reducing stoploss timebased

Viewing 3 posts - 1 through 3 (of 3 total)
  • Author
    Posts
  • 01/14/2019 at 1:52 PM #88564 quote
    Paul
    Participant
    Master

    Hi

    If I run a intraday strategy it has to perform with a stoploss of 1%

    Still I like to reduce that, but not with standard optimisation.

    An idea I thought of is reducing it based on time.

    But if a trade continues to a new day, it starts again using the wrong stoploss.

    What is the best way to prevent that?

    Perhaps this may not be a good idea because it creates variables, but still I’am interested to see how it works out.

    set stop %loss sl

if reducestoploss then
If onmarket and  barindex > tradeindex then
if time = 100000 and (positionperf*100) > sl-(x*2) then
set stop %loss sl-(x*2)
endif
if time = 113000 and (positionperf*100) > sl-(x*3) then
set stop %loss sl-(x*3)
endif
if time = 133000 and (positionperf*100) > sl-(x*4) then
set stop %loss sl-(x*4)
endif
if time = 150000 and (positionperf*100) > sl-(x*5) then
set stop %loss sl-(x*5)
endif
endif
endif
    01/15/2019 at 8:42 AM #88649 quote
    Nicolas
    Keymaster
    Master
    Paul wrote:

    What is the best way to prevent that?

    Flag the date in a variable the first time you change the stoploss, and check if it has changed when you are on market.

    01/15/2019 at 12:38 PM #88670 quote
    Paul
    Participant
    Master

    Thanks for the usefull feedback! I was wrong in my approach.

    The code below should do the job.

    reducestoploss=1 ( 0=disabeld)

    // build-in exit
if not onmarket then
flag=0
endif

sl=1.00
x=0.1

if reducestoploss then
If onmarket then
if flag=0 and time = 100000 then
set stop %loss sl-(x*2)
flag=1
endif
if flag=1 and time = 113000 then
set stop %loss sl-(x*3)
flag=2
endif
if flag=2 and time = 133000 then
set stop %loss sl-(x*4)
flag=3
endif
if flag=3 and time = 150000 then
set stop %loss sl-(x*5)
flag=4
endif
endif
else
set stop %loss sl
endif
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reducing stoploss timebased


ProOrder: Automated Strategies & Backtesting

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Paul @micky75d Participant
Summary

This topic contains 2 replies,
has 2 voices, and was last updated by Paul
7 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/14/2019
Status: Active
Attachments: No files
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