Issue with stop strategy when CumulateOrders=True

• 11/25/2020 at 12:17 PM #151529
  Léo

  Dear All,

  I am working for few days on the code below.

  This code works fine with DEFPARAM CumulateOrders = False but the trailing stop strategy does not work when I turn this option to true (DEFPARAM CumulateOrders = True)

  (The trailing stop strategy is coming from the MOD code – Thank you to the original author of this code)

  I am wondering if my issue is coming from the “Set Stop Ploss 200” that I added at the end of the code or if it is linked to the reset of the stoploss value.

  I would be gratefull if you can help me with this issue !

  Thank you in advance.

  Regards.

  // Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions deactivated DEFPARAM preloadbars = 5000 positionsize=0.2 Periode = 30 //Definition du range TopRange = highest[periode](high) LowRange = Lowest [periode](low) C1 = TopRange-LowRange <200 // Conditions to enter positions if C1 then buy positionsize CONTRACT at TopRange+1 stop sellshort positionsize CONTRACT at LowRange-1 stop Endif //%trailing stop function trailingPercent = .26 stepPercent = .014 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif //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 THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF Set Stop Ploss 200

  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 48 49 50 51 52 53 54 55 56 57 58 59 60 61

  // Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions deactivated DEFPARAM preloadbars = 5000 positionsize=0.2 Periode = 30   //Definition du range TopRange = highest[periode](high) LowRange = Lowest [periode](low) C1 = TopRange-LowRange <200   // Conditions to enter positions if C1 then buy positionsize CONTRACT at TopRange+1 stop sellshort positionsize CONTRACT at LowRange-1 stop Endif   //%trailing stop function trailingPercent = .26 stepPercent = .014 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif //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 THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF   Set Stop Ploss 200

   

  

  Léo

  Participant

  Topics: 4

  Replies: 36

  Been thanked: 4 times
  11/25/2020 at 1:05 PM #151548
  robertogozzi

  When accumulating positions, you will have more than one single TRADEPRICE, so ProOrder calculates the average of all trade prices and position sizes (attached pic).

  Replacing TRADEPRICE(1) with POSITIONPRICE should do.

  You can always use POSITIONPRICE even when you are not accumulating positions, in that case TRADEPRICE and POSITIONPRICE will match.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16466

  Been thanked: 3641 times
  11/25/2020 at 1:20 PM #151550
  Léo

  Hi Roberto,

  Thank you for this input. I will adapt the code and test accordingly !

  Thank you again.

   

  

  Léo

  Participant

  Topics: 4

  Replies: 36

  Been thanked: 4 times
• Author
  Posts