Multiple orders in 1 candle

• 01/22/2018 at 9:35 AM #60127
  rdcarvajal

  Hi:

  I have a problem in which the back-test takes multiple orders in one bar. Mt system is a pyramiding strategy that takes additional positions every time price goes up by 2ATR however, it seems to take on multiple orders on the same bar every time there is a large candle and/or ATR goes up significantly. From the code, it should be taking one position per candle only.

  Can anyone tell me what’s wrong? Thank you.

  Ruben

  

  rdcarvajal

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  01/22/2018 at 9:44 AM #60129
  Nicolas

  Because all the conditions for a new order to open are exactly the same: Close>open+ATR (same Open, same Close and same ATR).

  

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  01/22/2018 at 12:32 PM #60156
  rdcarvajal

  Not quite because there is no problem on the previous 3 transactions (in the attachment). It happens on other instruments as well, the code works well unless there is a large candle, it is only on the large candles that it does this, it executes multiple orders at exactly the same price. However, from the code, it should be recording the close of the candle as a reference for the next transaction. It should also be processing every candle only once.

  Even if all conditions were the same you would see trades on every candle, not multiple transactions on the same candle at the same price. The IF/ENDIF conditions should prevent that shouldn’t it?

  Here’s the code.

  Has anyone seen this before? Thanks in advance

   

  CODE

  // Definition of code parameters DEFPARAM CumulateOrders = True // Cumulating positions activated DEFPARAM NoCashUpdate = False //For backtest only - pg 22 // Conditions to enter long positions indicator1 = ExponentialAverage[8](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 CROSSES OVER indicator2) Equity = 50000 Risk = Equity*0.01 FXinAUD=1.50 //Exchange rate for quote currency in to AUD (1 equals = ??AUD) FXrate = 1/FXinAUD //Add line ABOVE for non-AUD contracts with the FX rate of quote currency in AUD ContractSize = 10000 ATRdistance = AverageTrueRange[14](close)*2 Risk1 = ATRdistance*ContractSize //Risk per contract in quote currency ContractRisk = Risk1*Fxrate Pos1 = Risk/ContractRisk IF Not OnMarket THEN Transactions = 0 ENDIF //Long entry IF Not LongOnMarket AND c1 THEN InitialStop = low BuyPrice = Open BUY Pos1 CONTRACT AT MARKET Transactions = Transactions + 1 ENDIF //Pyramiding IF Transactions=1 AND Close>=(BuyPrice+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice2 = Open Transactions = Transactions + 1 ENDIF IF Transactions=2 AND Close>=(BuyPrice2+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice3 = Open Transactions = Transactions + 1 ENDIF IF Transactions=3 AND Close>=(BuyPrice3+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice4 = Open Transactions = Transactions + 1 ENDIF IF Transactions=4 AND Close>=(BuyPrice4+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice5 = Open Transactions = Transactions + 1 ENDIF IF Transactions=5 AND Close>=(BuyPrice5+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice6 = Open Transactions = Transactions + 1 ENDIF IF Transactions=6 AND Close>=(BuyPrice6+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice7 = Open Transactions = Transactions + 1 ENDIF IF Transactions=7 AND Close>=(BuyPrice7+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice8 = Open Transactions = Transactions + 1 ENDIF IF Transactions=8 AND Close>=(BuyPrice8+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice9 = Close Transactions = Transactions + 1 ENDIF IF Transactions=9 AND Close>=(BuyPrice9+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice10 = Close Transactions = Transactions + 1 ENDIF IF Transactions=10 AND Close>=(BuyPrice10+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice11 = Close Transactions = Transactions + 1 ENDIF IF Transactions=11 AND Close>=(BuyPrice11+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice12 = Close Transactions = Transactions + 1 ENDIF IF Transactions=12 AND Close>=(BuyPrice12+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice13 = Close Transactions = Transactions + 1 ENDIF IF Transactions=13 AND Close>=(BuyPrice13+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice14 = Close Transactions = Transactions + 1 ENDIF IF Transactions=14 AND Close>=(BuyPrice14+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice15 = Close Transactions = Transactions + 1 ENDIF IF Transactions=15 AND Close>=(BuyPrice15+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET ENDIF // Conditions to exit long positions ATRx = AverageTrueRange[14](close)*2 StopLoss = CALL "2ATR trailing stop" IF LongOnMarket AND close <= Buyprice + ATRx AND InitialStop>StopLoss THEN SELL AT InitialStop STOP ELSE SELL AT StopLoss STOP 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 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129

