How to prevent recently closed trade from reopening

• 02/20/2020 at 4:31 PM #120088
  nonetheless

  I’m finding that with trailing stops a trade will often close at a profit only to reopen a few candles later if entry conditions persist, even if it’s near the top of the run and not actually a sensible place to buy. Is there an easy way to prevent this? such as, only opening at a price better than wherever last trade closed?

  

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  02/20/2020 at 4:53 PM #120089
  robertogozzi

  You can use this example https://www.prorealcode.com/reply/95908/

   

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  02/20/2020 at 5:35 PM #120091
  nonetheless

  Ciao Roberto, thanks for that – could definitely work. Is there no way to do it base on price rather than time (bars) ?

  

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  02/20/2020 at 5:47 PM #120092
  Vonasi

  nonetheless wrote:

  Is there no way to do it base on price rather than time (bars) ?

  The problem with doing it on price is that if you say I will only enter again at a lower price and then the market just goes up from there then your strategy will never open a trade ever again. I guess you could have this rule and then maybe reset things once or twice a day or week to get the strategy trading again.

  

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  02/20/2020 at 5:56 PM #120093
  Vonasi

  Something like this perhaps:

  defparam cumulateorders = false once tradeon = 1 if (your conditions) and tradeon then buy 1 contract at market tradeon = 0 endif if strategyprofit <> strategyprofit[1] then lasttime = opentime endif if not tradeon and (your conditions) and close < tradeprice then buy 1 contract at market endif if intradaybarindex = 0 or time = lasttime + 120000 then //resets 12 hours after last trade is closed or at start of the day. tradeon = 1 endif

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  defparam cumulateorders = false   once tradeon = 1   if (your conditions) and tradeon then buy 1 contract at market tradeon = 0 endif   if strategyprofit <> strategyprofit[1] then lasttime = opentime endif   if not tradeon and (your conditions) and close < tradeprice then buy 1 contract at market endif   if intradaybarindex = 0 or time = lasttime + 120000 then //resets 12 hours after last trade is closed or at start of the day. tradeon = 1 endif

   

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  02/20/2020 at 6:08 PM #120095
  nonetheless

  Yeah, that looks good too. I’ll play around with both solutions and see which works best. Thanks to you both!

  

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  02/21/2020 at 2:22 PM #120158
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  @Vonasi unfortunately this results in no trades at all, unless I added it wrong? I tried altering the reset time, but no difference.

