multiple strategies within one trading system

• 07/18/2017 at 12:09 AM #40921
  Thomas007

  Hi,

  I’m trying to have a few strategies, triggered based on different conditions, within one trading system. Is it possible in PRT? And if yes, would anyone please give me a simple example and give advice on what mistakes to avoid and how to write it structurally correct?

  Thanks,

  Thomas

  

  Thomas007

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  07/20/2017 at 6:35 PM #41185
  Thomas007

  // Conditions to enter long positions IF NOT LongOnMarket Then If Condition1 THEN BUY n CONTRACTS AT MARKET a = 1 ENDIF If Condition2 THEN BUY n CONTRACTS AT MARKET a = 2 ENDIF ENDIF // Conditions to exit long positions IF LongOnMarket THEN IF a = 1 AND ConditionToExit1 THEN SELL AT MARKET ENDIF IF a = 2 AND ConditionToExit2 THEN SELL AT MARKET ENDIF ENDIF

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  // Conditions to enter long positions IF NOT LongOnMarket Then If Condition1 THEN BUY n CONTRACTS AT MARKET a = 1 ENDIF If Condition2 THEN BUY n CONTRACTS AT MARKET a = 2 ENDIF ENDIF   // Conditions to exit long positions IF LongOnMarket THEN IF a = 1 AND ConditionToExit1 THEN SELL AT MARKET ENDIF IF a = 2 AND ConditionToExit2 THEN SELL AT MARKET ENDIF ENDIF

  Sorry I wasn’t more specific before, I’m new to PRT. I just wondered whether you can run the code on various strategies within (condition1 and condition2) and have specific exit conditions linked with those strategies (ConditionToExit1 and ConditionToExit2) – but they will be triggered only to those assigned strategies (a = 1 or a = 2). It looks doable to me, but I wonder if there is any restriction.

  

  Thomas007

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  07/20/2017 at 8:01 PM #41189
  GraHal

  Sounds good, so to keep the discussion simple, … You had Trade Entry on Condition A and Exit on Condition 1 (for example) but elsewhere in the same coded ‘Auto-Trading System’ you might use a different Condition for Exit … let’s call it Exit Condition 2 for example?

  Have I misunderstood your question?

  Generally the term Strategy / Strat / Bot / Algo is used to describe a coded ‘Auto-Trading System’ which runs on, for example, the DAX. You could of course run the same Strat on the EUR/USD, but likely your variables (the [20] in Average[20] ) may need to be optimised for the DAX different from the EUR/USD.

  Cheers
  GraHal

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  Thomas007

  

  GraHal

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  07/21/2017 at 10:43 AM #41272
  robertogozzi

  I posted a template for multiple strategies in a single TS, click https://www.prorealcode.com/topic/allow-only-one-strategy-to-execute-a-trade/#post-34686

  Roberto

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  Nicolas, GraHal

  

  robertogozzi

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  07/21/2017 at 10:51 AM #41274
  GraHal

  Link doesn’t work Roberto (404 error – page not found) maybe it’s temporary and Nicolas is doing work on the site? Maybe leave and I’ll try it later?

  

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  07/21/2017 at 11:53 AM #41277
  robertogozzi

  Try using this link: https://www.prorealcode.com/topic/allow-only-one-strategy-to-execute-a-trade/

  (instead of https://www.prorealcode.com/topic/allow-only-one-strategy-to-execute-a-trade/#post-34686), then go to post #34686, just before Nicolas’ reply.

  

  robertogozzi

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  07/21/2017 at 12:00 PM #41278
  robertogozzi

  They seem not to work at the moment.

  Here is a copy of my post.

  You can assembly all of your strategies into a bigger file.

  “DEFPARAM CumulateOrders = false” will do the hard job!

  Of course you may need to name variables in different ways, say, a1s1 or cond1s1 for the first strategy, then a2s1/cond2s1….. a1s2/cond1s2 for the second strategy etc….

  You may name a variable StrategyID = 0 when NOT ONMARKET, then set it to any number you want each buy/sell is executed so you know which strategy was triggered.

  Example:

  DEFPARAM CumulateOrders = False //Only 1 trade at a time IF NOT OnMarket THEN //Make sure you reset this variable to ZERO when not trading StrategyID = 0 ENDIF //----------------------------------------------------------------------------------------------------------------- IF (StrategyID = 0) OR (StrategyID = 1) THEN //Strategy 1 s1.... = ...... . . ENDIF //----------------------------------------------------------------------------------------------------------------- IF (StrategyID = 0) OR (StrategyID = 2) THEN //Strategy 2 s2Avg = Average[20](close) s2Rsi = Rsi[14] . . . //************************************************************************ // LONG //************************************************************************ IF close CROSSES OVER s2Avg THEN StrategyID = 2 SET TARGET PPROFIT 20 SET STOP PLOSS 10 BUY nLots CONTRACT AT MARKET ENDIF //************************************************************************ // SHORT //************************************************************************ IF close CROSSES UNDER s2Avg THEN StrategyID = 2 SET TARGET PPROFIT 20 SET STOP PLOSS 10 SELLSHORT nLots CONTRACT AT MARKET ENDIF . . . . ENDIF //----------------------------------------------------------------------------------------------------------------- IF (StrategyID = 0) OR (StrategyID = 3) THEN //Strategy 3 s3.... = ...... . . . ENDIF