  // Definition of code parameters DEFPARAM CumulateOrders = True // Cumulating positions activated DEFPARAM NoCashUpdate = False  //For backtest only - pg 22   // Conditions to enter long positions indicator1 = ExponentialAverage[8](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 CROSSES OVER indicator2)   Equity = 50000 Risk = Equity*0.01 FXinAUD=1.50 //Exchange rate for quote currency in to AUD (1 equals = ??AUD) FXrate = 1/FXinAUD  //Add line ABOVE for non-AUD contracts with the FX rate of quote currency in AUD ContractSize  = 10000 ATRdistance = AverageTrueRange[14](close)*2 Risk1 = ATRdistance*ContractSize //Risk per contract in quote currency ContractRisk = Risk1*Fxrate Pos1 = Risk/ContractRisk   IF Not OnMarket THEN Transactions = 0 ENDIF   //Long entry IF Not LongOnMarket AND c1 THEN InitialStop = low BuyPrice = Open BUY Pos1 CONTRACT AT MARKET Transactions = Transactions + 1 ENDIF   //Pyramiding IF Transactions=1 AND Close>=(BuyPrice+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice2 = Open Transactions = Transactions + 1 ENDIF   IF Transactions=2 AND Close>=(BuyPrice2+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice3 = Open Transactions = Transactions + 1 ENDIF   IF Transactions=3 AND Close>=(BuyPrice3+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice4 = Open Transactions = Transactions + 1 ENDIF   IF Transactions=4 AND Close>=(BuyPrice4+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice5 = Open Transactions = Transactions + 1 ENDIF   IF Transactions=5 AND Close>=(BuyPrice5+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice6 = Open Transactions = Transactions + 1 ENDIF   IF Transactions=6 AND Close>=(BuyPrice6+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice7 = Open Transactions = Transactions + 1 ENDIF   IF Transactions=7 AND Close>=(BuyPrice7+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice8 = Open Transactions = Transactions + 1 ENDIF   IF Transactions=8 AND Close>=(BuyPrice8+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice9 = Close Transactions = Transactions + 1 ENDIF   IF Transactions=9 AND Close>=(BuyPrice9+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice10 = Close Transactions = Transactions + 1 ENDIF   IF Transactions=10 AND Close>=(BuyPrice10+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice11 = Close Transactions = Transactions + 1 ENDIF   IF Transactions=11 AND Close>=(BuyPrice11+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice12 = Close Transactions = Transactions + 1 ENDIF   IF Transactions=12 AND Close>=(BuyPrice12+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice13 = Close Transactions = Transactions + 1 ENDIF   IF Transactions=13 AND Close>=(BuyPrice13+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice14 = Close Transactions = Transactions + 1 ENDIF   IF Transactions=14 AND Close>=(BuyPrice14+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET BuyPrice15 = Close Transactions = Transactions + 1 ENDIF   IF Transactions=15 AND Close>=(BuyPrice15+AverageTrueRange[14](close)*2) AND LongOnMarket THEN BUY Pos1 CONTRACTS AT MARKET ENDIF   // Conditions to exit long positions ATRx = AverageTrueRange[14](close)*2 StopLoss = CALL "2ATR trailing stop"   IF LongOnMarket AND close <= Buyprice + ATRx AND InitialStop>StopLoss THEN SELL AT InitialStop STOP ELSE SELL AT StopLoss STOP ENDIF

   

  

  rdcarvajal

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  01/22/2018 at 1:27 PM #60161
  Nicolas

  Yes , it appears on large candle, when the Close is superior to previous “BuyPrice” with 2 ATR, so it never happens on small candle (because ATR is small).

  The problem is that each time you open an order you increase the “transactions” variable and this is the only variable tested to open a new order (because your Close>Buyprice+ATR*2 condition is always the same) and since the code is read from to to bottom, you add continuously new order (from line 32 to 119).

  

  Nicolas

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  01/22/2018 at 1:51 PM #60167
  rdcarvajal

  Hi Nicholas:

  The “BuyPrice” is also supposed to change after every pyramid trade: Buyprice2…Buyprice3… is this variable being ignored?

  BTW, thanks for your reply. Is there a way to make it execute each pyramid only once? (I tried “ONCE” in combination with IF but it doesn’t work)

  

  rdcarvajal

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  01/22/2018 at 2:22 PM #60171
  rdcarvajal

  Nicholas:

  Don’t worry, I solved it.

  Cheers.

  

  rdcarvajal

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  01/22/2018 at 3:34 PM #60183
  Nicolas

  No, the BuyPrice don’t change because you are constantly storing the same value on the same candle. You can use TRADEPRICE instead, which refer to the real open price of the last N order.

  

  Nicolas

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  01/25/2018 at 7:20 PM #60531
  MaoRai54

  rdcarvajal wrote:

  Nicholas:

  Don’t worry, I solved it.

  Cheers.

   

  Hi,

  how did you solve it?

   

  

  MaoRai54

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