Multiple strategies in one strategy.

Vonasi · Sun, 22 Apr 2018 15:23:16 +0000

I while back I started a thread asking if anyone ran multiple variations of the same strategy on the same instrument but with different variable settings so as to cover a broad range of settings that have worked in the past. The idea being not to put all your eggs on one setting. https://www.prorealcode.com/topic/running-multiple-variations-of-the-same-strategy/ I just wrote a strategy with just one variable and it worked quite well in backtest with a period setting anywhere from 2 to 10. So I decided that rather than pick one setting for that variable I would check in the code all of them and if any of them met the buy or sell requirements it would place a trade. I then added a switch so that you can increase the positions size dependent on how many of the variable settings meet the entry criteria or just have level staking. I thought I’d share the code here (not the whole strategy just the multiple entry criteria being met bit of it) just in case anyone else was interested in the idea for their own strategies. Maybe another one for your snippet library GraHal? a = (start of range to check) b = (end of range to check) PosSizeIncrease = 0// Set to 1 to turn on increased position sizing PositionSize = 1 Flag = 0 For Period = a to b Indicator1 = (indicator)[Period] Indicator2 = (indicator)[Period] IF (long entry conditions) THEN Flag = Flag + 1 ENDIF IF (short entry conditions) THEN Flag = Flag - 1 ENDIF NEXT IF PosSizeIncrease = 1 THEN PositionSize = ABS(Flag) ENDIF IF Flag > 0 THEN BUY PositionSize Contracts at Market ENDIF IF Flag < 0 THEN SELLSHORT PositionSize Contracts at Market ENDIF IF LongOnMarket and (long exit conditions) THEN SELL at market ENDIF IF ShortOnMarket and (short exit conditions) THEN EXITSHORT at market ENDIF

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11/11/2020 at 7:51 PM #150182

Vonasi

I don’t think my coding idea can work with STOP orders and Renko bricks. With Renko brick sizes you would simply always be placing a STOP order at the closest level for the smallest brick.

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eckaw

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Multiple strategies in one strategy.

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