ProRealTIme not respecting stop loss

• 03/05/2018 at 10:28 AM #64405
  grimweasel47

  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

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  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

  

  grimweasel47

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  03/05/2018 at 11:26 AM #64414
  Nicolas

  The ‘ATR’ variable is not defined anywhere in the code, so StopLoss = 0.5*ATR = 0.5*0 = 0

  Wrong copy/paste?

  

  Nicolas

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  03/05/2018 at 11:59 AM #64422
  grimweasel47

  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??

  

  grimweasel47

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  03/05/2018 at 12:12 PM #64428
  GraHal

  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??

  

  GraHal

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  03/05/2018 at 12:57 PM #64431
  Eric

  could it be some big temporary  spike in price?

  

  Eric

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  03/05/2018 at 1:12 PM #64432
  grimweasel47

  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.

  

  grimweasel47

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  03/05/2018 at 1:34 PM #64434
  GraHal

  Don’t you need

  Set Stop PLoss StopLoss

  1	Set Stop PLoss StopLoss

  Not

  set stop loss StopLoss

  1	set stop loss StopLoss

   

  

  GraHal

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  03/05/2018 at 3:43 PM #64459
  Nicolas

  Please give more details about the trade: pair, open time, closed time, price entry, stoploss value, etc..

  

  Nicolas

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  03/05/2018 at 5:27 PM #64467
  grimweasel47

  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)

  

  grimweasel47

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  03/05/2018 at 7:46 PM #64494
  grimweasel47

  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

  

  grimweasel47

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  03/05/2018 at 11:55 PM #64519
  GraHal

  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??

   

  

  GraHal

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  03/06/2018 at 9:57 AM #64544
  Nicolas

  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?

  

  Nicolas

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  03/06/2018 at 6:52 PM #64611
  grimweasel47

  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!

  

  grimweasel47

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  03/06/2018 at 10:17 PM #64627
  grimweasel47

  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

  

  grimweasel47

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  03/06/2018 at 11:44 PM #64633
  GraHal

  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?

   

  

  GraHal

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