How to find trade date?

• 09/26/2022 at 10:58 PM #201465
  jiminykricket

  Hi all,

  I feel like this should be an easy one but seeing as I’m normally fairly adept on PRT I think I’m either massively overthinking it or its just impossible (ha!) So here goes;

  I have a trend following system that on any given day produces trade results heavily inline with previous trades of the same day (Z-score of -31!). Great when it’s profiting, awful when its losing. To combat this I want to stop the system trading for the rest of that trading day (only) after an arbitrary number of losing trades (we’ll use 3 but once I have the code I’ll clearly refine this).

  I’m assuming the ideal code would look something like this;

  If (TradeDate[Position[3]]=Today and PositionPerf[3]<0) and (TradeDate[Position[2]]=Today and PositionPerf[2]<0) and (TradeDate[Position[1]]=Today and PositionPerf[1]<0) Then EndIf

  1 2 3 4 5

  If (TradeDate[Position[3]]=Today and PositionPerf[3]<0) and (TradeDate[Position[2]]=Today and PositionPerf[2]<0) and (TradeDate[Position[1]]=Today and PositionPerf[1]<0) Then   EndIf

  The issue is of course, that neither a TradeDate function, or Position/Trade number function exists (unless I just can’t find it?). I can of course figure out how to stop it running based on the past three trades being losing trades, however the important part is these trades are only relevant if on the current trading day.

  Any ideas or workarounds?

  TIA!

  

  jiminykricket

  Participant

  Topics: 2

  Replies: 7

  Been thanked: 1 time
  09/26/2022 at 11:06 PM #201466
  jiminykricket

  OK.. so having just typed that out I’ve thought of a not-that-great workaround..

  Noting this is for US markets and 10min candles, so 39 candles per day, I guess I could do the following;

   

  IF (TradeIndex[3]<40 and PositionPerf[3]<0) and (TradeIndex[2]<40 and PositionPerf[2]<0) and (TradeIndex[1]<40 and PositionPerf[1]<0) Then EndIf

  1 2 3 4 5

  IF (TradeIndex[3]<40 and PositionPerf[3]<0) and (TradeIndex[2]<40 and PositionPerf[2]<0) and (TradeIndex[1]<40 and PositionPerf[1]<0) Then   EndIf

  Would that work? Can anyone think of any improvements?

  TIA!

  

  jiminykricket

  Participant

  Topics: 2

  Replies: 7

  Been thanked: 1 time
  09/27/2022 at 3:40 PM #201493
  robertogozzi

  This code will limit losses (defaults to 3):

  ONCE MaxLosingTrades = 3 ONCE Tally = 0 IF IntraDayBarIndex = 0 THEN Tally = 0 ENDIF IF StrategyProfit < StrategyProfit[1] THEN Tally = Tally + 1 ELSIF StrategyProfit > StrategyProfit[1] THEN Tally = 0 ENDIF MyLongConditions = close CROSSES OVER Average[20,0](close) IF MyLongConditions AND Not OnMarket AND (Tally < MaxLosingTrades) THEN BUY 1 Contract at Market SET STOP pLOSS 30 SET TARGET pPROFIT 200 ENDIF //graph Tally //graph (Tally = MaxLosingTrades) coloured(255,0,0,255)

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18

  ONCE MaxLosingTrades = 3 ONCE Tally           = 0 IF IntraDayBarIndex = 0 THEN    Tally = 0 ENDIF IF StrategyProfit < StrategyProfit[1] THEN    Tally = Tally + 1 ELSIF StrategyProfit > StrategyProfit[1] THEN    Tally = 0 ENDIF MyLongConditions = close CROSSES OVER Average[20,0](close) IF MyLongConditions AND Not OnMarket AND (Tally < MaxLosingTrades) THEN    BUY 1 Contract at Market    SET STOP   pLOSS   30    SET TARGET pPROFIT 200 ENDIF //graph Tally //graph (Tally = MaxLosingTrades) coloured(255,0,0,255)

  Comment out line 9 to not require consecutive losses.

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17891

  Been thanked: 4505 times
• Author
  Posts