Scale out strategy

• 04/13/2021 at 3:19 PM #166960
  Maidenfan78

  Hi guys, first post on this great forum. Just a quick question, I have made a strategy from a few bits of code found on this site. The strategy is ment to buy two contracts at entry conditions and set stoploss at 1.5xATR, then it is ment to sell 1 contract at the first profit target which is  1X ATR and also move the stoploss to breakeven/entry price, then sell the remining contract at exit condition. When running backtest I am having issues with the first contract not selling sometime. Anybody have any ideas. As you can tell by my code I am vey new to this.

  Thanks guys.

  Cheers.

   

  Scale out

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time. //DEFPARAM FLATBEFORE = 180000 // Cancel all pending orders and close all positions at the "FLATAFTER" time //DEFPARAM FLATAFTER = 080000 ONCE i1a = 60 ONCE i1d = 2.5 ONCE i1b = 23 ONCE i2a = 18 ONCE i2b = 40 ONCE i4a = 12 ONCE i4d = 1.5 ONCE i4b = 16 ONCE i5a = 7 ONCE i5b = 14 // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 6 // Conditions to enter long positions indicator1 = Average[i1a](close)+i1d*std[i1b](close) c1 = (close CROSSES OVER indicator1) indicator2 = MoneyFlowIndex[i2a] c2 = (indicator2 > i2b) IF (c1 AND c2) and OML = 0 AND not daysForbiddenEntry THEN BUY 2 CONTRACT AT MARKET PP=close OML=1 ENDIF if positionprice <> positionprice[1] then PP = positionprice endif // Conditions to enter short positions indicator4 = Average[i4a](close)-i4d*std[i4b](close) c4 = (close CROSSES OVER indicator4) indicator5 = MoneyFlowIndex[i5a] c5 = (indicator5 < i5b) IF (c4 AND c5) and OMS = 0 AND not daysForbiddenEntry THEN SELLSHORT 2 CONTRACT AT MARKET PPS = CLOSE OMS = 1 ENDIF if PositionPrice <> PositionPrice[1] then PPS = PositionPrice endif ////////////////////////////////////////////////////////////////////////// ////Scale out ////////////////////////////////////////////////////////////////////////// //resetting variables when no trades are on market ATRP = AverageTrueRange[14](close) //ATR for profit ATRS = AverageTrueRange[14](close) * 1.5 //ATR + multiplier for stoploss if not onmarket then priceexitShort = 0 PriceExitLong = 0 ProfitTargetShort = 0 ProfitTargetLong = 0 EntryPrice = 0 CurrentPrice = 0 SL = 0 endif //SHort scale out if shortonmarket then SL = ATRS //set stoploss at 1.5x ATR EntryPrice = TradePrice(1) CurrentPrice = Close[1] ProfitTargetShort = EntryPrice-ATRP if CurrentPrice <= ProfitTargetShort then PriceExitShort = CLose - ProfitTargetShort endif endif //Close 1 contract at first profit level if OMS = 1 and PriceExitShort>0 then SL = EntryPrice //set stoploss to breakeven EXITSHORT 1 CONTRACT AT MARKET OMS = OMS-1 endif //Close 2nd contract when PTL under over price indicator12, ignored, ignored, ignored = CALL "PRC_PerfectTrendLine 2"[7, 3] c10 = (indicator12 CROSSES UNDER close) if C10 then EXITSHORT AT MARKET OMS = 0 endif //Long scale out if longonmarket then SL = ATRS //set stoploss at 1.5x ATR EntryPrice = TradePrice(1) CurrentPrice = Close[1] ProfitTargetLong = EntryPrice+ATRP if CurrentPrice >= ProfitTargetLong then PriceExitLong = CLose + ProfitTargetLong endif endif //Close 1 contract at first profit level at 1xATR and set stoploss to brek vevn if OML = 1 and priceexitLong>0 then SL = EntryPrice //set stoploss to break even SELL 1 CONTRACT AT MARKET OML = OML -1 endif //Close 2nd contract when PTL crosses over price indicator5, ignored, ignored, ignored = CALL "PRC_PerfectTrendLine 2"[7, 3] //7,3 c4 = (indicator5 CROSSES OVER close ) IF C4 THEN sell at market OML = 0 ENDIF SET STOP LOSS SL //SET TARGET PROFIT AverageTrueRange

