Increase number of position based on 30 tic moves

Bard · Fri, 12 May 2017 17:03:19 +0000

Hi, I have looked in these forums for a simple method to increase the number of positions up to a maximum of three, based on successive 30 tic moves in the direction of the trend. As a discretionary forex trader I would wait for sharp up/down moves in the tick on a 10 min chart and enter with the direction of the move (better to be on the right side of the 2 day trend) adding to the position. I found three positions as much as you would want to handle particularly if volatility increased sharply (fast market). I wanted to see if it worked using a trend filter like the Ehler’s Supersmoother Oscillator before looking at Momentum (proceeds price) indicators indicators and also adding an exit for closing all three positions together during sharp adverse moves. Based on the forum posts I have the code so far as: c1 is a long trade based on the Ehler’s Universal Supersmoother Oscillator (found in the PRT indicator section in this forum) crossing over the -0.8 threshold. Yet it won’t take the second and third positions? Any ideas what I need to add to the code? The backtest was conducted on the Daily Dow DFB, initially on year 1990. Results were okay with Universal Osc bandedge = 25 and a spread of 3.8 and were left untouched on further date expansion: 1990-1991 and 1990-1992. The Choppiness Indicator that Randy Stuckey used for Catscan IV will stop positions being taken in choppy sideways markets which in non mean reverting systems will lead to losses. The drawdown is still high at 32% which will typically translate into 50% more drawdown when live. This is not a system yet. Different markets tend to have different bandedges. Note: Randy Stuckey used different choppiness index thresholds for each market. As a further point I noticed whilst looking into position sizing code that there was a lot of discussion on “averaging down trades.” From previous trading experience I would not recommend this “tempting” method to mitigate losses because although it works in many instances and will “save your bacon,” there will always be very large fast adverse moves that will cause problems… like when some idiot at the Fed makes an unexpected and unannounced policy comment on a Bloomberg radio show… It’s also worth checking out the pyramiding style of Ed Seykota’s hero, Amos Hostetter. //ORIG CODE: // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1, ignored = CALL "Ehler's Univ Osc SuperSmoother" c1 = (indicator1 CROSSES OVER -0.8) indicator2 = CALL "Choppiness Index" c2 = (indicator2 <= 61.8) IF c1 AND c2 THEN BUY 10 PERPOINT AT MARKET ENDIF // Conditions to enter short positions indicator1, ignored = CALL "Ehler's Univ Osc SuperSmoother" c1 = (indicator1 CROSSES UNDER 0.8) indicator2 = CALL "Choppiness Index" c2 = (indicator2 <= 61.8) IF c1 AND c2 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF // Stops and targets //============================================================================ //PYRAMIDING at 30 tic increases up to a maximum of three positions // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1, ignored = CALL "Ehler's Univ Osc SuperSmoother" c1 = (indicator1 CROSSES OVER -0.8) indicator2 = CALL "Choppiness Index" c2 = (indicator2 <= 61.8) IF c1 AND c2 THEN BUY 10 PERPOINT AT MARKET ENDIF // Conditions to enter extra long positions //second order c3 = (indicator1 > -0.8) indicator2 = CALL "Choppiness Index" c4 = (indicator2 <= 61.8) IF Close-TRADEPRICE(1)>30 AND LongOnMarket AND c3 AND c4 THEN BUY 10 CONTRACTS AT MARKET ENDIF //third order IF Close-TRADEPRICE(1)>60 AND LongOnMarket AND c3 AND c4 THEN BUY 10 CONTRACTS AT MARKET ENDIF //——————————————————----------------------------------------------// // Conditions to enter short positions indicator1, ignored = CALL "Ehler's Univ Osc SuperSmoother" c1 = (indicator1 CROSSES UNDER 0.8) indicator2 = CALL "Choppiness Index" c2 = (indicator2 <= 61.8) IF c1 AND c2 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF // Conditions to enter extra short positions //second order c3 = (indicator1 < 0.8) indicator2 = CALL "Choppiness Index" c4 = (indicator2 <= 61.8) IF Close-TRADEPRICE(1)<30 AND ShortOnMarket AND c3 AND c4 THEN SELLSHORT 10 CONTRACTS AT MARKET ENDIF //third order IF Close-TRADEPRICE(1)<60 AND ShortOnMarket AND c3 AND c4 THEN SELLSHORT 10 CONTRACTS AT MARKET ENDIF // Stops and targets Thanks Bard

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09/25/2019 at 11:45 AM #108421

Nicolas

Price comparison is made at Close, entries are made at next Open, so the distance between the actual price and the price of the open position could be higher than expected.

Nicolas
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