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  DEFPARAM CumulateOrders = False                                 //Only 1 trade at a time IF NOT OnMarket THEN                                            //Make sure you reset this variable to ZERO when not trading    StrategyID = 0 ENDIF //----------------------------------------------------------------------------------------------------------------- IF (StrategyID = 0) OR (StrategyID = 1) THEN //Strategy 1    s1.... = ......    .    . ENDIF //----------------------------------------------------------------------------------------------------------------- IF (StrategyID = 0) OR (StrategyID = 2) THEN //Strategy 2    s2Avg = Average[20](close)    s2Rsi = Rsi[14]    .    .    .    //************************************************************************    //                                 LONG    //************************************************************************    IF close CROSSES OVER s2Avg  THEN       StrategyID = 2       SET TARGET PPROFIT 20       SET STOP PLOSS     10       BUY nLots CONTRACT AT MARKET    ENDIF    //************************************************************************    //                                 SHORT    //************************************************************************    IF close CROSSES UNDER s2Avg  THEN       StrategyID = 2       SET TARGET PPROFIT 20       SET STOP PLOSS     10       SELLSHORT nLots CONTRACT AT MARKET    ENDIF    .    .    .    . ENDIF //----------------------------------------------------------------------------------------------------------------- IF (StrategyID = 0) OR (StrategyID = 3) THEN //Strategy 3    s3.... = ......    .    .    . ENDIF

   

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  robertogozzi

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  07/22/2017 at 8:52 AM #41352
  Nicolas

  Sorry for the broken links, for an unknown reason, some words are truncated..even if the link is correct in html format. I’m looking to fix this issue.

  

  Nicolas

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  03/17/2020 at 6:07 PM #122369
  frenqle

  what if you have different timeframe strategies. and different stoploss and take profit strategies. and different opening and closing time strategies.. is there still a way to put them together in one tradingsystem?

  

  frenqle

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  03/17/2020 at 7:16 PM #122374
  robertogozzi

  In my example above I used TP & SL several times with the same values but they can be different.

  You can also use TIMEFRAME multiple times, as needed.

  You cannot use more than 5 different TF’s + default one.

  TIMEFRAME(1 hour,default) and TIMEFRAME(1 hour,updateonclose) count as one, not two!

  

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  02/06/2021 at 4:45 PM #160520
  AleksLi

  Hi,

  Sorry for resurfacing an old thread, but I was having a similar conundrum. Is there a way of adding strategy specific exit rules, rather than just TP or SL? I tried doing so, but my sell rules seem to be mixing in the actual trading process. For example, this code exits trades that strategy 2 initiated based on strategy 1 exit parameters.

  Here’s my code:

  DEFPARAM CumulateOrders = false // Cumulating positions deactivated //dynamic position sizing INITIALCAPITAL = 10000 c = (INITIALCAPITAL/close) if c < 0.2 then c = 0.2 endif // Conditions to enter long positions IF NOT onmarket then StrategyID = 0 ENDIF //trend following strategy IF (StrategyID = 0) OR (StrategyID = 1) THEN indicator1 = SAR[0.14,0.01,0.3] c1 = (close > indicator1) indicator2 = RSI[14](close) c2 = (indicator2 < 80) c3 = (close >= open) indicator3 = AroonUp[10] c4 = (indicator3 > 15) indicator4 = CALL "ATR"[14,2] c5 = (close > indicator4) IF c1 AND c2 AND c3 AND c4 AND c5 THEN StrategyID = 1 BUY c PERPOINT AT MARKET set stop $loss 420 ENDIF indicator5 = SAR[0.14,0.01,0.3] c6 = (indicator5 > close) indicator6 = RSI[14](close) c7 = (indicator6 > 80) IF c6 OR c7 THEN SELL AT MARKET ENDIF ENDIF //mean reversion strategy IF (StrategyID = 0) OR (StrategyID = 2) THEN indicator4 = CALL "ATR"[14,2] c8 = (close < indicator4) indicator7 = RSI[14](close) c9 = (indicator7 < 30) IF c8 and c9 THEN StrategyID = 2 BUY c PERPOINT AT MARKET ENDIF c10= (indicator7 > 50) IF c10 THEN SELL AT MARKET ENDIF ENDIF graph StrategyID