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time. //DEFPARAM FLATBEFORE = 180000 // Cancel all pending orders and close all positions at the "FLATAFTER" time //DEFPARAM FLATAFTER = 080000     ONCE i1a = 60 ONCE i1d = 2.5 ONCE i1b = 23 ONCE i2a = 18 ONCE i2b = 40 ONCE i4a = 12 ONCE i4d = 1.5 ONCE i4b = 16 ONCE i5a = 7 ONCE i5b = 14     // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 6   // Conditions to enter long positions indicator1 = Average[i1a](close)+i1d*std[i1b](close) c1 = (close CROSSES OVER indicator1) indicator2 = MoneyFlowIndex[i2a] c2 = (indicator2 > i2b)   IF (c1 AND c2) and OML = 0 AND not daysForbiddenEntry THEN BUY 2 CONTRACT AT MARKET PP=close OML=1 ENDIF   if positionprice <> positionprice[1] then PP = positionprice endif       // Conditions to enter short positions indicator4 = Average[i4a](close)-i4d*std[i4b](close) c4 = (close CROSSES OVER indicator4) indicator5 = MoneyFlowIndex[i5a] c5 = (indicator5 < i5b)   IF (c4 AND c5) and OMS = 0 AND not daysForbiddenEntry THEN SELLSHORT 2 CONTRACT AT MARKET PPS = CLOSE OMS = 1 ENDIF   if PositionPrice <> PositionPrice[1] then PPS = PositionPrice endif     ////////////////////////////////////////////////////////////////////////// ////Scale out ////////////////////////////////////////////////////////////////////////// //resetting variables when no trades are on market ATRP = AverageTrueRange[14](close) //ATR for profit ATRS = AverageTrueRange[14](close) * 1.5 //ATR + multiplier for stoploss   if not onmarket then priceexitShort = 0 PriceExitLong = 0 ProfitTargetShort = 0 ProfitTargetLong = 0 EntryPrice = 0 CurrentPrice = 0 SL = 0 endif   //SHort scale out if shortonmarket then SL = ATRS //set stoploss at 1.5x ATR EntryPrice = TradePrice(1) CurrentPrice = Close[1] ProfitTargetShort = EntryPrice-ATRP if CurrentPrice <=  ProfitTargetShort then PriceExitShort = CLose - ProfitTargetShort endif endif   //Close 1 contract at first profit level if OMS = 1 and PriceExitShort>0 then SL = EntryPrice //set stoploss to breakeven EXITSHORT 1 CONTRACT AT MARKET OMS = OMS-1 endif   //Close 2nd contract when PTL under over price indicator12, ignored, ignored, ignored = CALL "PRC_PerfectTrendLine 2"[7, 3] c10 = (indicator12 CROSSES UNDER close) if  C10 then EXITSHORT AT MARKET OMS = 0 endif   //Long scale out if longonmarket then SL = ATRS //set stoploss at 1.5x ATR EntryPrice = TradePrice(1) CurrentPrice = Close[1] ProfitTargetLong = EntryPrice+ATRP if CurrentPrice >=  ProfitTargetLong then PriceExitLong = CLose + ProfitTargetLong endif endif   //Close 1 contract at first profit level at 1xATR and set stoploss to brek vevn if OML = 1 and priceexitLong>0 then SL = EntryPrice //set stoploss to break even SELL 1 CONTRACT AT MARKET OML = OML -1 endif   //Close 2nd contract when PTL crosses over price indicator5, ignored, ignored, ignored = CALL "PRC_PerfectTrendLine 2"[7, 3] //7,3 c4 = (indicator5 CROSSES OVER close ) IF  C4 THEN sell at market OML = 0 ENDIF   SET STOP LOSS SL //SET TARGET PROFIT AverageTrueRange

   

  

  Maidenfan78

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  04/13/2021 at 6:19 PM #166973
  GraHal

  Maidenfan78 wrote:

  Anybody have any ideas.

  It could be to do with use of EntryPrice = TradePrice(1)?

  When 1 lot of a 2 lot position has exited then TradePrice(1) would equal to the exit price of the 1 lot … I think I am correct in saying ?

  After the 1 lot has exited, you would need to use  EntryPrice = TradePrice(2)?

  Best wait until somebody confirms I am correct in my assertion above … before you spend too much time changing your code?

  You can use GRAPH TradePrice(1) to check if what I say above is correct?  Be sure to let us know please.

  

  GraHal

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  04/13/2021 at 10:54 PM #167004
  Maidenfan78

  Thanks for yor time. I will try this and see how it goes.

  

  Maidenfan78

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  04/14/2021 at 3:40 PM #167070
  Maidenfan78

  Thnaks for the GRAPH tip, makes problem solving alot easier, had a few mistakes in the code.  One issue I have is the ATR stoploss and profit updating on every candle. Is there a way of taking the ATR value from the trade entry candle only?

  ATRP = AverageTrueRange[14](close) //ATR for inital profit short
  ATRS = AverageTrueRange[14](close) * 1.5 //ATR + multiplier for stoploss short

  SL = EntryPrice + ATRS //set stoploss at 1.5x ATR short

  The above code which I am using now changes the stop loss & profit every candle.

   

  Thanks.

  

  Maidenfan78

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  04/14/2021 at 4:29 PM #167072
  GraHal

  Maidenfan78 wrote:

  Is there a way of taking the ATR value from the trade entry candle only?

  Yes … include the ATR values within the … If Not Longonmarket (and Not Shortonmarket) Endif … statement for entry conditions.

  

  GraHal

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