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

• 05/25/2016 at 7:31 PM #8018
  cfta

  So another day of real time testing, as I mentioned in my post yeterday the BB exit is working great so far but the regular SL at 1 % does not seem to be working. The Nikkei trade I opened on Monday and wrote about was not closed at -2% neitherr was a GBPJPY trade which i took today setting the SL at -1 %, the floating loss reached about -2.3 % before I stopped the system manually. Please have a look guys to see what might be the problem…

  
  @Brage & Simon, sure thing guys there is so much code around it is starting to get tricky to keep track of all of them. These are the ones I have been testing live this week note that I change the parameters depending on which system I run it on;

  Long;

  //------------------------------------------------------------------------- // Main code : LONG GRID BB Exit //------------------------------------------------------------------------- defparam preloadbars = 100 once RRreached = 0 //parameters accountbalance = 10000 //account balance in money at strategy start riskpercent = 2 //whole account risk in percent% gridstep = 10 //grid step in point amount = 1 //lot amount to open each trade rr = 2 //risk reward ratio (set to 0 disable this function) //first trade whatever condition if NOT ONMARKET AND close>close[1] AND STRATEGYPROFIT=0 then BUY amount LOT AT MARKET endif // case BUY - add orders on the same trend if longonmarket and close-tradeprice(1)>=gridstep*pipsize then BUY amount LOT AT MARKET endif //money management liveaccountbalance = accountbalance+strategyprofit moneyrisk = (liveaccountbalance*(riskpercent/100)) if onmarket then onepointvaluebasket = pointvalue*countofposition mindistancetoclose =(moneyrisk/onepointvaluebasket)*pipsize endif //floating profit floatingprofit = ((close-positionprice)*pointvalue)*countofposition MAfloatingprofit = average[20](floatingprofit) BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2 //floating profit risk reward check if rr>0 and floatingprofit>moneyrisk*rr then RRreached=1 endif //stoploss trigger when risk reward ratio is not met already if onmarket and RRreached=0 then SELL AT positionprice-mindistancetoclose STOP endif //stoploss trigger when risk reward ratio has been reached if onmarket and RRreached=1 then if floatingprofit crosses under BBfloatingprofit then SELL AT MARKET endif endif //resetting the risk reward reached variable if not onmarket then RRreached = 0 endif

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  //------------------------------------------------------------------------- // Main code : LONG GRID BB Exit //------------------------------------------------------------------------- defparam preloadbars = 100 once RRreached = 0   //parameters accountbalance = 10000 //account balance in money at strategy start riskpercent = 2 //whole account risk in percent% gridstep = 10 //grid step in point amount = 1 //lot amount to open each trade rr = 2 //risk reward ratio (set to 0 disable this function)   //first trade whatever condition if NOT ONMARKET AND close>close[1] AND STRATEGYPROFIT=0 then BUY amount LOT AT MARKET endif   // case BUY - add orders on the same trend if longonmarket and close-tradeprice(1)>=gridstep*pipsize then BUY amount LOT AT MARKET endif   //money management liveaccountbalance = accountbalance+strategyprofit moneyrisk = (liveaccountbalance*(riskpercent/100)) if onmarket then onepointvaluebasket = pointvalue*countofposition mindistancetoclose =(moneyrisk/onepointvaluebasket)*pipsize endif //floating profit floatingprofit = ((close-positionprice)*pointvalue)*countofposition MAfloatingprofit = average[20](floatingprofit) BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2   //floating profit risk reward check if rr>0 and floatingprofit>moneyrisk*rr then RRreached=1 endif   //stoploss trigger when risk reward ratio is not met already if onmarket and RRreached=0 then SELL AT positionprice-mindistancetoclose STOP endif   //stoploss trigger when risk reward ratio has been reached if onmarket and RRreached=1 then if floatingprofit crosses under BBfloatingprofit then SELL AT MARKET endif endif   //resetting the risk reward reached variable if not onmarket then RRreached = 0 endif

  Short;