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  DEFPARAM CumulateOrders = false // Cumulating positions deactivated   //dynamic position sizing INITIALCAPITAL = 10000 c = (INITIALCAPITAL/close) if c < 0.2 then c = 0.2 endif   // Conditions to enter long positions   IF NOT onmarket then StrategyID = 0 ENDIF   //trend following strategy IF (StrategyID = 0) OR (StrategyID = 1) THEN indicator1 = SAR[0.14,0.01,0.3] c1 = (close > indicator1) indicator2 = RSI[14](close) c2 = (indicator2 < 80) c3 = (close >= open) indicator3 = AroonUp[10] c4 = (indicator3 > 15) indicator4 = CALL "ATR"[14,2] c5 = (close > indicator4) IF c1 AND c2 AND c3 AND c4 AND c5 THEN StrategyID = 1 BUY c PERPOINT AT MARKET set stop $loss 420 ENDIF indicator5 = SAR[0.14,0.01,0.3] c6 = (indicator5 > close) indicator6 = RSI[14](close) c7 = (indicator6 > 80) IF c6 OR c7 THEN SELL AT MARKET ENDIF ENDIF     //mean reversion strategy IF (StrategyID = 0) OR (StrategyID = 2) THEN indicator4 = CALL "ATR"[14,2] c8 = (close < indicator4) indicator7 = RSI[14](close) c9 = (indicator7 < 30) IF c8 and c9 THEN StrategyID = 2 BUY c PERPOINT AT MARKET ENDIF c10= (indicator7 > 50) IF c10 THEN SELL AT MARKET ENDIF ENDIF     graph StrategyID

  To illustrate my point, I’ve attached a screenshot of my strategy working. Strategy 2 -Separated is the code I used for strategy 2, but separated from the code I posted above. As you can see, Strategy 2 took the same trade as my initial code and held it until the exit criteria were met, whereas my original code immediately closes this trade because it meets strategy 1 exit rules.

   

  

  AleksLi

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  02/06/2021 at 5:33 PM #160525
  robertogozzi

  The code you posted CANNOT close one strategy because of conditions from the other one.

  The two strategies are clearly separated with a  different ID and, as long as IF…ENDIF works, they cannot mix.

  The above code user RSI[14], while on your pic I can spot RSI[13], this can be a cause.

  I cannot test it because I don’t have the ATR indicator you are calling. Post it or post a link where I can find it.

   

  

  robertogozzi

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  02/06/2021 at 5:45 PM #160527
  AleksLi

  Sure, the ATR that I am using is this indicator: https://www.prorealcode.com/prorealtime-indicators/another-atr-trailing-stop/

  The RSI that is on the chart is purely used for visualisation purposes and isn’t reflective of the strategy that I am using.

  Maybe my IF statements are wrongly worded? I ask because as soon as strategy 2 kicks in, the code I posted closes the position. See my screenshot:

  

  AleksLi

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  02/08/2021 at 12:18 PM #160666
  robertogozzi

  Thenumber of parameters for the indicator is three:

  CALL "ATR"[14,2,1]

  1	CALL "ATR"[14,2,1]

  why did you use only two of them?

  What instrument is the one traded in your last pic?

   

  

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  02/09/2021 at 10:55 AM #160777
  AleksLi

  Dear robertogozzi,

  Thank you for your reply. I’m attaching some extra info.

  First, the code to “Strategy 2 – separated”. As you can see its the same as strategy 2 in the first code I posted, so the ATR settings are exactly the same.

  DEFPARAM CumulateOrders = false // Cumulating positions deactivated INITIALCAPITAL = 10000 c = (INITIALCAPITAL/close) if c < 0.2 then c = 0.2 endif indicator4 = CALL "ATR"[14,2] c8 = (close < indicator4) indicator7 = RSI[14](close) c9 = (indicator7 < 30) IF c8 and c9 THEN StrategyID = 2 BUY c PERPOINT AT MARKET ENDIF c10= (indicator7 > 50) IF c10 THEN SELL AT MARKET ENDIF

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  DEFPARAM CumulateOrders = false // Cumulating positions deactivated   INITIALCAPITAL = 10000 c = (INITIALCAPITAL/close) if c < 0.2 then c = 0.2 endif   indicator4 = CALL "ATR"[14,2] c8 = (close < indicator4) indicator7 = RSI[14](close) c9 = (indicator7 < 30) IF c8 and c9 THEN StrategyID = 2 BUY c PERPOINT AT MARKET ENDIF c10= (indicator7 > 50) IF c10 THEN SELL AT MARKET ENDIF

  Second, I have uploaded an expanded screenshot showing the instrument, along with the “graph StrategyID” function from the first code I posted.

  I believe that the issue rests with how I have worded my IF statements- could you please test?

  

  AleksLi

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