Pyramiding for S&P500 doesn’t work

This topic has 10 replies, 4 voices, and was last updated 3 years ago by PeterSt.

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01/16/2022 at 8:15 PM #185631

Sascha

Hi,

I would like to pyramid to an existing position, but I can’t make it work. Clearly I am making a mistake and I need some advice. I am trading the S&P500 on a 3 min chart.

Below is a code that doesn’t create a second position with Setup “SEMA8d”. The setup by itself works when I delete the other setup “SEMA21g” from the code.

Setup “SEMA8d” has a setup on 13.01.2022 at 21:06. The other setup “SEMA21g” is short and has an exit signal at the moment (21:06) when “SEMA8d” creates a short signal.

Cumulate order is set to True.

What do I need to change to be able to enter a new trade while another is just exiting?

Thanks.

Sascha

// Definition of code parameters
DEFPARAM CumulateOrders = True // Cumulating positions deactivated
DEFPARAM Preloadbars = 10000

timeframe(3 minutes, default)
ATR = Averagetruerange[14]
Sto14 = Stochastic[14,3](close)
Sto8 = Stochastic[8,3](close)
EMA8 = ExponentialAverage[8](close)
EMA21 = ExponentialAverage[21](close)
SMA10 = Average[10](close)
SMA50 = Average[50](close)

ignored, MFneutral, ignored = CALL "Momentum_F"
ignored, ignored, MFbear = CALL "Momentum_F"
ignored, ignored, ignored, PMFred, ignored = CALL "PowerMomentumFlag"
ignored, ignored, ignored, Red82150 = CALL "8-21-50"
ignored, PlusDecrease, ignored, ignored, ignored = CALL "PRC_TTM Squeeze 10.3"[20, 2, 20, 1.5, 0, 0]

//----------------------------------------------------------------------------------------------------
//--------------------------------------------------SHORT---------------------------------------------

SALLMACross = open>EMA8 AND close<EMA8 AND open>EMA21 AND close<EMA21 AND open>SMA10 AND close<SMA10 AND open>SMA50 AND close<SMA50

// AllMACross
SEMA21g = EMA21<EMA21[1] AND EMA21[1]>EMA21[2] AND EMA21[2]>EMA21[3] AND close<open AND SALLMACross  AND EMA8>SMA10 AND MFneutral=1 AND PlusDecrease<PlusDecrease[1] AND PlusDecrease>0 AND PlusDecrease[1]>0 AND Sto14>53 AND Sto8>44 AND Sto14<Sto14[1] AND Sto8<Sto8[1] AND EMA8>EMA21

// EMA8, SMA10 down 2bars
SEMA8d = EMA8<EMA8[1] AND EMA8[1]>EMA8[2] AND close<open AND open>EMA8 AND close<EMA8 AND open>SMA10 AND close<SMA10  AND MFbear=1 AND EMA8<EMA21 AND PMFred=1 AND Red82150=1  AND EMA8>SMA10  AND SMA10<SMA10[1] AND SMA10[1]<SMA10[2] AND EMA21<EMA21[1] AND EMA21[1]<EMA21[2] AND Sto14>29 AND Sto8>43  AND Sto14<Sto14[1] AND ADX[14]<40// AND close>SMA200 AND close-SMA200>1


IF (SEMA21g  ) AND NOT ShortOnMarket AND ATR>1.35  THEN
TradeRisk = 50*ATR //+ 50
ContractSize = 100/TradeRisk
SELLSHORT ContractSize SHARES AT market

ATR = Averagetruerange[14]

// Stops and targets
SET STOP LOSS 1.0*atr //+ 1.0*pointsize
SET TARGET PROFIT 25*atr //+ 0.5*pointsize
ENDIF


IF (SEMA8d ) AND  ShortOnMarket AND ATR>1.35   THEN
TradeRisk = 50*ATR //+ 50
ContractSize = 100/TradeRisk
SELLSHORT ContractSize SHARES AT market

ATR = Averagetruerange[14]

// Stops and targets
SET STOP LOSS 1.0*atr //+ 1.0*pointsize
SET TARGET PROFIT 1.5*atr //+ 0.5*pointsize
ENDIF


SBishop = ADX[14]<ADX[14][1] AND ADX[14][1]>ADX[14][2] AND ADX[14]>40

if shortonmarket AND tradeprice-lowest[10](low)>2 AND (EMA8 CROSSES OVER SMA10) AND (barindex-tradeindex(1)>3) AND NOT (SBishop AND close<open AND Sto14<Sto14[1] AND Sto14[1]>Sto14[2]) then
EXITSHORT at market
endif

if shortonmarket AND tradeprice-lowest[10](low)>2 AND (EMA8 CROSSES OVER SMA10) AND (barindex-tradeindex(1)>3) AND (SBishop AND close<open AND Sto14<Sto14[1] AND Sto14[1]>Sto14[2]) then
EXITSHORT at high + 0.5*pointsize stop
endif