  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 5000 //Money Management MM = 0 if MM = 0 then //MM = 0 for optimization positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = 1 ONCE factor = 10 // factor of 15 means margin increases/decreases @ 6.6% of strategy profit; 10 = 10% 20 = 5% etc — optimize for best result, profit vs drawdown ONCE margin = 40 // enter margin value of 1 contract ONCE maxpositionsize = 200 // NAS €1 IG first tier margin limit ONCE minpositionsize = .5 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize// keeps positionsize from going below allowed minimum ENDIF IF startpositionsize + Strategyprofit/(factor*margin) > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG first tier margin limit ENDIF ENDIF ENDIF TIMEFRAME(120 minutes) Period= p inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULL = weightedaverage[round(sqrt(Period))](inner) c1 = HULL > HULL[1] //c2 = HULL < HULL[1] indicator1 = SuperTrend[m,n] c3 = (close > indicator1) //c4 = (close < indicator1) TIMEFRAME(30 minutes) indicator4 = Average[2](typicalPrice) indicator5 = Average[8](typicalPrice) c11 = (indicator4 > indicator5) //c12 = (indicator4 < indicator5) TIMEFRAME(15 minutes) indicator2 = Average[7](typicalPrice) indicator3 = Average[10](typicalPrice) c7 = (indicator2 > indicator3) //c8 = (indicator2 < indicator3) Perioda= p1 innera = 2*weightedaverage[round( Perioda/2)](typicalprice)-weightedaverage[Perioda](typicalprice) HULLa = weightedaverage[round(sqrt(Perioda))](innera) c9 = HULLa > HULLa[1] //c10 = HULLa < HULLa[1] TIMEFRAME(5 minutes) once tradeon = 1 Periodb= p2 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c5 = HULLb > HULLb[1]and HULLb[1]<HULLb[2] //c6 = HULLb < HULLb[1]and HULLb[1]>HULLb[2] // Conditions to enter long positions IF c1 AND C3 AND C5 and c7 and c9 and c11 and tradeon THEN BUY PositionSize CONTRACT AT MARKET tradeon = 0 ENDIF if strategyprofit <> strategyprofit[1] then lasttime = opentime IF not tradeon and c1 AND C3 AND C5 and c7 and c9 and c11 and close < tradeprice THEN BUY PositionSize CONTRACT AT MARKET ENDIF if intradaybarindex = 0 or time = lasttime + 120000 then //resets 12 hours after last trade is closed or at start of the day. tradeon = 1 endif ENDIF SET STOP %LOSS stl SET TARGET %PROFIT .7 //trailing stop function trailingstart = tst //trailing will start @trailinstart points profit trailingstep = st //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 5000 //Money Management MM = 0 if MM = 0 then //MM = 0 for optimization positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = 1 ONCE factor = 10 // factor of 15 means margin increases/decreases @ 6.6% of strategy profit; 10 = 10% 20 = 5% etc — optimize for best result, profit vs drawdown ONCE margin = 40 // enter margin value of 1 contract ONCE maxpositionsize = 200 // NAS €1 IG first tier margin limit ONCE minpositionsize = .5 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize// keeps positionsize from going below allowed minimum ENDIF IF startpositionsize + Strategyprofit/(factor*margin) > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG first tier margin limit ENDIF ENDIF ENDIF   TIMEFRAME(120 minutes) Period= p inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULL = weightedaverage[round(sqrt(Period))](inner) c1 = HULL > HULL[1] //c2 = HULL < HULL[1]   indicator1 = SuperTrend[m,n] c3 = (close > indicator1) //c4 = (close < indicator1)   TIMEFRAME(30 minutes) indicator4 = Average[2](typicalPrice) indicator5 = Average[8](typicalPrice) c11 = (indicator4 > indicator5) //c12 = (indicator4 < indicator5)   TIMEFRAME(15 minutes) indicator2 = Average[7](typicalPrice) indicator3 = Average[10](typicalPrice) c7 = (indicator2 > indicator3) //c8 = (indicator2 < indicator3)   Perioda= p1 innera = 2*weightedaverage[round( Perioda/2)](typicalprice)-weightedaverage[Perioda](typicalprice) HULLa = weightedaverage[round(sqrt(Perioda))](innera) c9 = HULLa > HULLa[1] //c10 = HULLa < HULLa[1]   TIMEFRAME(5 minutes) once tradeon = 1 Periodb= p2 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c5 = HULLb > HULLb[1]and HULLb[1]<HULLb[2] //c6 = HULLb < HULLb[1]and HULLb[1]>HULLb[2]   // Conditions to enter long positions IF c1 AND C3 AND C5 and c7 and c9 and c11 and tradeon THEN BUY PositionSize CONTRACT AT MARKET tradeon = 0 ENDIF   if strategyprofit <> strategyprofit[1] then lasttime = opentime IF not tradeon and c1 AND C3 AND C5 and c7 and c9 and c11 and close < tradeprice THEN BUY PositionSize CONTRACT AT MARKET ENDIF   if intradaybarindex = 0 or time = lasttime + 120000 then //resets 12 hours after last trade is closed or at start of the day. tradeon = 1 endif ENDIF   SET STOP %LOSS stl SET TARGET %PROFIT .7 //trailing stop function trailingstart = tst //trailing will start @trailinstart points profit trailingstep = st //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

   

  

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  02/21/2020 at 2:42 PM #120161
  deletedaccount100622

  Have you analysed the trades to ensure that the reentries are not profitable?

  Your comment suggests that you see the second entry as less optimal, are you able to define the optimal state that you would want for entry in the code ie more than 30 points from high of day? That you could add as an opening condition to support the averages and supertrend that you are using that are more persistent conditions

  

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  02/21/2020 at 3:09 PM #120164
  Vonasi

  Insert an ENDIF after line 72. It seems there was one missing in my code (I didn’t test it as it was ust a general idea to work with).

  I’ll edit the code in my earlier post to correct it.

  

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  02/21/2020 at 4:41 PM #120169
  nonetheless

  Thanks Vonasi, that solves the problem I thought I had … but sadly doesn’t make the algo any more effective. Back to the proverbial…

  @Robo Futures Trader tbh I haven’t gone through the backtest trade by trade, it’s more of an instinctive thing. The win rate is 87% so it’s getting it mostly right, but when the price retraces and closes a position it just ‘feels wrong’ to see it reopen 15 minutes later at a worse price. I’ve tried all kinds of things to redefine the entry conditions but nothing seems to help. Perhaps as you suggest, some sort of fixed price criteria rather than the combination of averages i tend to work with…

  

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  02/22/2020 at 9:28 AM #120200
  deletedaccount100622

  If you get the entries into Excel, convert the entry date to only be the date and then use a countif formula which will give you a column with the entry number on that day, you can then pivot to compare first, second entries etc

  I was not saying to drop the use of moving averages but if you can define what you see as ideal and less ideal entries then it may be that you can add a further condition to allow the system to only take the first entry

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