Limit Strategy to 1 trade per day

• 01/20/2022 at 7:47 PM #186124
  Giddy

  Mean reversion based on @Doctrading End of Day Yen Strat

  //------------------------------------------------------------------------- // END OF DAY - YEN // www.doctrading.fr Defparam cumulateorders = false // TAILLE DES POSITIONS n = 2 daysForbiddenEntry = OpenDayOfWeek = 5 or opendayofweek = 5 or OpenDayOfWeek = 4 or opendayofweek = 4 or OpenDayOfWeek = 3 or opendayofweek = 3 or OpenDayOfWeek = 2 or opendayofweek = 2 or OpenDayOfWeek = 1 or opendayofweek = 1 ratio = 0.6 // HORAIRES startTime = 210000 endTime = 231500 exitLongTime = 03000 exitShortTime = 03000 // STOP LOSS & TAKE PROFIT (%) SL = 0.7 TP = 1.2 Period = 8 // BOUGIE REFERENCE à StartTime if time = startTime THEN amplitude = highest[Period](high) - lowest[Period](low) ouverture = close endif // LONGS & SHORTS : every day except Fridays // entre StartTime et EndTime if time >= startTime and time <= endTime and not daysForbiddenEntry then buy n shares at ouverture - amplitude*ratio limit sellshort n shares at ouverture + amplitude*ratio limit endif // Stop Loss & Take Profit set stop %loss SL set target %profit TP // Exit Time if time = exitLongTime then sell at market endif if time = exitShortTime then exitshort 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 48 49 50

  //------------------------------------------------------------------------- // END OF DAY  -  YEN // www.doctrading.fr   Defparam cumulateorders = false   // TAILLE DES POSITIONS n = 2 daysForbiddenEntry = OpenDayOfWeek = 5 or opendayofweek = 5 or OpenDayOfWeek = 4 or opendayofweek = 4 or OpenDayOfWeek = 3 or opendayofweek = 3 or OpenDayOfWeek = 2 or opendayofweek = 2 or OpenDayOfWeek = 1 or opendayofweek = 1     ratio = 0.6   // HORAIRES startTime = 210000 endTime = 231500 exitLongTime = 03000 exitShortTime = 03000   // STOP LOSS & TAKE PROFIT (%) SL = 0.7 TP = 1.2   Period = 8   // BOUGIE REFERENCE à StartTime if time = startTime THEN amplitude = highest[Period](high) - lowest[Period](low) ouverture = close endif     // LONGS & SHORTS : every day except Fridays // entre StartTime et EndTime if time >= startTime and time <= endTime and not daysForbiddenEntry then buy n shares at ouverture - amplitude*ratio limit sellshort n shares at ouverture + amplitude*ratio limit endif   // Stop Loss & Take Profit set stop %loss SL set target %profit TP   // Exit Time if time = exitLongTime then sell at market endif if time = exitShortTime then exitshort at market endif

  I have been playing around with @Doctrading ‘s end of day Yen M15 strategy (code above is for Sunday only trades), which I find works quite well when initial positions are opened and then hit take profit levels.  Performance then tails off a little when new positions are opened and run through to 0030 when all positions are closed.  When the strategy goes live each day, it sets limit orders higher (sell) than the opening level and lower (buy).  Is there a way to effectively add an OCO rule so that once a buy order is opened (for example), the corresponding sell order is cancelled….so, if a 1.09 USD/JPY buy order is filled, the corresponding 1.10 sell order would be cancelled?

  Thanks in advance.

  

  Giddy

  Participant

  Topics: 6

  Replies: 18

  Been thanked: 8 times
  02/15/2022 at 6:01 PM #188312
  robertogozzi

  This will limit your strategy to One Trade per Day (using the variable OTD):

  //------------------------------------------------------------------------- // END OF DAY - YEN // www.doctrading.fr Defparam cumulateorders = false // TAILLE DES POSITIONS n = 2 daysForbiddenEntry = OpenDayOfWeek = 5 or opendayofweek = 5 or OpenDayOfWeek = 4 or opendayofweek = 4 or OpenDayOfWeek = 3 or opendayofweek = 3 or OpenDayOfWeek = 2 or opendayofweek = 2 or OpenDayOfWeek = 1 or opendayofweek = 1 OTD = (Barindex - TradeIndex(1) > IntradayBarIndex) ratio = 0.6 // HORAIRES startTime = 210000 endTime = 231500 exitLongTime = 03000 exitShortTime = 03000 // STOP LOSS & TAKE PROFIT (%) SL = 0.7 TP = 1.2 Period = 8 // BOUGIE REFERENCE à StartTime if time = startTime THEN amplitude = highest[Period](high) - lowest[Period](low) ouverture = close endif // LONGS & SHORTS : every day except Fridays // entre StartTime et EndTime if time >= startTime and time <= endTime and not daysForbiddenEntry and OTD then buy n shares at ouverture - amplitude*ratio limit sellshort n shares at ouverture + amplitude*ratio limit endif // Stop Loss & Take Profit set stop %loss SL set target %profit TP // Exit Time if time = exitLongTime then sell at market endif if time = exitShortTime then exitshort 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 48 49 50 51