  //------------------------------------------------------------------------- // Main code : Grid Short BB Exit //------------------------------------------------------------------------- defparam preloadbars = 100 once RRreached = 0 //parameters accountbalance = 10000 //account balance in money at strategy start riskpercent = 2 //whole account risk in percent% gridstep = 10 //grid step in point amount = 1 //lot amount to open each trade rr = 2 //risk reward ratio (set to 0 disable this function) //first trade whatever condition if NOT ONMARKET AND close<close[1] AND STRATEGYPROFIT=0 then SELLSHORT amount LOT AT MARKET endif // case SELL - add orders on the same trend if shortonmarket and tradeprice(1)-close>=gridstep*pipsize then SELLSHORT amount LOT AT MARKET endif //money management liveaccountbalance = accountbalance+strategyprofit moneyrisk = (liveaccountbalance*(riskpercent/100)) if onmarket then onepointvaluebasket = pointvalue*countofposition mindistancetoclose =(moneyrisk/onepointvaluebasket)*pipsize endif //floating profit floatingprofit = ((close-positionprice)*pointvalue)*countofposition MAfloatingprofit = average[20](floatingprofit) BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2 //floating profit risk reward check if rr>0 and floatingprofit>moneyrisk*rr then RRreached=1 endif //stoploss trigger when risk reward ratio is not met already if onmarket and RRreached=0 then EXITSHORT AT positionprice-mindistancetoclose STOP endif //stoploss trigger when risj reward ratio has been reached if onmarket and RRreached=1 then if floatingprofit crosses under BBfloatingprofit then EXITSHORT AT MARKET endif endif //resetting the risk reward reached variable if not onmarket then RRreached = 0 endif

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  //------------------------------------------------------------------------- // Main code : Grid Short BB Exit //------------------------------------------------------------------------- defparam preloadbars = 100 once RRreached = 0   //parameters accountbalance = 10000 //account balance in money at strategy start riskpercent = 2 //whole account risk in percent% gridstep = 10 //grid step in point amount = 1 //lot amount to open each trade rr = 2 //risk reward ratio (set to 0 disable this function)   //first trade whatever condition if NOT ONMARKET AND close<close[1] AND STRATEGYPROFIT=0 then SELLSHORT amount LOT AT MARKET endif   // case SELL - add orders on the same trend if shortonmarket and tradeprice(1)-close>=gridstep*pipsize then SELLSHORT amount LOT AT MARKET endif   //money management liveaccountbalance = accountbalance+strategyprofit moneyrisk = (liveaccountbalance*(riskpercent/100)) if onmarket then onepointvaluebasket = pointvalue*countofposition mindistancetoclose =(moneyrisk/onepointvaluebasket)*pipsize endif //floating profit floatingprofit = ((close-positionprice)*pointvalue)*countofposition MAfloatingprofit = average[20](floatingprofit) BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2   //floating profit risk reward check if rr>0 and floatingprofit>moneyrisk*rr then RRreached=1 endif   //stoploss trigger when risk reward ratio is not met already if onmarket and RRreached=0 then EXITSHORT AT positionprice-mindistancetoclose STOP endif   //stoploss trigger when risj reward ratio has been reached if onmarket and RRreached=1 then if floatingprofit crosses under BBfloatingprofit then EXITSHORT AT MARKET endif endif   //resetting the risk reward reached variable if not onmarket then RRreached = 0 endif

   

   

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  Brage

  

  cfta

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  05/25/2016 at 7:43 PM #8022
  Nicolas

  Because you didn’t change the line 32 to:

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

  1	floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize //actual trade gains

  That’s the reason why your loss is not well calculated.

   

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  cfta

  

  Nicolas

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  05/25/2016 at 8:04 PM #8026
  davidp13

  @cfta and Nicolas – quick question pls. When I run the code as is it only produces one trade, but when i remove STRATEGYPROFIT=0 from the first trade condition it works? Thanks

   

  

  davidp13

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  05/25/2016 at 8:37 PM #8028
  cfta

  @davidp13

  Does it only take one set of trades or only one single order? It’s only supposed to run one cycle after being started and not take any new trades until started manually again, in addition keep in mind to run it on low timeframes otherwise it will for conditions to be met and for the candle to close.

