Help with limiting strategy to one trade per day

• 07/17/2020 at 3:17 AM #139465
  mizatt

  Morning,

  I’m very new to PRT coding (though not the markets in general) and have been trying to work on a 15-minute trend reversal strategy for the US 500.

  I’ve pulled several examples of very useful code (mostly from Nicolas) but tonight I’ve become stuck trying to limit the system to just taking one trade per day.  I’ve found multiple examples of how to fix the problem in the forums but when I try to institute each and every one of these (which are all similar), the strategy still occasionally takes 2 trades per day when I backtest (via IG) over the past 6 months and I can’t work out what I’m doing wrong.

  Any help would be much appreciated.

  Here is the code I’ve cobbled together so far (in the attachments).

  Mark

  * Accidentally uploaded the first pic twice – apologies as it didn’t seem to work initially

  

  mizatt

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  07/17/2020 at 7:26 AM #139473
  robertogozzi

  There you go:

  Once TradeON = 1 If IntraDayBarIndex = 0 then TradeON = 1 Endif If OnMarket or StrategyProfit <> StrategyProfit[1] Then TradeON = 0 Endif If MyConditions and TradeON and Not OnMarket Then BUY/SELLSHORT....... Endif

  1 2 3 4 5 6 7 8 9 10

  Once TradeON = 1 If IntraDayBarIndex = 0 then    TradeON = 1 Endif If OnMarket or StrategyProfit <> StrategyProfit[1] Then    TradeON = 0 Endif If MyConditions and TradeON and Not OnMarket Then    BUY/SELLSHORT....... Endif

  use TradeON as an additional condition to enter a trade.

   

   

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  mizatt

  

  robertogozzi

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  07/17/2020 at 9:11 AM #139483
  mizatt

  Many thanks for your swift reply Roberto!

  I’ll give that a whirl later this morning.

  Greatly appreciated.

  Mark

  

  mizatt

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  07/17/2020 at 9:21 AM #139484
  mizatt

  @robertogozzi

  Hi Roberto,

  I’ve just integrated that nice piece of code you sent me this am but frustratingly the order list indicates the strategy is still occasionally taking 2 trades in the same day (12 June, 1st July and 8th July).  See attached pics with updated code.

  Any idea how to get around this?

  Mark

  

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  07/17/2020 at 11:03 AM #139493
  robertogozzi

  Please paste the code using the “Insert PRT code” button, not pics of it, otherwise I cannot use it.

  Thank you 🙂

   

  

  robertogozzi

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  07/17/2020 at 11:06 AM #139496
  robertogozzi

  Moreover, use “@” only when there are so many users posting and you absolutely need to reference one of them. In this case it’s just the two of us. Because everytime you put that sign in front of a username, that user will receive an email.

  Thank you 🙂

   

  

  robertogozzi

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  07/17/2020 at 5:04 PM #139516
  mizatt

  Hi Roberto,

  Thanks for letting me know how things work and apologies for using ‘@’ .  I hadn’t even realised there was an ‘insert PRT code’ button!

  As requested, please find the code attached.

  Any ideas how to ensure the strategy only takes 1 trade/day?

  Many thanks

  Mark

  Reversal strategy for US 500

  //US 500 //15-min TF DEFPARAM CumulateOrders=false //UK(London) time DefParam FlatBefore = 100000 DefParam FlatAfter = 230000 IF Time >= 100000 AND Time <= 170000 OR Time >= 180000 AND Time <= 203000 THEN Tradetime = 1 else Tradetime = 0 endif Once TradeON = 1 If IntraDayBarIndex = 0 then TradeON = 1 Endif If OnMarket or StrategyProfit <> StrategyProfit[1] Then TradeON = 0 Endif PositionSize = 50 CorrectVol = high-low[1]>5 AND high-low[2]>5 and high-low[3]>5 //volatility of preceding 3 candles is sufficient for trade to occur sto = stochastic[8,3] c1 = close[1]<open[1] and close>open c2 = close>open[1] AND close >= (high-low)*0.60 + low c3 = lowest[3](low)<lowest[50](low)[1] or lowest[3](low)<lowest[50](low)[2] or lowest[3](low)<lowest[50](low)[3] c4 = summation[3](sto<20)>0 c5 = close[1]>open[1] and close<open c6 = close<open[1] AND close <= (high-low)*0.40 + low c7 = highest[3](high)>highest[50](high)[1] or highest[3](high)>highest[50](high)[2] or highest[3](high)>highest[50](high)[3] c8 = summation[3](sto>80)>0 buyCondition = c1 and c2 and c3 and c4 sellCondition = c5 and c6 and c7 and c8 // BUY order IF NOT OnMarket AND CorrectVol AND buyCondition AND Tradetime and TradeON THEN BUY PositionSize CONTRACTS AT MARKET SET STOP LOSS abs(close - (lowest[3](low) - 1 * pipsize)) set target $profit 600 ENDIF // SELL order IF NOT OnMarket AND CorrectVol AND sellCondition AND Tradetime and TradeON then SELLSHORT PositionSize CONTRACTS AT MARKET SET STOP LOSS abs(close - (highest[3](high) + 1 * pipsize)) set target $profit 600 ENDIF If LongonMarket and (high-low[1]) <3 AND (high-low[2]) < 3 THEN //if volatility very low intra-day then exit positions sell positionSize contracts at market Endif If ShortOnMarket AND (high-low[1]) <3 AND (high-low[2]) < 3 THEN buy positionSize contracts at market 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 60 61 62 63