  //------------------------------------------------------------------------- // END OF DAY  -  YEN // www.doctrading.fr Defparam cumulateorders = false // TAILLE DES POSITIONS n = 2 daysForbiddenEntry = OpenDayOfWeek = 5 or opendayofweek = 5 or OpenDayOfWeek = 4 or opendayofweek = 4 or OpenDayOfWeek = 3 or opendayofweek = 3 or OpenDayOfWeek = 2 or opendayofweek = 2 or OpenDayOfWeek = 1 or opendayofweek = 1 OTD = (Barindex - TradeIndex(1) > IntradayBarIndex) ratio = 0.6 // HORAIRES startTime = 210000 endTime = 231500 exitLongTime = 03000 exitShortTime = 03000 // STOP LOSS & TAKE PROFIT (%) SL = 0.7 TP = 1.2 Period = 8 // BOUGIE REFERENCE à StartTime if time = startTime THEN amplitude = highest[Period](high) - lowest[Period](low) ouverture = close endif // LONGS & SHORTS : every day except Fridays // entre StartTime et EndTime if time >= startTime and time <= endTime and not daysForbiddenEntry and OTD then buy n shares at ouverture - amplitude*ratio limit sellshort n shares at ouverture + amplitude*ratio limit endif // Stop Loss & Take Profit set stop %loss SL set target %profit TP // Exit Time if time = exitLongTime then sell at market endif if time = exitShortTime then exitshort at market endif

   

  1 user thanked author for this post.

  Giddy

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16466

  Been thanked: 3641 times
  02/20/2022 at 10:07 PM #188581
  Philstrading

  I like to simplify so think this would work but not tested it.. Logic seems OK though… I used similar for only trading once between certain times of day which worked very well…

  This simply resets at start of the day after each day:

  Using Dayofweek

  Once StartT=000000 once EndT=000001 td1 = 1 AND OpenDayOfWeek = 1 AND OpenTime >= startT AND OpenTime <= endT //Monday td2 = 1 AND OpenDayOfWeek = 2 AND OpenTime >= startT AND OpenTime <= endT //Tuesday td3 = 1 AND OpenDayOfWeek = 3 AND OpenTime >= startT AND OpenTime <= endT //Wednesday td4 = 1 AND OpenDayOfWeek = 4 AND OpenTime >= startT AND OpenTime <= endT //Thursday td5 = 1 AND OpenDayOfWeek = 5 AND OpenTime >= startT AND OpenTime <= EndT //Friday tdcond= td1 or td2 or td3 or td4 or td5 If tdcond then myday=dayofweek endif If not onmarket and myday=dayofweek and (Your criteria)then buy myamount perpoint at market myday=dayofweek+1 endif If not onmarket and myday=dayofweek and (Your criteria) then sellshort myamount perpoint at market myday=dayofweek+1 endif

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

  Once StartT=000000 once EndT=000001 td1         = 1 AND OpenDayOfWeek = 1 AND OpenTime >= startT AND OpenTime <= endT //Monday td2         = 1 AND OpenDayOfWeek = 2 AND OpenTime >= startT AND OpenTime <= endT  //Tuesday td3         = 1 AND OpenDayOfWeek = 3 AND OpenTime >= startT AND OpenTime <= endT  //Wednesday td4         = 1 AND OpenDayOfWeek = 4 AND OpenTime >= startT AND OpenTime <= endT  //Thursday td5         = 1 AND OpenDayOfWeek = 5 AND OpenTime >= startT AND OpenTime <= EndT //Friday tdcond= td1 or td2 or td3 or td4 or td5 If tdcond then myday=dayofweek endif If not onmarket and myday=dayofweek and (Your criteria)then buy  myamount perpoint at market myday=dayofweek+1 endif If not onmarket and myday=dayofweek and (Your criteria) then sellshort myamount perpoint at market myday=dayofweek+1 endif

  Obviously putting in your own buy codes and criteria etc… I’ve not played around with the end time but hopefully it would work..

  Hope it helps..

  1 user thanked author for this post.

  Giddy

  

  Philstrading

  Participant

  Topics: 24

  Replies: 124

  Been thanked: 42 times
• Author
  Posts