Script stops buying in high volume or sudden movements

• 09/11/2019 at 4:33 PM #107219
  SIMONIS

  Hi,

  I need urgent help on this. My scripts start stopping during high volume in a market or sudden up & down movements.

  I run this script with a time interval of 1 min. Every time there is a high volume the script stops buying or selling. It does not stop it just does not open a new position. I have run in the test environment with different time intervals and also these scripts stop at a high volume, like with an opening of a trading window.

  Thanks for your help

   

  Greeting, Hubert Simonis

   

  Russell 2000 1 min script - stop with high volume or sudden movements

  DEFPARAM CumulateOrders = FALSE // INPUT STARTTIME = 000000 ENDTIME = 220000 EURO = 1.10415 EXPOEURO = 7500 PRO = 0.1 LOS = 0.2 // CALCULATIONS MAXLOSS = ((EXPOEURO / 100) * -1) EXPOSURE = (EXPOEURO * EURO) TRAIL = LOS * (EXPOSURE /100) NUMBEROFCONTRACTS = (EXPOSURE / Open ) * (1 / POINTVALUE) // CONDITIONS Condition0 = not onmarket and strategyprofit = 0 Condition1 = not onmarket and positionperf(1) >= 0 and longonmarket[1] Condition2 = not onmarket and positionperf(1) < 0 and shortonmarket[1] Condition3 = not onmarket and positionperf(1) < 0 and longonmarket[1] Condition4 = not onmarket and positionperf(1) >= 0 and shortonmarket[1] Condition5 = strategyprofit < MAXLOSS Condition6 = currenttime >= starttime and currenttime <=endtime if Condition0 and Condition6 or Condition1 and Condition6 or Condition2 and Condition6 then Buy NUMBEROFCONTRACTS CONTRACTS AT MARKET endif if Condition3 and Condition6 or condition4 and Condition6 then SELLSHORT NUMBEROFCONTRACTS CONTRACTS AT MARKET endif if Condition5 then QUIT endif // STOPS SET STOP $TRAILING TRAIL SET TARGET %PROFIT PRO

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  DEFPARAM CumulateOrders = FALSE   // INPUT   STARTTIME = 000000   ENDTIME = 220000   EURO = 1.10415   EXPOEURO = 7500   PRO = 0.1 LOS = 0.2   // CALCULATIONS   MAXLOSS = ((EXPOEURO / 100) * -1)   EXPOSURE = (EXPOEURO * EURO)   TRAIL = LOS * (EXPOSURE /100)   NUMBEROFCONTRACTS = (EXPOSURE / Open ) * (1 / POINTVALUE)   // CONDITIONS   Condition0 = not onmarket and strategyprofit = 0 Condition1 = not onmarket and positionperf(1) >= 0 and longonmarket[1] Condition2 = not onmarket and positionperf(1) < 0 and shortonmarket[1] Condition3 = not onmarket and positionperf(1) < 0 and longonmarket[1] Condition4 = not onmarket and positionperf(1) >= 0 and shortonmarket[1] Condition5 = strategyprofit < MAXLOSS Condition6 = currenttime >= starttime and currenttime <=endtime   if Condition0 and Condition6 or Condition1 and Condition6 or Condition2 and Condition6 then   Buy NUMBEROFCONTRACTS CONTRACTS AT MARKET   endif   if Condition3 and Condition6 or condition4 and Condition6 then   SELLSHORT NUMBEROFCONTRACTS CONTRACTS AT MARKET   endif   if Condition5 then QUIT endif   // STOPS   SET STOP $TRAILING TRAIL   SET TARGET %PROFIT PRO

   

   

  

  SIMONIS

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  09/12/2019 at 9:23 AM #107324
  robertogozzi

  I can’t see any reference to VOLUME, is there any missing code?

  

  robertogozzi

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  09/12/2019 at 10:09 AM #107336
  SIMONIS

  Hi Robert,

  Thanks for your reply.

