multiple strategies within one trading system

• 02/09/2021 at 11:06 AM #160780
  AleksLi

  I think I might’ve found the issue. With that particular trade that I am always referring to, in Feb of 2018, the graph function shows that Strategy 2 buying signal is given. However, since the signal is short-lived and StrategyID quickly reverts to “0”, this means that strategy 1 kicks in to close the position, as the code in strategy 1 is:

  IF (StrategyID = 0) OR (StrategyID = 1) THEN

  1	IF (StrategyID = 0) OR (StrategyID = 1) THEN

  Could you help me fix this, please?

  Thank you,

  Aleks

  

  AleksLi

  Participant

  Topics: 3

  Replies: 13

  Been thanked: 1 time
  02/09/2021 at 12:12 PM #160795
  robertogozzi

  It’s short-lived because when evaluating conditions you haven’t added AND Not OnMarket, try this:

  IF c1 AND c2 AND c3 AND c4 AND c5 AND Not OnMarket THEN

  1	IF c1 AND c2 AND c3 AND c4 AND c5 AND Not OnMarket THEN

  (for the other strategy as well).

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16472

  Been thanked: 3643 times
  02/09/2021 at 2:06 PM #160813
  AleksLi

  Hi, I’ve added your recommendations and nothing has changed.

  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 AND Not OnMarket THEN StrategyID = 1 set stop $loss 420 BUY c PERPOINT AT MARKET 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"[14,2,1] c8 = (close < indicator4) indicator7 = RSI[14](close) c9 = (indicator7 < 30) IF c8 and c9 AND not onmarket THEN StrategyID = 2 BUY c PERPOINT AT MARKET ENDIF c10= (indicator7 > 50) IF c10 THEN SELL AT MARKET ENDIF ENDIF graph StrategyID

  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

  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 AND Not OnMarket THEN StrategyID = 1 set stop $loss 420 BUY c PERPOINT AT MARKET 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"[14,2,1] c8 = (close < indicator4) indicator7 = RSI[14](close) c9 = (indicator7 < 30) IF c8 and c9 AND not onmarket THEN StrategyID = 2 BUY c PERPOINT AT MARKET ENDIF c10= (indicator7 > 50) IF c10 THEN SELL AT MARKET ENDIF ENDIF     graph StrategyID

   

  

  AleksLi

  Participant

  Topics: 3

  Replies: 13

  Been thanked: 1 time
  02/09/2021 at 3:55 PM #160827
  robertogozzi

  I can’t find your issue on BITCOIN Daily, there’s nothing happening on Feb. 18th 2018. A long trade is opened on the 15th and closed on the 22nd. I think it’s a different instrument, I have XBTUSD Bitcoint (E1).

  I still can’t understand what your issue is.

  https://www.prorealcode.com/topic/multiple-strategies-within-one-trading-system/#post-41278

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16472

  Been thanked: 3643 times
• Author
  Posts