  

  cfta

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  05/25/2016 at 9:36 PM #8036
  Nicolas

  @davidp13

  Yes if you remove this STRATEGYPROFIT=0 condition, it will start over again after each cycle.

  

  Nicolas

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  05/25/2016 at 10:09 PM #8045
  gforton

  Hi,

  I am following your work as it progresses and it is positively AWESOME!  But I have to agree with Davidp13: if you run the code like this, it only produces 1 (one) trade, not one cycle.

  Therefore, if your remove the expression STRATEGYPROFIT=0, it keeps going on. However, as ctfa has pointed out, the idea is that this code finishes a whole cycle of trades, not just one trade. After the cycle, it has to be started manually again. If you remove the STRATEGYPROFIT=0 expression, it keeps going on and that is not the idea either. So, I respectfully conclude that something isn’t perfect with the AND STRATEGYPROFIT=0 condition.

  I hope this helps somewhat.

  Kind regards

   

  

  gforton

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  05/26/2016 at 7:30 AM #8054
  cfta

  Good morning traders, I still have issues with JPY pairs in real time testing since the SL kick in way too early, do anyone have an idea what might be the issue?

  //------------------------------------------------------------------------- // Main code : LONG GRID BB Exit //------------------------------------------------------------------------- defparam preloadbars = 100 once RRreached = 0 //parameters accountbalance = 10000 //account balance in money at strategy start riskpercent = 1 //whole account risk in percent% gridstep = 15 //grid step in point amount = 1 //lot amount to open each trade rr = 3 //risk reward ratio (set to 0 disable this function) //first trade whatever condition if NOT ONMARKET AND close>close[1] AND STRATEGYPROFIT=0 then BUY amount LOT AT MARKET endif // case BUY - add orders on the same trend if longonmarket and close-tradeprice(1)>=gridstep*pipsize then BUY amount LOT AT MARKET endif //money management liveaccountbalance = accountbalance+strategyprofit moneyrisk = (liveaccountbalance*(riskpercent/100)) if onmarket then onepointvaluebasket = pointvalue*countofposition mindistancetoclose =(moneyrisk/onepointvaluebasket)*pipsize endif //floating profit floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize //actual trade gains MAfloatingprofit = average[20](floatingprofit) BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2 //floating profit risk reward check if rr>0 and floatingprofit>moneyrisk*rr then RRreached=1 endif //stoploss trigger when risk reward ratio is not met already if onmarket and RRreached=0 then SELL AT positionprice-mindistancetoclose STOP endif //stoploss trigger when risk reward ratio has been reached if onmarket and RRreached=1 then if floatingprofit crosses under BBfloatingprofit then SELL AT MARKET endif endif //resetting the risk reward reached variable if not onmarket then RRreached = 0 endif

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  //------------------------------------------------------------------------- // Main code : LONG GRID BB Exit //------------------------------------------------------------------------- defparam preloadbars = 100 once RRreached = 0   //parameters accountbalance = 10000 //account balance in money at strategy start riskpercent = 1 //whole account risk in percent% gridstep = 15 //grid step in point amount = 1 //lot amount to open each trade rr = 3 //risk reward ratio (set to 0 disable this function)   //first trade whatever condition if NOT ONMARKET AND close>close[1] AND STRATEGYPROFIT=0 then BUY amount LOT AT MARKET endif   // case BUY - add orders on the same trend if longonmarket and close-tradeprice(1)>=gridstep*pipsize then BUY amount LOT AT MARKET endif   //money management liveaccountbalance = accountbalance+strategyprofit moneyrisk = (liveaccountbalance*(riskpercent/100)) if onmarket then onepointvaluebasket = pointvalue*countofposition mindistancetoclose =(moneyrisk/onepointvaluebasket)*pipsize endif //floating profit floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize //actual trade gains MAfloatingprofit = average[20](floatingprofit) BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2   //floating profit risk reward check if rr>0 and floatingprofit>moneyrisk*rr then RRreached=1 endif   //stoploss trigger when risk reward ratio is not met already if onmarket and RRreached=0 then SELL AT positionprice-mindistancetoclose STOP endif   //stoploss trigger when risk reward ratio has been reached if onmarket and RRreached=1 then if floatingprofit crosses under BBfloatingprofit then SELL AT MARKET endif endif   //resetting the risk reward reached variable if not onmarket then RRreached = 0 endif