  There is no volume statement in the script. The uploaded script is the whole script.

  During a high volume it looks like orders get cancelled and no new order is created.

  The script continues to run but without any others in the market.

  Due to this I have no order when there is a nice rally.

  Please let me know any advise.

  

  SIMONIS

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  09/12/2019 at 10:15 AM #107338
  Nicolas

  Line 36 misses parenthesis for a correct test of any of the conditions.

  

  Nicolas

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  09/12/2019 at 10:42 AM #107342
  robertogozzi

  For Forex pairs IG does not return volumes, at present.

  Your calculations of your position size seems to be incorrect, yielding over 737 contracts!

  If you add these line at the end of your code:

  graph pro graph maxloss graph exposure graph trail graph numberofcontracts graph strategyprofit graph condition0 graph condition1 graph condition2 graph condition3 graph condition4 graph condition5 graph condition6

  1 2 3 4 5 6 7 8 9 10 11 12 13

  graph pro graph maxloss graph exposure graph trail graph numberofcontracts graph strategyprofit graph condition0 graph condition1 graph condition2 graph condition3 graph condition4 graph condition5 graph condition6

  you’ll be able to GRAPH all variables needed to debug your code to be able to detect errors, by watching the VARIABLES’ window in ProBackTest.

  The problem is not in spikes, but in some of your calculations.

   

   

   

  

  robertogozzi

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  09/12/2019 at 11:43 AM #107347
  SIMONIS

  Hi Robert and Nicolas,

  Big thank you for the tips (still learning how to code 🙂

  I am running the script on Russell 2000 and in this case the number of contract calculation is correct (0.53 contracts).

  The results of the script are quite good I would say.

  % Winning Trades            70%

  Gain / Loss                          1.17

  Time interval 1 min

  I would be surprised it the error is just the misses parenthesis but I have updated the script and run it in demo, so lets see what happens when Russell 2000 opens today (15:30 local time Netherlands).

  Yesterday evening I created a simple version of the script to see if that runs better.

  Would this script be ok ? Any tips ?

  Index Mix R2000 - SIMPLE v1

  //------------------------------------------------------------------------- // Main code : Index Mix R2000 - SIMPLE v1 //------------------------------------------------------------------------- DEFPARAM CumulateOrders = FALSE DEFPARAM FLATBEFORE = 000000 DEFPARAM FLATAFTER = 220000 Condition0 = not onmarket and strategyprofit = 0 Condition1 = not onmarket and positionperf(1) >= 0 and longonmarket[1] Condition2 = not onmarket and positionperf(1) < 0 and shortonmarket[1] Condition3 = not onmarket and positionperf(1) < 0 and longonmarket[1] Condition4 = not onmarket and positionperf(1) >= 0 and shortonmarket[1] if Condition0 or Condition1 or Condition2 then Buy 0.53 CONTRACTS AT MARKET endif if Condition3 or condition4 then SELLSHORT 0.53 CONTRACTS AT MARKET endif if strategyprofit < -75 then QUIT endif SET STOP $TRAILING 16.665 SET TARGET $PROFIT 8.333

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  //------------------------------------------------------------------------- // Main code : Index Mix R2000 - SIMPLE v1 //------------------------------------------------------------------------- DEFPARAM CumulateOrders = FALSE DEFPARAM FLATBEFORE = 000000 DEFPARAM FLATAFTER = 220000   Condition0 = not onmarket and strategyprofit = 0 Condition1 = not onmarket and positionperf(1) >= 0 and longonmarket[1] Condition2 = not onmarket and positionperf(1) < 0 and shortonmarket[1] Condition3 = not onmarket and positionperf(1) < 0 and longonmarket[1] Condition4 = not onmarket and positionperf(1) >= 0 and shortonmarket[1]   if Condition0 or Condition1 or Condition2 then   Buy 0.53 CONTRACTS AT MARKET   endif   if Condition3 or condition4 then   SELLSHORT 0.53 CONTRACTS AT MARKET   endif   if strategyprofit < -75 then QUIT endif   SET STOP $TRAILING 16.665   SET TARGET $PROFIT 8.333

  Greetings Hubert

   

   

  

  SIMONIS

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  09/12/2019 at 3:44 PM #107360
  SIMONIS

  Hi,

  Update after the Russell 2000 trading window opening of today ; only the scripts that used the 5 sec timeframe survived the first few hours. Rest stopped opening orders.

