I’m flogging an old horse looking at the dates, and I’m not sure what I’m doing, but I get some lousy reults from these codes backtesting, the last one when on demo came back with a problem dividing 0 and shut down, the reults on many here I get are not so good, however when I check against trend they are greatly improved. So here is the code by gforton for a bullish 5 minutes dax. I got soso results from this, so added the trend check against various HTFs (running 24/7) and this one has a 25mins trend check on it, strangley enough raising th espread helped it a bit as well, but I reverted it to normal, and a check of trend on the 5 mins chart as well using 3 averages on the 5 mins chart. The backtesting results are greatly improved on my backtesting, to the point its possibly feasibl eto run it, don’t know if it will run on pro-order yet mind, the last one didnt, but putting in the trend check seems to improve all the ones (3 I think) I’ve tried here, and whilst I still would say this needs improving, its not too bad, I’ve tried it on a few items, but looking for it to run on dax.

So did anyone get this to run particularly well?

I think its got potential with a trend check and maybe some other comparative checks to rule out more of the losing trades, (so I wn’t be putting it up yet), which appear to be when the buy is at a high, so likely some code can rule it out.. well I have some in mind anyway, I can see its flogging an old horse, but I actually think its got potential with an small overhaul of further trend filters… :-

Here’s the modded ITF file if anyone interested.. I’ll probably look on weekend now, but def with some potential checking the trends bullish… MTF again, 5 mins and 25 mins trend, 20 mins checkoff as well not too bad, on Dax. France40 not too bad either… Revive the horse if it can do some work I say.. LOL

Philstrading

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