How to limited one stop order per day?

Viewing 15 posts - 1 through 15 (of 17 total)

Author

Posts

10/23/2019 at 2:56 PM #110938 quote

Participant

Master

Hi PRT Master

I copy the syntax from below Blog to control the trade (Stop order, Long & Short) per day, but I found it will out of order if the 1st trade close at the 1st bar, is there any solution to solve this issue?

https://www.prorealcode.com/blog/automated-breakout-trading-strategy-french-cac40/

Thanks.

10/23/2019 at 3:08 PM #110942 quote

Nicolas

Keymaster

Legend

So you want to know if a pending stop order has triggered during the day and even if it has triggered and closed during the same bar?

10/23/2019 at 11:19 PM #110996 quote

Participant

Master

Hi Nicolas

Yes and sorry for my poor description.

Thanks

10/24/2019 at 2:57 AM #111004 quote

solar

Participant

Senior

Hi BC I notice you are from HK as well.

Feel free to contact me at [deleted by moderator] for more discussion and sharing of ideas.

btw i leave the message here because i don’t see any inbox function on this forum, or have I missed it?

10/24/2019 at 7:56 AM #111019 quote

Nicolas

Keymaster

Legend

@solar Sorry but there is no private messaging in the forum and sharing personal link is not allowed.

@BC You can use the snippet below, it returns a boolean if we were at market on the previous bar, and even if an order has opened and closed during it.

if ( (not onmarket and onmarket[1] and not onmarket[2]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1] and tradeindex(1)>0) )  and lastcheck<>barindex then
 lastcheck = barindex
 wasonmarket=1
else
 wasonmarket=0
endif

10/24/2019 at 9:21 AM #111033 quote

solar

Participant

Senior

So How can I contact somebody without violating the forum rules?

10/24/2019 at 10:45 AM #111049 quote

Nicolas

Keymaster

Legend

If BC is ok, I can make it possible for you to contact him off-forum.

10/24/2019 at 12:06 PM #111053 quote

Participant

Master

Thanks Nicolas, will try your code tonight. Also I am OK let Solar contact me off forum.

Nice to meet you, Solar.

10/24/2019 at 2:36 PM #111076 quote

Participant

Master

Hi Nicolas

I tried but not work on below code, it seem [wasonmarket] will return=0 after a position close.

What I did wrong?

Thanks

Defparam Preloadbars = 5000
Defparam Cumulateorders = False

// no MM Position Size
Once noMMPositionSizeLong = 1
Once noMMPositionSizeShort = 1

// Target Profit and Stop Lost Setup
TProfitMultipeRate = 1.5      
SLostMultipeRate = 0.75     

// Function Switch
MaxStopLoss = 1

// Max Stop Loss
MaxStopLossPoint = 100   

// Trade only on below time
Once StartBetTime = 91500
Once LastBetTime = 160000
TradingTime = Time >= StartBetTime and Time <= LastBetTime

// Cloase all Position 
Once ClosePositionTime = 163000

// Capture Yesterday High Low
If DayofWeek = 1 then
Dayhigh = DHigh(2)
DayLow = DLow(2)
YesterdayRange = Dayhigh - DayLow
EndIf

If DayofWeek >=2 and DayofWeek < 6 then
Dayhigh = DHigh(1)
DayLow = DLow(1)
YesterdayRange = Dayhigh - DayLow
EndIf

// Trade Process
If TradingTime then

// Nicolas Code
if  ( (not onmarket and onmarket[1] and not onmarket[2]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1] and tradeindex(1)>0) )  and lastcheck<>barindex then
lastcheck = barindex
wasonmarket=1
else
wasonmarket=0
EndIf

// Long Entry
If wasonmarket = 0 then
Buy noMMPositionSizeLong Contract at Dayhigh Stop
EndIf

// Short entry
If  wasonmarket = 0 then
SellShort noMMPositionSizeShort Contract at DayLow Stop
Endif

EndIf

// Close all position
If Time = ClosePositionTime then
If LongonMarket then
Sell at Market
Endif
If ShortonMarket  then
ExitShort at Market
Endif
Endif

// Stop Loss and Target Profit
If MaxStopLoss then
Set Stop pLOSS Min(MaxStopLossPoint,(YesterdayRange*SLostMultipeRate))
Else
Set Stop pLOSS YesterdayRange*SLostMultipeRate
EndIf

Set Target pPROFIT YesterdayRange*TProfitMultipeRate

graph wasonmarket

2019-10-24-SC.png

10/24/2019 at 3:27 PM #111094 quote

Nicolas

Keymaster

Legend

You didn’t adapt it correctly to your own strategy, because you should only reset the variable one time each day:

delete lines 46 and 47 and put that at the beginning of the code:

if day<>day[1] or intradaybarindex=0 then 
 wasonmarket=0
endif

10/25/2019 at 12:33 AM #111133 quote

Participant

Master

Hi Nicolas

I tried to follow your instruction, but seem not work correctly.