  I am fine with the 5 sec interval but i am still wondering how this is possible, any thoughts ?

  I am updated my code in the following way.

  Any tips are highly appreciated. Many thanks

  Russell 2000 short & long - 5 sec timeframe

  DEFPARAM CumulateOrders = FALSE timeframe (5 seconds) // INPUT STARTTIME = 000000 ENDTIME = 220000 EURO = 1.105222 EXPOEURO = 7500 PRO = 0.1 LOS = 0.2 // CALCULATIONS MAXLOSS = ((EXPOEURO / 100) * -1.5) EXPOSURE = (EXPOEURO * EURO) TRAIL = LOS * (EXPOSURE /100) NUMBEROFCONTRACTS = (EXPOSURE / Open ) * (1 / POINTVALUE) // CONDITIONS Condition0 = not onmarket and strategyprofit = 0 Condition1 = not onmarket and positionperf(1) >= 0 and longonmarket[1] Condition2 = not onmarket and positionperf(1) < 0 and shortonmarket[1] Condition3 = not onmarket and positionperf(1) < 0 and longonmarket[1] Condition4 = not onmarket and positionperf(1) >= 0 and shortonmarket[1] Condition5 = strategyprofit < MAXLOSS Condition6 = currenttime >= starttime and currenttime < endtime if (Condition0 and Condition6) or (Condition1 and Condition6) or (Condition2 and Condition6) then Buy NUMBEROFCONTRACTS CONTRACTS AT MARKET endif if (Condition3 and Condition6) or (condition4 and Condition6) then SELLSHORT NUMBEROFCONTRACTS CONTRACTS AT MARKET endif if Condition5 then QUIT endif // STOPS SET STOP $TRAILING TRAIL SET TARGET %PROFIT PRO

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  DEFPARAM CumulateOrders = FALSE   timeframe (5 seconds)   // INPUT   STARTTIME = 000000   ENDTIME = 220000   EURO = 1.105222   EXPOEURO = 7500   PRO = 0.1 LOS = 0.2   // CALCULATIONS   MAXLOSS = ((EXPOEURO / 100) * -1.5)   EXPOSURE = (EXPOEURO * EURO)   TRAIL = LOS * (EXPOSURE /100)   NUMBEROFCONTRACTS = (EXPOSURE / Open ) * (1 / POINTVALUE)   // CONDITIONS   Condition0 = not onmarket and strategyprofit = 0 Condition1 = not onmarket and positionperf(1) >= 0 and longonmarket[1] Condition2 = not onmarket and positionperf(1) < 0 and shortonmarket[1] Condition3 = not onmarket and positionperf(1) < 0 and longonmarket[1] Condition4 = not onmarket and positionperf(1) >= 0 and shortonmarket[1] Condition5 = strategyprofit < MAXLOSS Condition6 = currenttime >= starttime and currenttime < endtime   if (Condition0 and Condition6) or (Condition1 and Condition6) or (Condition2 and Condition6) then   Buy NUMBEROFCONTRACTS CONTRACTS AT MARKET   endif   if (Condition3 and Condition6) or (condition4 and Condition6) then   SELLSHORT NUMBEROFCONTRACTS CONTRACTS AT MARKET   endif   if Condition5 then QUIT endif   // STOPS   SET STOP $TRAILING TRAIL   SET TARGET %PROFIT PRO

   

  

  SIMONIS

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  09/12/2019 at 4:17 PM #107364
  robertogozzi

  Line 3 is useless, just run it from a 5-second TF, since you are not using multiple TF’s.

