I have activated the strategy v2 on the 13 of april at 17.30 PM and so far it didnt open any position, but if I look at backtest starting from 12 of april I confirm I see 4 orders opened.
This morning all remaining April long positions closed and all long trades made a profit of over 2.500 Euro! This little algo shows the advantage of average down algos, accumulate cheap and wait patiently until market recover but unfortunately risk is high when this expection doesn’t occur
//SELLSHORT positionSize CONTRACT AT MARKET // is never run
ENDIF
If you comment out those lines you should notice no difference in the curve or final result of your back test.
I believe what the Reiner was trying to test for here is:
” If the larger position increment according to the monthly multiplier is too big to fit within the maxPositionSize headroom available then if the smallest (or starting) position increment were added to the total exposure in the maraket and that potential new exposure (sum of existing plus new smaller position) is less than or equal to the maximum allowed then add that smallest possible increment to our existing exposure. ”
These are lines 124 to 155.
The reason why that line would never execute is because it’s not possible for the alternative condition to be true as both are either true or untrue
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// for the long situation monthlyMultiplierLong would always be above or equal to 0
// so
(monthlyMultiplierLong>0)NOR(monthlyMultiplierLong<>0)// would never be true
// reverse for the short side
So in order to make that line actually run (lines 132 and line 151) you’d need to re-write the logic section in one way or another; eg:
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IFmonthlyMultiplierLong>=2THEN
// ... try bigger position increment
ELSIFmonthlyMultiplierLong=1THEN
// ... try smaller position increment
ENDIF
// but of course this completely changes the equity curve so question as to whether you'd want it.
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