Orders are closing as soon as they are opened

• 08/15/2018 at 11:13 AM #78255
  simeong

  robertogozzi wrote:

  Line 29 is not allowed (despite being documented), you cannot combine two kind of SL at the same time and, if you separate them on two lines the second line will overwrite the previous one!

  Your right I do apologise as I compared indicator 1 against indicator 1- when it should of been indicator 2. However I fixed this issue. So just to confirm the error is on the automated coding level and not at the indicator level ?

   

  Further I am using the 10 minute time frame. As you can see on the attachments

   

  Even when using the simplified creation tool(code below) I get the same error of orders closing as soon they they are placed.

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 143000 timeEnterBefore = time >= noEntryBeforeTime // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime // Conditions to enter short positions indicator2, indicator1 = CALL aSpec c1 = (indicator1 >= indicator2) IF c1 AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT 4 PERPOINT AT MARKET ENDIF // Conditions to exit short positions indicator4, indicator3 = CALL aSpec c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pTRAILING 14

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 143000 timeEnterBefore = time >= noEntryBeforeTime   // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime   // Conditions to enter short positions indicator2, indicator1 = CALL aSpec c1 = (indicator1 >= indicator2)   IF c1 AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT 4 PERPOINT AT MARKET ENDIF   // Conditions to exit short positions indicator4, indicator3 = CALL aSpec c2 = (indicator3 CROSSES UNDER indicator4)   IF c2 THEN EXITSHORT AT MARKET ENDIF   // Stops and targets SET STOP pTRAILING 14

  Thanks again for all the input.

  Regards,

  Simeon

  

  simeong

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  08/15/2018 at 11:37 AM #78264
  robertogozzi

  It seems to be working perfectly, always exiting due to the TRAILING stop. I embedded the indicator in the strategy (but this shouldn’t affect results):

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated currentHigh=High[0] previousHigh=High[1] currentClose=close[0] diffCurrentVSPreviousHigh=previousHigh-currentClose IF currentHigh>previousHigh THEN risingHigh=12 else risingHigh=2 ENDIF //return risingHigh,diffCurrentVSPreviousHigh noEntryBeforeTime = 143000 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime indicator2 = diffCurrentVSPreviousHigh indicator1 = risingHigh c1 = (indicator1 >= indicator2) c2 = (indicator1 CROSSES UNDER indicator2) IF c1 AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT 4 PERPOINT AT MARKET ENDIF IF c2 and shortonmarket THEN EXITSHORT AT MARKET ENDIF SET STOP pLOSS 20 pTRAILING 14

  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

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated currentHigh=High[0] previousHigh=High[1] currentClose=close[0] diffCurrentVSPreviousHigh=previousHigh-currentClose IF currentHigh>previousHigh THEN    risingHigh=12 else    risingHigh=2 ENDIF //return risingHigh,diffCurrentVSPreviousHigh noEntryBeforeTime = 143000 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime indicator2 = diffCurrentVSPreviousHigh indicator1 = risingHigh c1 = (indicator1 >= indicator2) c2 = (indicator1 CROSSES UNDER indicator2) IF c1 AND timeEnterBefore AND timeEnterAfter THEN    SELLSHORT 4 PERPOINT AT MARKET ENDIF IF c2 and shortonmarket THEN    EXITSHORT AT MARKET ENDIF SET STOP pLOSS 20 pTRAILING 14

   

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  simeong

  

  robertogozzi

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  08/15/2018 at 12:27 PM #78275
  simeong

  Hi Roberto,

  I cant thank you enough. Its great to know that my code works.

  When I did go through the losers , It seems the issue is still somewhat present as can be seen in the attachment below(I am not sure how clear it is so I have also typed them out below).

  Considering that the code works from a technical standpoint. Is this just a byproduct of the code(sometimes it will close orders as soon as they are opened) ?

  1 August OPEN: 20:50 CLOSE:20:50

  2 August OPEN: 14:50 CLOSE:14:50

  2 August OPEN: 15:00 CLOSE:15:00

  2 August OPEN: 17:40 CLOSE:17:40

  2 August OPEN: 17:50 CLOSE:17:50

  2 August OPEN:18:40 CLOSE:18:40

   

  Regards,

  Simone

   

  P.S the 2nd attachment showing a chart on  IG shows the corresponding price for the 2 August 17:40 close out. As I believe the order shouldn’t of closed as on the following 3 candles the current high is lower than the previous high.

   

   

   

   

   

   

   

   

   

   

   

   

   

  

  simeong

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  08/15/2018 at 12:52 PM #78280
  robertogozzi

  It works perfectly, I rarely experienced 0-bar trades, some are those you posted, but all of then are closed due to trailing stop.

   

  

  robertogozzi

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  08/15/2018 at 4:17 PM #78289
  simeong

  Hi Roberto,

  You are right. When I take away the ptrailing the orders don’t seem to close straight away.

  But as a trader it is very very rare for a stop to be hit in a second. ptrailing is points correct(because i set ‘ptrailing’ at 20 pips away from buy price) ?

  Anyway I thought it best to remove the ptrailing and find another solution as stops/limits seems to do more harm than good.

  Regards,

   

   

  

  simeong

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  08/15/2018 at 4:28 PM #78290
  robertogozzi

  simeong wrote:

  But as a trader it is very very rare for a stop to be hit in a second. ptrailing is points correct(because i set ‘ptrailing’ at 20 pips away from buy price) ?

  Yes, right.

  • $Trailing  = sets trailing stop in units of your currency
  • Trailing    = sets trailing stop as a difference in price (say 0.0015) away from the price
  • pTrailing  = sets trailing stop as a number of pips (say 15) away from the price

   

  

  robertogozzi

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  08/15/2018 at 5:11 PM #78296
  Nicolas

  Topic moved to ProOrder forum.

  FYI, trailing stop are not allowed for limited risk accounts, if your live or demo account is a limited risk one, the backtest behavior should reflect this limitation.

  

  Nicolas

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