  

  robertogozzi

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  09/12/2019 at 4:33 PM #107367
  robertogozzi

  ProOrder needs 1 bar to update the (Long/Short)OnMarket status, so when a trade opens and closes on the same bar your conditions are impossible to be verified.

  

  robertogozzi

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  09/12/2019 at 6:25 PM #107377
  SIMONIS

   

  Thanks!

  How could i resolve this ?

  check if the trade is in same bar ? Barindex = tradeindex ?

  

  SIMONIS

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  09/12/2019 at 8:15 PM #107387
  robertogozzi

  Check not be OnMarket now and not to have been the previous bar, still STRATEGYPROFIT is different because a trade opened and closed on the same bar:

  IF Not OnMarket AND Not OnMarket[1] AND StrategyProfit <> StrategyProfit[1] THEN . //do whatever you need to ENDIF

  1 2 3

  IF Not OnMarket AND Not OnMarket[1] AND StrategyProfit <> StrategyProfit[1] THEN . //do whatever you need to ENDIF

   

  

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  09/12/2019 at 9:24 PM #107390
  SIMONIS

  thanks, this helps for the performance of the last trade but I can’t define if this trade was long or short.

  Any suggestion ?

  Thanks, Hubert

  

  SIMONIS

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  09/13/2019 at 11:07 AM #107432
  SIMONIS

  Hi Robert,

  I worked till late on my script and finally I found it out.

  The system doesn’t get stuck anymore and the back test results are very good (last 2 weeks) but also in the very bear week of 26 August.

  Russel 2000 - 1 Min timeframe

  DEFPARAM CumulateOrders = FALSE // Russell 2000 // Timeframe 1 min // INPUT STARTTIME = 000000 ENDTIME = 220000 EURO = 1.10989 EXPOEURO = 7500 PRO = 0.04 LOS = 1.5 // CALCULATIONS MAXLOSS = ((EXPOEURO / 100) * -5) EXPOSURE = (EXPOEURO * EURO) TRAIL = LOS * (EXPOSURE /100) NUMBEROFCONTRACTS = (EXPOSURE / Open ) * (1 / POINTVALUE) // CONDITIONS NOTTRADING = not onmarket WINDOW = currenttime >= starttime and currenttime <= endtime SAMEBAR = tradeindex = barindex OTHERBAR = tradeindex < barindex MOREPROFIT = strategyprofit >= strategyprofit[1] LESSPROFIT = strategyprofit < strategyprofit[1] NOPROFIT = strategyprofit = 0 LASTLONG = longonmarket[1] LASTSHORT = shortonmarket[1] CURRENTshort = (Average[20](close) >= Average[50](close)) CURRENTlong = (Average[20](close) < Average[50](close)) FIRSTORDER = NOTTRADING and window and NOPROFIT CONTINUELONG = NOTTRADING and window and OTHERBAR and MOREPROFIT and LASTLONG SWITCHLONG = NOTTRADING and window and OTHERBAR and LESSPROFIT and LASTSHORT SWITCHSHORT = NOTTRADING and window and OTHERBAR and LESSPROFIT and LASTLONG CONTINUESHORT = NOTTRADING and window and OTHERBAR and MOREPROFIT and LASTSHORT CONTINUESAMEBAR = NOTTRADING and window and SAMEBAR CONTINUELONGINBAR = CONTINUESAMEBAR and CURRENTLONG CONTINUESHORTINBAR = CONTINUESAMEBAR and CURRENTSHORT if not firstorder and not continuelong and not switchlong and not switchshort and not continueshort and not continuelonginbar and not continueshortinbar then CONTINUELONG = NOTTRADING and window and OTHERBAR and CURRENTlong CONTINUESHORT = NOTTRADING and window and OTHERBAR and CURRENTshort endif if FIRSTORDER or CONTINUELONG or SWITCHLONG or CONTINUELONGINBAR then Buy NUMBEROFCONTRACTS CONTRACTS AT MARKET endif if SWITCHSHORT or CONTINUESHORT or CONTINUESHORTINBAR then SELLSHORT NUMBEROFCONTRACTS CONTRACTS AT MARKET endif if strategyprofit < MAXLOSS then QUIT endif // STOPS SET STOP $TRAILING TRAIL SET TARGET %PROFIT PRO //graph window //graph NOTTRADING //graph OTHERBAR //graph SAMEBAR //graph MOREPROFIT //graph LESSPROFIT //graph LASTLONG //graph LASTSHORT //graph FIRSTORDER //graph CONTINUELONG //graph SWITCHLONG //graph CONTINUELONGINBAR //graph SWITCHSHORT //graph CONTINUESHORT //graph CONTINUESHORTINBAR