// Definition of code parameters

DEFPARAM CumulateOrders = True // Cumulating positions deactivated

DEFPARAM Preloadbars = 10000

timeframe(3 minutes, default)

ATR = Averagetruerange[14]

Sto14 = Stochastic[14,3](close)

Sto8 = Stochastic[8,3](close)

EMA8 = ExponentialAverage[8](close)

EMA21 = ExponentialAverage[21](close)

SMA10 = Average[10](close)

SMA50 = Average[50](close)

ignored, MFneutral, ignored = CALL "Momentum_F"

ignored, ignored, MFbear = CALL "Momentum_F"

ignored, ignored, ignored, PMFred, ignored = CALL "PowerMomentumFlag"

ignored, ignored, ignored, Red82150 = CALL "8-21-50"

ignored, PlusDecrease, ignored, ignored, ignored = CALL "PRC_TTM Squeeze 10.3"[20, 2, 20, 1.5, 0, 0]

//----------------------------------------------------------------------------------------------------

//--------------------------------------------------SHORT---------------------------------------------

SALLMACross = open>EMA8 AND close<EMA8 AND open>EMA21 AND close<EMA21 AND open>SMA10 AND close<SMA10 AND open>SMA50 AND close<SMA50

// AllMACross

SEMA21g = EMA21<EMA21[1] AND EMA21[1]>EMA21[2] AND EMA21[2]>EMA21[3] AND close<open AND SALLMACross AND EMA8>SMA10 AND MFneutral=1 AND PlusDecrease<PlusDecrease[1] AND PlusDecrease>0 AND PlusDecrease[1]>0 AND Sto14>53 AND Sto8>44 AND Sto14<Sto14[1] AND Sto8<Sto8[1] AND EMA8>EMA21

// EMA8, SMA10 down 2bars

SEMA8d = EMA8<EMA8[1] AND EMA8[1]>EMA8[2] AND close<open AND open>EMA8 AND close<EMA8 AND open>SMA10 AND close<SMA10 AND MFbear=1 AND EMA8<EMA21 AND PMFred=1 AND Red82150=1 AND EMA8>SMA10 AND SMA10<SMA10[1] AND SMA10[1]<SMA10[2] AND EMA21<EMA21[1] AND EMA21[1]<EMA21[2] AND Sto14>29 AND Sto8>43 AND Sto14<Sto14[1] AND ADX[14]<40// AND close>SMA200 AND close-SMA200>1

IF (SEMA21g ) AND NOT ShortOnMarket AND ATR>1.35 THEN

TradeRisk = 50*ATR //+ 50

ContractSize = 100/TradeRisk

SELLSHORT ContractSize SHARES AT market

ATR = Averagetruerange[14]

// Stops and targets

SET STOP LOSS 1.0*atr //+ 1.0*pointsize

SET TARGET PROFIT 25*atr //+ 0.5*pointsize

ENDIF

IF (SEMA8d ) AND ShortOnMarket AND ATR>1.35 THEN

TradeRisk = 50*ATR //+ 50

ContractSize = 100/TradeRisk

SELLSHORT ContractSize SHARES AT market

ATR = Averagetruerange[14]

// Stops and targets

SET STOP LOSS 1.0*atr //+ 1.0*pointsize

SET TARGET PROFIT 1.5*atr //+ 0.5*pointsize

ENDIF

SBishop = ADX[14]<ADX[14][1] AND ADX[14][1]>ADX[14][2] AND ADX[14]>40

if shortonmarket AND tradeprice-lowest[10](low)>2 AND (EMA8 CROSSES OVER SMA10) AND (barindex-tradeindex(1)>3) AND NOT (SBishop AND close<open AND Sto14<Sto14[1] AND Sto14[1]>Sto14[2]) then

EXITSHORT at market

endif

if shortonmarket AND tradeprice-lowest[10](low)>2 AND (EMA8 CROSSES OVER SMA10) AND (barindex-tradeindex(1)>3) AND (SBishop AND close<open AND Sto14<Sto14[1] AND Sto14[1]>Sto14[2]) then

EXITSHORT at high + 0.5*pointsize stop

endif

Sascha

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01/16/2022 at 11:25 PM #185636

XORANDNOT

I can’t see right now why cumulation of orders does not work in your code, but all I can see is that you are using several times a code like “and not xxxx”. This is not the right syntax, but you need to write “and (not xxx)”, with brackets. This can make a huge difference, but it is probably not the reason why cumulation does not work.

