If stopped out, dont trade for N days

• 10/10/2018 at 2:37 PM #82460
  OscJoh

  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.

  Progress so far

  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 endif

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  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 endif

  Trying 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?
  Br

  

  OscJoh

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  10/10/2018 at 3:31 PM #82477
  Vonasi

  You could try something like this:

  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. if Low[0] <= (Close[1] - (varhardSL)) then skipTrade = 4 endif skiptrade = skiptrade - 1 // 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 endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

  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. if Low[0] <= (Close[1] - (varhardSL)) then skipTrade = 4 endif   skiptrade = skiptrade - 1   // 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 endif

  I’m guessing that you are trading daily candles?

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  Vonasi

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  10/10/2018 at 4:57 PM #82495
  OscJoh

  Thank you, Vonasi! However that seems to work at one “SL streak” but at another one it persists? skipTrade is for some reason not propely set

  See attachments where I graph the skipTrade under the equity curve window

  Yes daily bars.

  

  OscJoh

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  10/10/2018 at 5:37 PM #82504
  Vonasi

  It is difficult to understand what you think is not working from your description and images. I cannot see what time frame you are on or what the values of the candles are.

  The code as written will stay out of the market any time that the current candles low is less than the previous candles close minus 70. It does not know whether you were on the market with a trade or not.

  I just adjusted the code you provided to do what you wanted!

  

  Vonasi

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  10/10/2018 at 7:31 PM #82513
  OscJoh

  I understand. I’ve attached the full strategy code if you’d like to test. On Usa500 (ES) 1eur contract daily bars 00:00-00:00 hours. Spread 1.6.

  As can be seen there are sharp drops in the equity curve at August 24 2015 and February 2 2018, which I was thinking could be avoided if not allowing consecutive trades around stop loss reached days.

  Full strategy

  DEFPARAM CumulateOrders = False once varMaxHoldTime = 6 once varSellAtProfitablecloses = 1 once varNumProfitableClose = 0 once varAvoidDay = 3 once varhardSL = 70 //  Entry once skipTrade = 0 if Low[0] <= (Close[1] - (varhardSL)) then skipTrade = 4 endif skiptrade = skiptrade - 1 graphOnPrice (Close[1] - (varhardSL)) graph skipTrade c1 = dayofweek <> varAvoidDay c2 = ((high + low + close)/3)[0] <= ((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 onmarket[0] = 0 and onmarket[1] = 1 then varNumProfitableClose = 0 endif // +1 profitable close if LongOnMarket and Close[0] >= 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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47

  DEFPARAM CumulateOrders = False   once varMaxHoldTime = 6 once varSellAtProfitablecloses = 1 once varNumProfitableClose = 0 once varAvoidDay = 3 once varhardSL = 70   //  Entry once skipTrade = 0 if Low[0] <= (Close[1] - (varhardSL)) then skipTrade = 4 endif   skiptrade = skiptrade - 1   graphOnPrice (Close[1] - (varhardSL)) graph skipTrade   c1 = dayofweek <> varAvoidDay c2 = ((high + low + close)/3)[0] <= ((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 onmarket[0] = 0 and onmarket[1] = 1 then varNumProfitableClose = 0 endif   // +1 profitable close if LongOnMarket and Close[0] >= 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

   

  

  OscJoh

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  10/10/2018 at 9:25 PM #82518
  Vonasi

  As 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.

  

  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 skiptrade

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46

  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 skiptrade

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  Vonasi

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