   

  

  cfta

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  05/26/2016 at 8:23 AM #8063
  deleted190722

  Hi guys please read all the topic and not only last page. We have explained why it takes only one sets of entry the code posted by nicolas!

  I have shared a version that doesn’t stop working after the first entry.

  

  deleted190722

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  05/26/2016 at 8:35 AM #8068
  Nicolas

  That’s a very long topic now, maybe if someone plan to make a fork with this code with other concept and strategy, he’s welcome to open a new topic. This forum belong to the community. Me and other coders here can help everyone to make things better, but since I have only one brain 🙂 , please make things happen by yourself, I’ll be not too far.

  

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  05/26/2016 at 12:46 PM #8123
  Nicolas

  @cfta

  Because the floating profit is calculated in Yen… And it’s the case in any other forex pairs (pipvalue = 1$, 1CHF, 1PLN), pip value is returned in the current currency of the pair and since Japanese pairs have only 3 digits, the pipvalue = 100 Yen.. So all money management has to be reviewed for this case.. I just came across the same error elsewhere.. Need to think for the better way to fix this issue, sorry for that.

   

   

  

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  05/26/2016 at 5:20 PM #8168
  cfta

  @Nicolas

  I updated the code yesterday as you adviced but I still have problems to make the SL work, today I tried it on GBPAUD set to kick in at -1 % but it didn’t trigger. I have been paying attention to update the corrections and changes of the code, I may have missed something but I can’t figure out what. This is the section that I changed;

  //floating profit floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize //actual trade gains MAfloatingprofit = average[20](floatingprofit) BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2 //floating profit risk reward check if rr>0 and floatingprofit>moneyrisk*rr then RRreached=1 endif

  1 2 3 4 5 6 7 8 9

  //floating profit floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize //actual trade gains MAfloatingprofit = average[20](floatingprofit) BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2   //floating profit risk reward check if rr>0 and floatingprofit>moneyrisk*rr then RRreached=1 endif

  Regarding the floating profit issue calculation with the Yen I would not mind having several sets of systems adapted for different assets if it is easier to fix than one system which works for all, such as one for indices, another for FX pairs with one digit and five decimals, a third one for Yen pairs and other crosses with more than one digit and so on.

  Is anyone else testing in real market conditions and having the same problem?

  Today I will start testing david-1984’s code too 🙂

  

  cfta

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  05/26/2016 at 7:03 PM #8173
  Nicolas

  Did the profit reached the risk reward ratio?

  

  Nicolas

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  05/26/2016 at 7:11 PM #8176
  cfta

  No the profit did not reach the risk reward ratio, whenever it has reached the ratio the BB exit seem to work perfectly, it is when one or a few entry orders are triggered and price then turns around going the wrong way.

  The first type of SL fixed at X % worked great for the first code you wrote with 1 % SL of account balance before we implemented the BB exit, could it be possible to integrate parts of that code into the current BB exit code?

  

  cfta

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  05/26/2016 at 7:31 PM #8177
  Nicolas

  I understand, but did some tests again today and everything’s fine in Probacktest so far… Does the same problem occurs in Probacktest on your side please?

  

  Nicolas

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  05/26/2016 at 7:44 PM #8181
  cfta

  I just checked and entered the same time and parameters as the GBPAUD trades from earlier today but in Probacktest the SL worked perfectly. I ran it on both 1 minute and 1 second, only differnce was that one more trade was entered on 1 seconed and the SL kicked in accordingly at about 33 pips below the average price of the three positions.

  My Nikkei trade from Tuesday which did not stop out yesterday in real time worked fine in test now.

  

  cfta

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