  //US 500 //15-min TF   DEFPARAM CumulateOrders=false //UK(London) time DefParam FlatBefore = 100000 DefParam FlatAfter = 230000   IF Time >= 100000 AND Time <= 170000 OR Time >= 180000 AND Time <= 203000 THEN Tradetime = 1 else Tradetime = 0 endif   Once TradeON = 1 If IntraDayBarIndex = 0 then TradeON = 1 Endif If OnMarket or StrategyProfit <> StrategyProfit[1] Then TradeON = 0 Endif   PositionSize = 50   CorrectVol = high-low[1]>5 AND high-low[2]>5 and high-low[3]>5  //volatility of preceding 3 candles is sufficient for trade to occur   sto = stochastic[8,3]   c1 = close[1]<open[1] and close>open c2 = close>open[1] AND close >= (high-low)*0.60 + low c3 = lowest[3](low)<lowest[50](low)[1] or lowest[3](low)<lowest[50](low)[2] or lowest[3](low)<lowest[50](low)[3] c4 = summation[3](sto<20)>0 c5 = close[1]>open[1] and close<open c6 = close<open[1] AND close <= (high-low)*0.40 + low c7 = highest[3](high)>highest[50](high)[1] or highest[3](high)>highest[50](high)[2] or highest[3](high)>highest[50](high)[3] c8 = summation[3](sto>80)>0   buyCondition = c1 and c2 and c3 and c4 sellCondition = c5 and c6 and c7 and c8   // BUY order IF NOT OnMarket AND CorrectVol AND buyCondition AND Tradetime and TradeON THEN BUY PositionSize CONTRACTS AT MARKET SET STOP LOSS abs(close - (lowest[3](low) - 1 * pipsize)) set target $profit 600   ENDIF   // SELL order IF NOT OnMarket AND CorrectVol AND sellCondition AND Tradetime and TradeON then SELLSHORT PositionSize CONTRACTS AT MARKET SET STOP LOSS abs(close - (highest[3](high) + 1 * pipsize)) set target $profit 600   ENDIF If LongonMarket and (high-low[1]) <3 AND (high-low[2]) < 3 THEN   //if volatility very low intra-day then exit positions sell positionSize contracts at market Endif   If ShortOnMarket AND (high-low[1]) <3 AND (high-low[2]) < 3 THEN   buy positionSize contracts at market Endif

  

  mizatt

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  07/17/2020 at 6:19 PM #139518
  robertogozzi

  It’s because at line 62 you are using BUY to exit a Short trade. No, you’ll have to replace it with EXITSHORT.

  To recap:

  • BUY opens a Long trade
  • SELL exits a Long trade
  • SELLSHORT opens a Short trade
  • EXITSHORT exits a Short trade

  using BUY at line 62 implies a Stop & Reverse, since the Short trade is first closed and new Long one is subsequently opened.

   

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  mizatt

  

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  07/17/2020 at 6:26 PM #139519
  mizatt

  Ahhh silly me.  I knew it had to be be something fundamental I was doing wrong.

  Have now corrected this and it works perfectly.

  Hugely appreciate your help with this Roberto!

  Many thanks again

  Mark

  

  mizatt

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  09/08/2020 at 11:38 AM #143596
  frenqle

  is there a different way to limit to ONE trade a day then: IntraDayBarIndex

  When my position ends before the first bar, it does not work. if my position closes at 0 bars.. it takes a new position.

  

  frenqle

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  09/09/2020 at 10:36 AM #143705
  Finning

  Have a look how this code is used

  OTD = Barindex - TradeIndex(1) > IntradayBarIndex // limits the (opening) trades till 1 per day (OTD One Trade per Day)

  1	OTD = Barindex - TradeIndex(1) > IntradayBarIndex  // limits the (opening) trades till  1 per day (OTD One Trade per Day)

  if time >= StartE And time <= StartL and OTD then //and not onmarket then IF conditionsmet then buy N shares AT MARKET endif

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  if time >= StartE And time <= StartL and OTD  then //and not onmarket then IF conditionsmet then buy N shares AT MARKET endif

  Taken from this strategy here:

  https://www.prorealcode.com/prorealtime-trading-strategies/optimization-ma-cross-machine-learning/

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