XORANDNOT

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01/17/2022 at 12:52 PM #185686

Sascha

Thanks XORANDNOT for your comment. However it didn’t solve the problem.

But by accident I found out that it has something to do with the command “Exitshort at market”. When I delete the lines 60-62, the second trade at 21:06 is entered. But this is obviously not a solution as then the first trade wouldn’t exit when it’s supposed to (the exit is triggered at 21:06). I don’t understand why. Maybe entering a new position while at the same time an Exitshort command is triggered somehow prevents the next trade to be taken.

Anyone any idea?

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Midlanddave

Sascha

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01/17/2022 at 12:58 PM #185687

XORANDNOT

It could be that one position is closed by “exitshort” and another opened by a “sellshort” command at the same time. The net result is no change in position size and therefore nothing happens. Prorealtime adds up net position changes before placing any order. In this case, the old position with the old entry price will be kept.

XORANDNOT

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01/17/2022 at 1:16 PM #185694

PeterSt

Sacha, regarding what XORANDNOT just told, try to change all into something like this :

JustTraded = 0

If not JustTraded then   // This first one is for good habit.
  IF (SEMA21g  ) AND NOT ShortOnMarket AND ATR>1.35  THEN
    TradeRisk = 50*ATR //+ 50
    ContractSize = 100/TradeRisk
    SELLSHORT ContractSize SHARES AT market
    JustTraded = 1   // One per bar unless we explicitly want otherwise !
 
    ATR = Averagetruerange[14]
 
    // Stops and targets
    SET STOP LOSS 1.0*atr //+ 1.0*pointsize
    SET TARGET PROFIT 25*atr //+ 0.5*pointsize
  ENDIF
ENDIF   // Not JustTraded ?

If not JustTraded then
  IF (SEMA8d ) AND  ShortOnMarket AND ATR>1.35   THEN
    TradeRisk = 50*ATR //+ 50
    ContractSize = 100/TradeRisk
    SELLSHORT ContractSize SHARES AT market
    JustTraded = 1 

    ATR = Averagetruerange[14]
 
    // Stops and targets
    SET STOP LOSS 1.0*atr //+ 1.0*pointsize
    SET TARGET PROFIT 1.5*atr //+ 0.5*pointsize
  ENDIF
ENDIF   // Not JustTraded ?

// And so on !

JustTraded = 0

If not JustTraded then // This first one is for good habit.

IF (SEMA21g ) AND NOT ShortOnMarket AND ATR>1.35 THEN

TradeRisk = 50*ATR //+ 50

ContractSize = 100/TradeRisk

SELLSHORT ContractSize SHARES AT market

JustTraded = 1 // One per bar unless we explicitly want otherwise !

ATR = Averagetruerange[14]

// Stops and targets

SET STOP LOSS 1.0*atr //+ 1.0*pointsize

SET TARGET PROFIT 25*atr //+ 0.5*pointsize

ENDIF

ENDIF // Not JustTraded ?

If not JustTraded then

IF (SEMA8d ) AND ShortOnMarket AND ATR>1.35 THEN

TradeRisk = 50*ATR //+ 50

ContractSize = 100/TradeRisk

SELLSHORT ContractSize SHARES AT market

JustTraded = 1

ATR = Averagetruerange[14]

// Stops and targets

SET STOP LOSS 1.0*atr //+ 1.0*pointsize

SET TARGET PROFIT 1.5*atr //+ 0.5*pointsize

ENDIF

ENDIF // Not JustTraded ?

// And so on !

You will be the first to understand what is happening (= what you are doing). 🙂 Next the PRT parser will understand it as well.

Have fun !

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Sascha

PeterSt

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01/17/2022 at 2:13 PM #185702

Sascha

XORANDNOT wrote:

It could be that one position is closed by “exitshort” and another opened by a “sellshort” command at the same time. The net result is no change in position size and therefore nothing happens. Prorealtime adds up net position changes before placing any order. In this case, the old position with the old entry price will be kept.

That is exactly what I was assuming. Is there any way to solve this?

Sascha

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01/17/2022 at 2:22 PM #185709

XORANDNOT

Not in a direct way. You can however “remember” the new entry price of the new hypothetical position, and base all new exits (stop loss, take profit, trailing stop, etc.) on this price. Requires some coding work, however. Prorealtime will do all standard exit calculations with the old positionprice.

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Sascha

XORANDNOT

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01/17/2022 at 2:29 PM #185711

Sascha

Thanks PeterSt.

