Hi all.
I had Nicolas code my strategy that all seemed to work fine in forward testing but not so trading live. An FX trade closed today at 3.5x the expected stop loss distance when it should have been only 0.6*ATR(24). The code for the part of the strategy is given below:
if alreadytraded = 0 then
//money management
if case=1 then
StopLoss = 0.5*ATR
else
StopLoss = 0.6*ATR
endif
Risk = riskpercent/100
//calculate contracts
equity = balance + StrategyProfit
maxrisk = round(equity*Risk)
size = max(minlot,abs(round((maxrisk/StopLoss)/PointValue)*pipsize))
//in all cases put pending orders on market
while case <> 0 and daytrading=1 and (time >= activationtime and time <=LimitHour) do
if levelhi>0 then
buy size contract at levelhi stop
endif
if levello>0 then
sellshort size contract at levello stop
endif
wend
endif
// Friday 22:00 Close ALL operations.
IF onmarket and (DayOfWeek = 5 AND time >= 220000) THEN
SELL AT MARKET
EXITSHORT AT MARKET
ENDIF
//set target and profit
if onmarket then
if case = 1 then
set target pprofit 10
set stop loss StopLoss
endif
if case = 2 or case = 3 then
set target profit 2*ATR
set stop loss StopLoss
endif
endif
currentprofit = strategyprofit
In this instance the trade opened live but instead of closing at the stop loss (which was 0.6*ATR[24] or 18 pips) it didn’t close until 62 pips later, which resulted in a much bigger than expected loss? Any ideas please?
Grim
The ‘ATR’ variable is not defined anywhere in the code, so StopLoss = 0.5*ATR = 0.5*0 = 0
Wrong copy/paste?
Hi Nicolas
Thanks – the ATR is defined earlier in the code as atr=averagetruerange[24] but I didn’t want to paste the whole code as I had to pay you to produce it 😉
I backtested the system this morning in demo mode and it produced the correct stop loss. For some reason in the live trading it didn’t work and closed at near double the ATR instead of x0.6 ATR??
Just a thought and I’m sure you haven’t got it wrong … but are you running it on the correct / intended TimeFrame that the Algo is optimised for??
I have done that before … set one going and later realised I must have flicked to another TF??
EricParticipant
Master
could it be some big temporary spike in price?
Hi Guys – thanks for the replies.
Yes on the correct TF (H1) and there was no spike. Oddly it was in a much deeper loss during the 0800-0900 time but it seemed to close out when the H1 bar closed at 0900.
Please give more details about the trade: pair, open time, closed time, price entry, stoploss value, etc..
Hi Nicolas
EurJpy. Opened at 0800 at 12946 at £6 per pip. ATR was 31 at time so SL should have been 0.6*ATR[24] making 18. Actual trade closed out at 0900 at 13008. Should have only been £108 loss (18x£6) but actually closed with loss of £369 which was 62 pips (almost 2x ATR)
Hi GraHal
I thought set stop ploss was for pips ie stoploss =10 for example. When using a multiple of ATR do you not drop the p from loss?
Thanks
Mmm well I got confused ages ago re Set Stop Loss so I called IG and he said it is the units of currency in which the trade is executed??
set stop loss StopLoss is correct if we are using price units and not points/pips, and that’s the case with ATR.
Did you look at your orders lists (CTRL+O) to see what happened at that time?
Ok thanks Nicolas. Still bemused as to why it didn’t activate at all. The other pairs with the same code work, just with EurJpy this is the 2nd time this has happened!
Hi Guys
Is it possible in the code given above to close out partial positions? Could I set a target profit for 1*ATR for half the position and then ‘n’ ATR for the remaining half?
With this strategy I have noted that if I target profit at say 1ATR the % of winning trades is higher, but of course the gain is much lower. It’s finding the right balance between setting a profit target far enough away to make the strategy profitable, but not so far away that it loses. Is there a more effective volatility based metric than using ATR perhaps?
I’d be interested to see if closing x% of the position at x% target and leaving rest to run on a trailing ATR stop for example was more profitable? Any help appreciated!
Best
Grim
You can’t close partial positions, except with manual trading.
How about running two Algos same code but with half lot size in each and then try your 1*ATR for half the position and then ‘n’ ATR for the other?
