Help with setting limit order to be previous days closing candle

• 06/03/2020 at 10:00 AM #134348
  AleksLi

  Hello ProRealCode community!

  I’m still a bit new to coding and I need a bit of help with something. I have a mean reversion script here that essentially sells/buys the open if we’ve deviated a bit too much from the previous days 9pm candle open.

  Going through the backtest results I’ve noticed that my target limit order was set at the wrong price level- instead of the target being yesterdays 9pm opening candle, it was todays 7am opening candle.

  What I think might’ve happened is the “open” variables got a bit mixed up – I just don’t know how to fix this.

  Any help you can give me with my code will be greatly appreciated. I’ve attached a screenshot with a little example of what went wrong.

  defparam cumulateorders=false // --- amount = 3 //amount of lots/shares/contratcs for each order stoploss = 30 //stoploss in points previousDayTime = 210000 //open of the previous session's UK 21:00 candle currentDayTime = 070000 //open of the UK 07:00 candle // --- if time=previousDayTime then prev = open endif tcondition = time=currentDayTime c1 = prev-open if c1 > 0 then c2=c1*1 endif if c1 < 0 then c2=c1*-1 endif if tcondition and not onmarket and open<prev and c2=>stoploss then buy amount contract at market set target pprofit prev set stop ploss stoploss endif if tcondition and not onmarket and open>prev and c2=>stoploss then sellshort amount contract at market set target pprofit prev set stop ploss stoploss endif if LongOnMarket And time>210000 then sell at market endif if ShortonMarket And time>210000 then buy at market endif

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  defparam cumulateorders=false   // --- amount = 3 //amount of lots/shares/contratcs for each order stoploss = 30 //stoploss in points previousDayTime = 210000 //open of the previous session's UK 21:00 candle currentDayTime = 070000 //open of the UK 07:00 candle // ---   if time=previousDayTime then prev = open endif   tcondition = time=currentDayTime   c1 = prev-open   if c1 > 0 then c2=c1*1 endif   if c1 < 0 then c2=c1*-1 endif   if tcondition and not onmarket and open<prev and c2=>stoploss then buy amount contract at market set target pprofit prev set stop ploss stoploss endif   if tcondition and not onmarket and open>prev and c2=>stoploss then sellshort amount contract at market set target pprofit prev set stop ploss stoploss endif   if LongOnMarket And time>210000 then sell at market endif   if ShortonMarket And time>210000 then buy at market endif

  Thanks,

  Aleks

  

  AleksLi

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  06/03/2020 at 10:46 AM #134362
  robertogozzi

  Between lines 10 and 11 insert a new one (wich will become the new line 11):

  PreviousPrev = Prev

  1	PreviousPrev = Prev

  whenevr you need to use today’s PREV, use PREV, whenever you need to use yesterday’s PREV use PREVIOUSPREV, instead.

   

  

  robertogozzi

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  06/03/2020 at 12:45 PM #134386
  AleksLi

  Hi Roberto,

  Thanks for taking the time to look into this issue. However, the issue persists. Here’s my code:

  defparam cumulateorders=false // --- amount = 3 //amount of lots/shares/contratcs for each order stoploss = 30 //stoploss in points previousDayTime = 210000 //open of the previous session's UK 21:00 candle currentDayTime = 070000 //open of the UK 07:00 candle // --- if time=previousDayTime then PreviousPrev = Prev Prev = open endif tcondition = time=currentDayTime c1 = PreviousPrev-open if c1 > 0 then c2=c1*1 endif if c1 < 0 then c2=c1*-1 endif if tcondition and not onmarket and PreviousPrev<Prev and c2=>stoploss then buy amount contract at market set target pprofit PreviousPrev set stop ploss stoploss endif if tcondition and not onmarket and PreviousPrev>Prev and c2=>stoploss then sellshort amount contract at market set target pprofit PreviousPrev set stop ploss stoploss endif if LongOnMarket And time>210000 then sell at market endif if ShortonMarket And time>210000 then buy at market endif

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  defparam cumulateorders=false   // --- amount = 3 //amount of lots/shares/contratcs for each order stoploss = 30 //stoploss in points previousDayTime = 210000 //open of the previous session's UK 21:00 candle currentDayTime = 070000 //open of the UK 07:00 candle // ---   if time=previousDayTime then PreviousPrev = Prev Prev = open endif   tcondition = time=currentDayTime   c1 = PreviousPrev-open   if c1 > 0 then c2=c1*1 endif   if c1 < 0 then c2=c1*-1 endif   if tcondition and not onmarket and PreviousPrev<Prev and c2=>stoploss then buy amount contract at market set target pprofit PreviousPrev set stop ploss stoploss endif   if tcondition and not onmarket and PreviousPrev>Prev and c2=>stoploss then sellshort amount contract at market set target pprofit PreviousPrev set stop ploss stoploss endif   if LongOnMarket And time>210000 then sell at market endif   if ShortonMarket And time>210000 then buy at market endif

  Could you advise if I implemented the right changes?

  Thanks,

  Aleks

  

  AleksLi

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  06/03/2020 at 11:22 PM #134493
  robertogozzi

  Since at line 10 you are using TIME, open will return the OPENing price  od the candle that closes at 210000. If you need the opening price of the candle starting at 210000 then you’ll have to use OPENTIME, instead.

  In line 5 you should use

  30 * pipsize

  1	30 * pipsize

  (despite Dax makes no difference), but it’s good programming practice when you need to convert pips into price.

  Lines 29 and 35 should read:

  set target profit abs(PreviousPrev - close) //difference in price to use PROFIT

  1	set target profit abs(PreviousPrev - close)                //difference in price to use PROFIT

  or

  set target pprofit abs(PreviousPrev - close) / pipsize //difference in pips to use pPROFIT

  1	set target pprofit abs(PreviousPrev - close) / pipsize     //difference in pips  to use pPROFIT

   

   

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  robertogozzi

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