However I am a little confused by your adjustment. As we set JustTraded=0 and then the next if condition asks for “if not 0” (line 3 and 18) that means only to take a trade if JustTraded is greater than 0, it should never take a trade at all as my conditions in line 4 and 19 will never be used and therefore JustTraded would never be set to 1.

But in fact when I implement your suggestion nothing changes and the same trade is taken or not taken.

Sascha

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01/17/2022 at 2:33 PM #185714

Sascha

XORANDNOT wrote:

Not in a direct way. You can however “remember” the new entry price of the new hypothetical position, and base all new exits (stop loss, take profit, trailing stop, etc.) on this price. Requires some coding work, however. Prorealtime will do all standard exit calculations with the old positionprice.

Thanks. I guess this is a little bit too complicated for me to code for now. I would need to improve my coding skills first.

Sascha

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01/17/2022 at 2:52 PM #185721

robertogozzi

Sascha wrote:

Thanks XORANDNOT for your comment. However it didn’t solve the problem.

But by accident I found out that it has something to do with the command “Exitshort at market”. When I delete the lines 60-62, the second trade at 21:06 is entered. But this is obviously not a solution as then the first trade wouldn’t exit when it’s supposed to (the exit is triggered at 21:06). I don’t understand why. Maybe entering a new position while at the same time an Exitshort command is triggered somehow prevents the next trade to be taken.

Anyone any idea?

Because you enter a trade and close it immediately, before it is even entered. So it will never be entered.

I also want to point out that, in case of additional positions, TRADEDEPRICE(1) AND TRADEINDEX(1) will refer to the most recent position. To refer to the average price calculated by ProOrder, use POSTIONPRICE, instead.

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Sascha

robertogozzi

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01/17/2022 at 6:57 PM #185753

PeterSt

Sascha wrote:

However I am a little confused by your adjustment. As we set JustTraded=0 and then the next if condition asks for “if not 0” (line 3 and 18) that means only to take a trade if JustTraded is greater than 0, it should never take a trade at all

Haha, no … Look at this example :

JustTraded = 1

If not 1 then
  // Do some Trade
endif

JustTraded = 1

If not 1 then

// Do some Trade

endif

You are just not “digging” the reality about a variable name and assign it the correct value. And I must admit, the way you explain it I can’t even see where it is wrong, but it really is … wrong.

Thus my code above makes no sense but it shows you that only when not 1, you enter that trade. So again :

JustTraded = 0

If not 1 then 
  // Do some Trade 
endif

// It will enter a trade there, right ?
// So this will do too :

JustTraded = 0

If not JustTraded then  // Not JustTraded will be True here.
  // Do some Trade 
endif

// and :

JustTraded = 1

If not 1 then // It *IS* 1 here !! so the Not will give a false.
  // Do some Trade ... nah, no trade will be done.
endif

JustTraded = 0

If not 1 then

// Do some Trade

endif

// It will enter a trade there, right ?

// So this will do too :

JustTraded = 0

If not JustTraded then // Not JustTraded will be True here.

// Do some Trade

endif

// and :

JustTraded = 1

If not 1 then // It *IS* 1 here !! so the Not will give a false.

// Do some Trade ... nah, no trade will be done.

endif

Just try it. And you need to because else orders will cancel each other indeed.

And Sacha, you do know that your code is called at each candle occurring, right ?
And that your code is executed from top to bottom, sequentially ? –> This is why you need to this. Also :

If OnMarktet (etc.) only receives the proper status at the next bar(‘s calling). Thus

// No Position present at this moment.

SELLSHORT ContractSize SHARES AT market

If ShortOnMarket then   // This will really be false when the above was executed during the call of this bar !!
  // [...]
Endif

// No Position present at this moment.

SELLSHORT ContractSize SHARES AT market

If ShortOnMarket then // This will really be false when the above was executed during the call of this bar !!

// [...]

Endif

Then your Time(frame) elapses and then the If ShortOnMarket will be true. Not because of any SellShort once “again”, but because of that happening in the *previous* bar(‘s-call).

Lastly, looking at the Topic Title (pyramiding) … No offense meant (!), but I would advise not to attempt this when the basic principles are not 100% clear. Thus, please start out with

DEFPARAM CumulateOrders = False // Cumulating positions deactivated

1	DEFPARAM CumulateOrders = False // Cumulating positions deactivated

with the notice that this time the comment matches the code (your’s really doesn’t but that will be an old comment, I’m sure).
See what that brings you and how you will be able to buy and sell (Long and Short) with that. Covered that ? then some next steps. And my promise in advance : these aggregated orders are really not easy to do (I mean, track what’s going on when).

And still and always : have fun !

PeterSt

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