Thanks

Defparam Preloadbars = 5000
Defparam Cumulateorders = False

// no MM Position Size
Once noMMPositionSizeLong = 1
Once noMMPositionSizeShort = 1

// Target Profit and Stop Lost Setup
TProfitMultipeRate = 1.5
SLostMultipeRate = 0.75

// Function Switch
MaxStopLoss = 1

// Max Stop Loss
MaxStopLossPoint = 100


// Trade only on below time
Once StartBetTime = 91500
Once LastBetTime = 160000
TradingTime = Time >= StartBetTime and Time <= LastBetTime

// Cloase all Position
Once ClosePositionTime = 163000

// Capture Yesterday High Low
If DayofWeek = 1 then
Dayhigh = DHigh(2)
DayLow = DLow(2)
YesterdayRange = Dayhigh - DayLow
EndIf

If DayofWeek >=2 and DayofWeek < 6 then
Dayhigh = DHigh(1)
DayLow = DLow(1)
YesterdayRange = Dayhigh - DayLow
EndIf

// Trade Process
if day<>day[1] or intradaybarindex=0 then
wasonmarket=0
endif

If TradingTime then

// Nicolas Code
if  ( (not onmarket and onmarket[1] and not onmarket[2]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1] and tradeindex(1)>0) )  and lastcheck<>barindex then
lastcheck = barindex
wasonmarket=1
EndIf

// Long Entry
If wasonmarket = 0 then
Buy noMMPositionSizeLong Contract at Dayhigh Stop
EndIf

// Short entry
If  wasonmarket = 0 then
SellShort noMMPositionSizeShort Contract at DayLow Stop
Endif

EndIf

// Close all position
If Time = ClosePositionTime then
If LongonMarket then
Sell at Market
Endif
If ShortonMarket  then
ExitShort at Market
Endif
Endif

// Stop Loss and Target Profit
If MaxStopLoss then
Set Stop pLOSS Min(MaxStopLossPoint,(YesterdayRange*SLostMultipeRate))
Else
Set Stop pLOSS YesterdayRange*SLostMultipeRate
EndIf

Set Target pPROFIT YesterdayRange*TProfitMultipeRate

graph wasonmarket

2019-10-25-SC-A.png

10/25/2019 at 8:50 AM #111154 quote

Nicolas

Keymaster

Legend

Because you included the condition into “tradingtime”, so the test cannot be made outside the time conditions. Anyway, I also made a small add to the condition to check another ‘wasonmarket’ situation that was not included.

Defparam Preloadbars = 5000
Defparam Cumulateorders = False

// no MM Position Size
Once noMMPositionSizeLong = 1
Once noMMPositionSizeShort = 1

// Target Profit and Stop Lost Setup
TProfitMultipeRate = 1.5
SLostMultipeRate = 0.75

// Function Switch
MaxStopLoss = 1

// Max Stop Loss
MaxStopLossPoint = 100


// Trade only on below time
Once StartBetTime = 91500
Once LastBetTime = 160000
TradingTime = Time >= StartBetTime and Time <= LastBetTime

// Cloase all Position
Once ClosePositionTime = 163000

// Capture Yesterday High Low
If DayofWeek = 1 then
Dayhigh = DHigh(2)
DayLow = DLow(2)
YesterdayRange = Dayhigh - DayLow
EndIf

If DayofWeek >=2 and DayofWeek < 6 then
Dayhigh = DHigh(1)
DayLow = DLow(1)
YesterdayRange = Dayhigh - DayLow
EndIf

// Trade Process
if day<>day[1] or intradaybarindex=0 then
wasonmarket=0
endif

// Nicolas Code
if  ( (not onmarket and onmarket[1] and not onmarket[2]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1] and tradeindex(1)>0) or (not onmarket and onmarket[1]))  and lastcheck<>barindex then
lastcheck = barindex
wasonmarket=1
EndIf

If TradingTime then

// Long Entry
If wasonmarket = 0 then
Buy noMMPositionSizeLong Contract at Dayhigh Stop
EndIf

// Short entry
If  wasonmarket = 0 then
SellShort noMMPositionSizeShort Contract at DayLow Stop
Endif

EndIf

// Close all position
If Time = ClosePositionTime then
If LongonMarket then
Sell at Market
Endif
If ShortonMarket  then
ExitShort at Market
Endif
Endif

// Stop Loss and Target Profit
If MaxStopLoss then
Set Stop pLOSS Min(MaxStopLossPoint,(YesterdayRange*SLostMultipeRate))
Else
Set Stop pLOSS YesterdayRange*SLostMultipeRate
EndIf

Set Target pPROFIT YesterdayRange*TProfitMultipeRate

graph wasonmarket

BC thanked this post

10/25/2019 at 1:59 PM #111216 quote

Participant

Master

Thanks Nicolas, but I found it still open another trade if 1st trade close on same bar.

2019-10-25-SC-B.png

10/25/2019 at 4:07 PM #111225 quote

Nicolas

Keymaster

Legend

Seems to work well on the first trade at the left of the screenshot. How was closed this one you mentioned because I do not see any square (stoploss) or cross (code exit) symbol on the chart?

10/26/2019 at 8:26 AM #111252 quote

Participant

Master

Most 1st trade on 1st bar can trigger [wasonmarket], but sometime not, very strange.

Author

Posts

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How to limited one stop order per day?

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BC @robin_chan Participant

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This topic contains 16 replies,
has 3 voices, and was last updated by BC
6 years, 10 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	10/23/2019
Status:	Active
Attachments:	3 files

How to limited one stop order per day?

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How to limited one stop order per day? ProOrder: Automated Strategies & Backtesting

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How to limited one stop order per day?

ProOrder: Automated Strategies & Backtesting