If stopped out, dont trade for N days
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Hi,
I’m struggling to write the logic to use when skipping trades for N days if last trade was stopped out. This is to avoid consecutive bad days in poor market conditions.
once varhardSL = 70 // Determine when to skip: // If low of today's bar is below today's SL level (close last bar minus stop loss level), it determines the stop was hit. skipTrade = 0 // Start by assuming not hit every bar if Low[0] <= (Close[1] - (varhardSL)) then skipTrade = 1 endif graphOnPrice (Close[1] - (varhardSL)) graph skipTrade // Enter trade c1 = 1 c2 = 1 buyCriteria = c1 and c2 and skipTrade < 1 if buyCriteria then BUY possize SHARES AT MARKET Set stop $loss varhardSL set target $profit 140 endifTrying this on Usa500 daily 00:00-00:00 hours
It will skip the third down day but still enter on the second which I’d want to avoid.
Any ideas?
BrAs far as I can see the reason for the poor equity curve at those times is because your entry criteria was met. 70 pips on the SP500 is a big drop and on the day of Aug 20 that condition was not met so a trade was entered at the open of the next day. On the Aug 23 the conditions were also met and another losing trade entered. On Aug 24 your 70 pip drop condition was met and no trade entered.
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Your code has a lot of unnecessary stuff in it so I edited it to make it more readable. Here is my ‘light’ version:
DEFPARAM CumulateOrders = False varMaxHoldTime = 6 varSellAtProfitablecloses = 1 varAvoidDay = 3 varhardSL = 70 // Entry skipTrade = 0 if Low <= (Close[1] - (varhardSL)) then skipTrade = 4 endif skiptrade = skiptrade - 1 c1 = dayofweek <> varAvoidDay c2 = ((high + low + close)/3) <= ((high + low + close)/3)[1] c3 = open[6] <= close[7] and high[1] <= high[8] buyConditions = c1 and c2 and c3 and skipTrade < 1 if buyConditions then BUY 1 SHARES AT MARKET Set Stop $Loss varhardSL endif if not onmarket and onmarket[1] then varNumProfitableClose = 0 endif // +1 profitable close if LongOnMarket and Close >= TradePrice then varNumProfitableClose = varNumProfitableClose + 1 endif // Exit: Profitable close if varNumProfitableClose >= varSellAtProfitablecloses then Sell at Market ENDIF // Exit: Max hold time reached if LongOnMarket and barindex - tradeindex >= varMaxHoldTime - 1 then sell at Market endif graph skiptradeOscJoh thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 10/10/2018 |
| Status: | Active |
| Attachments: | 4 files |
