Only trade if last trade was a win

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Viewing 7 posts - 1 through 7 (of 7 total)
  • 01/22/2018 at 9:57 AM #60132
    OscJoh

    Hi,

    As topic reads – I’m curious to try a system that only trades “for real” if the last trade would have been profitable. I found some threads (mainly this: https://www.prorealcode.com/topic/trading-equity-curve/) but I’m not sure how to code this feature in practice.

    The approach I assume, would be to track some sort of fake trades separately and evaluate that performance somehow.

    Any help is appreciated!

    Thanks

    01/22/2018 at 9:59 AM #60133
    jebus89

    Im just gonna say this, if you get a loss, what is your intentions? Pausing the algo and the manually turning it on when you decide is the right time?

    If your gonna start it again “manually” im going to assume that you have some criteria for when to start it again? If thats so, you can just code it in as a starting condition that has to be true/false..

    01/22/2018 at 10:59 AM #60139
    OscJoh

    It shouldn’t require manual handling, rather be fully automatic.

    If the last trade was a loss, it will not trade until a new win. To illustrate, something like this if # is loss and O is a win:
    O, O, O, O, #, #, O, # – 4 real trades.
    #,#,#,O,O,#,O,#,O,# – 1 real trade

    I have a system which seems to benefit doing this (in theory at-least). It’s an approach for trying to catch run-ups and limit draw-downs.

    01/22/2018 at 2:31 PM #60172
    jebus89

    Hmm, so it will not be possible (at least as far as i know) to code in “if the last trade WOUD HAVE BEEN a win”. Because you cant “run the system” live but without actually taking the trade (again, as far as i know..) and you cant get the system to “call” another system to check how its going.

    What you can do is do the same operation manually, by running 1 in demo and 1 live. and just pausing the live strategy until you see a win on the demo.

    Im pretty sure you can do this in python (?) but not in PRT.

     

     

    O, O, O, O, #, #, O, # – 4 real trades.  <– That dosnt make sense. #1 win, #2 win, #3 win, #4 win, #5 lost, #6 skip, #7 skip, #8  win. 6 trade, no?
    #,#,#,O,O,#,O,#,O,# – 1 real trade <– That dosnt make sense. #1 lost, #2 skip, #3 skip, #4 skip, #5 win, #6 lost, #7 skip, #8 lost, 4 trades, no?

    01/22/2018 at 2:55 PM #60179
    Vonasi

    I wonder if you could create an indicator that simulates the system and just sets a flag if the last set of conditions resulted in a favourable simulated exit price compared to simulated entry price. You could then call this indicator to check on the status of the last simulated trade. Just an idea but I fear there may be some complications such as the simulated entry being different to the actual entry etc that might stop it working.

    01/22/2018 at 3:32 PM #60182
    OscJoh
    jebus89 wrote:

    Hmm, so it will not be possible (at least as far as i know) to code in “if the last trade WOUD HAVE BEEN a win”. Because you cant “run the system” live but without actually taking the trade (again, as far as i know..) and you cant get the system to “call” another system to check how its going. What you can do is do the same operation manually, by running 1 in demo and 1 live. and just pausing the live strategy until you see a win on the demo. Im pretty sure you can do this in python (?) but not in PRT. O, O, O, O, #, #, O, # – 4 real trades. <– That dosnt make sense. #1 win, #2 win, #3 win, #4 win, #5 lost, #6 skip, #7 skip, #8 win. 6 trade, no? #,#,#,O,O,#,O,#,O,# – 1 real trade <– That dosnt make sense. #1 lost, #2 skip, #3 skip, #4 skip, #5 win, #6 lost, #7 skip, #8 lost, 4 trades, no?

    Sorry I was probably unclear and you’re right it’s 5 actual trades. Imagine there is a fake system keeping track of and performing all trades. Then there’s the “real” system deciding when to permit trades based on the fake system’s trades. Sort of like:
    Fake system trades all:
    a O,
    b O,
    c O,
    d O,
    e #,
    f #,
    g O,
    h #
    Real system looks at the above and trades like:
    a skip (no previous trade to compare),
    b trade (last was winner),
    c trade (last was winner),
    d trade (last was winner),
    e trade (last was winner but we lost this trade),
    f skip (last was loss),
    g skip (last was loss but this would have won)
    h trade (last was winner but we lost this trade)

    Leaves us with 5 trades the real system would do.

    Vonasi wrote:

    I wonder if you could create an indicator that simulates the system and just sets a flag if the last set of conditions resulted in a favourable simulated exit price compared to simulated entry price. You could then call this indicator to check on the status of the last simulated trade. Just an idea but I fear there may be some complications such as the simulated entry being different to the actual entry etc that might stop it working.

    Something along those lines was suggested in the other thread too. I’m just not sure where to start. Any code example would be appreciated 🙂

    01/22/2018 at 4:04 PM #60187
    Nicolas

    You can also simulate fake orders in ProOrder, even if calling an external indicator which simulate them would be more clear and easier to debug though. A real problem is the lack of variable array, but we could probably try to code something!

    Equity curve trading with this code, did you try?

    It is based on time periods, not on trade one.

     

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