Opening Stop Order at 1 Bar High & Position Size Calculation

s00071609 · Sun, 22 Sep 2019 02:59:28 +0000

I have just started to learn Pro Real code and unfamiliar with lots of stuff. All I am trying to do at this stage is automate order placement. I prefer stop orders rather than market order. I have managed to put together the code but I have few things that I am not sure about. i want a buy stop order at 1 Bar high – the code i have probably does the job but my question is what if the previous bar closed lower than current price. Brokers need the stop orders to be certain distance from the market price (for example AUDNZD need quite a large distance for stop orders). What do i do to get around this? The below code has money management section, I have the STOP LOSS level set at low of the recent few bars. I want the position size to be calculated based on this STOP LOSS Size. If the low of the previous bar is 10 pips, the i want the position size to be based on this risk. And if it is 15 pips, it will give smaller position size. I have used StopLoss = Close – LL . Here I am assuming that we are calculating pips by getting the difference in close price and the stop level LL. But i think there is some problem with this as the resulting position size i am getting does not look accurate. To be clearer – if my max risk amount is $50, I want to buy as much quantity as I can while i place the stop at LL as long as the risk is still $50. Because the stop level for each trade will be different – some large and some small allowing different quantities to be ordered, how can i make the code work. Would it be possible to trail the stop level to the low of each stochastic swing? Trailing done after the recent high is taken out following stochastic bullish reversal. After trailing it for 2 stochastic swings, then trail the stop to 1 Bar Low position. Please note that the code below is for Long entry only. // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions timeframe(Daily) indicator1 = Stochastic[5,3](close) indicator2 = Average[3](indicator1) indicator0 = Average[3](Stochastic[5,3](close)) c1 = (indicator1 > indicator2) c0 = (indicator0 < 50) timeframe(1 hour, updateonclose) indicator3 = Stochastic[5,3](close) indicator4 = Average[3](indicator3) c2 = (indicator3[3] > indicator4) indicator5 = Average[3](Stochastic[5,3](close)) c3 = (indicator5 > 25) indicator6 = Average[3](Stochastic[5,3](close)) c4 = (indicator6 < 60) LL = lowest[6](low)-pipsize BARHIGH = High [1] + pipsize*3 REM Money Management Capital = 5000 Risk = 0.01 StopLoss = Close - LL // Could be our variable X REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) IF c0 AND c1 AND c2 AND c3 AND c4 THEN Buy Positionsize CONTRACT AT BARHIGH STOP Set Stop loss LL Set target profit averagetruerange[14]*20 ENDIF

This topic has 18 replies, 4 voices, and was last updated 4 years ago by s00071609.

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10/17/2019 at 11:40 PM #110438

s00071609

ok thanks i will check that out. In process of checking orders being executed at spots it should not. I have another question, these are the MACD codes used for Daily and 4Hour TF and I have graphed them,

I have attached an image that shows, MACDDxxx-SIGNALDxxx as negative (which tells why the order was accepted), but shouldn’t it have been positive, ie >0. MACD line is above signal line and it is a bullish setup for daily TF.

I am using updateonclose for both time frames. Is there something I am missing out?

Timeframe (4 Hour, updateonclose)
//Filters
MACDD1 = MACD[12,26,9](close)
SIGNALD1 = ExponentialAverage[9](MACDline[12,26,9](close))
MACDFILTER1= MACDD1 < SIGNALD1 //DO NOt enter if MACD is bearish

Timeframe (4 Hour, updateonclose)

//Filters

MACDD1 = MACD[12,26,9](close)

SIGNALD1 = ExponentialAverage[9](MACDline[12,26,9](close))

MACDFILTER1= MACDD1 < SIGNALD1 //DO NOt enter if MACD is bearish

TImeframe (daily, updateonclose)
MACDDxx = MACD[12,26,9](close)
SIGNALDxx = ExponentialAverage[9](MACDline[12,26,9](close))
MACDFILTER= MACDDxx < SIGNALDxx //DO NOt enter if MACD is bearish

TImeframe (daily, updateonclose)

MACDDxx = MACD[12,26,9](close)

SIGNALDxx = ExponentialAverage[9](MACDline[12,26,9](close))

MACDFILTER= MACDDxx < SIGNALDxx //DO NOt enter if MACD is bearish

s00071609

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10/21/2019 at 3:18 PM #110725

s00071609

LL = lowest[BRL](low)
SL = MIN(abs(BARHIGH - LL)+2*pointsize,1.8*AverageTrueRangE[14]) 
BARHIGH = max(High [0] + pipsize*3,close + 4*pipsize) //10 x pipsize = 10 pip

LL = lowest[BRL](low)

SL = MIN(abs(BARHIGH - LL)+2*pointsize,1.8*AverageTrueRangE[14])

BARHIGH = max(High [0] + pipsize*3,close + 4*pipsize) //10 x pipsize = 10 pip

Hi,

I am using auto calculation of stop loss level. When I graph the above values I get some weird result and I am not able to figure out why.

When I graph

MIN(abs(BARHIGH - LL)+2*pointsize,1.8*AverageTrueRangE[14])

1	MIN(abs(BARHIGH - LL)+2pointsize,1.8AverageTrueRangE[14])

I get correct value of 14.75, but when I graph SL, i get 8.34 which makes no sense, the 1.8 ATR value is 19.7. As per the formula above, the SL value should be 14.75. I have attached an image to clarify.

I checked to see if there is SL value elsewhere but there is no other source I can see. Where I am getting this wrong?

Thanks

s00071609

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10/21/2019 at 3:57 PM #110736

robertogozzi

We need:

full code
instrument used
TF used

in order to replicate your trades.

robertogozzi

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10/21/2019 at 4:02 PM #110739

s00071609

Hi Robert

I finally figured it out, I had the graph codes at the bottom and those were under different time frame, so the values it gave and the spot where the SL calculation took place were different time frames and showed different values for variables such as ATR.

So looks fine now although it gave such a headache. Thank you

s00071609

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