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98

  DEFPARAM CumulateOrders = FALSE   // Russell 2000 // Timeframe 1 min   // INPUT   STARTTIME = 000000   ENDTIME = 220000   EURO = 1.10989   EXPOEURO = 7500   PRO = 0.04 LOS = 1.5   // CALCULATIONS   MAXLOSS = ((EXPOEURO / 100) * -5)   EXPOSURE = (EXPOEURO * EURO)   TRAIL = LOS * (EXPOSURE /100)   NUMBEROFCONTRACTS = (EXPOSURE / Open ) * (1 / POINTVALUE)   // CONDITIONS   NOTTRADING = not onmarket WINDOW = currenttime >= starttime and currenttime <= endtime SAMEBAR = tradeindex = barindex OTHERBAR = tradeindex < barindex MOREPROFIT = strategyprofit >= strategyprofit[1] LESSPROFIT = strategyprofit < strategyprofit[1] NOPROFIT = strategyprofit = 0 LASTLONG = longonmarket[1] LASTSHORT = shortonmarket[1]   CURRENTshort = (Average[20](close) >= Average[50](close)) CURRENTlong = (Average[20](close) < Average[50](close))   FIRSTORDER = NOTTRADING and window and NOPROFIT   CONTINUELONG = NOTTRADING and window and OTHERBAR and MOREPROFIT and LASTLONG SWITCHLONG = NOTTRADING and window and OTHERBAR and LESSPROFIT and LASTSHORT SWITCHSHORT = NOTTRADING and window and OTHERBAR and LESSPROFIT and LASTLONG CONTINUESHORT = NOTTRADING and window and OTHERBAR and MOREPROFIT and LASTSHORT   CONTINUESAMEBAR = NOTTRADING and window and SAMEBAR   CONTINUELONGINBAR = CONTINUESAMEBAR and CURRENTLONG CONTINUESHORTINBAR = CONTINUESAMEBAR and CURRENTSHORT   if not firstorder and not continuelong and not switchlong and not switchshort and not continueshort and not continuelonginbar and not continueshortinbar then CONTINUELONG = NOTTRADING and window and OTHERBAR and CURRENTlong CONTINUESHORT = NOTTRADING and window and OTHERBAR and CURRENTshort endif     if FIRSTORDER or CONTINUELONG or SWITCHLONG or CONTINUELONGINBAR then   Buy NUMBEROFCONTRACTS CONTRACTS AT MARKET   endif   if SWITCHSHORT or CONTINUESHORT or CONTINUESHORTINBAR then   SELLSHORT NUMBEROFCONTRACTS CONTRACTS AT MARKET   endif   if strategyprofit < MAXLOSS then QUIT endif   // STOPS   SET STOP $TRAILING TRAIL   SET TARGET %PROFIT PRO   //graph window //graph NOTTRADING //graph OTHERBAR //graph SAMEBAR //graph MOREPROFIT //graph LESSPROFIT //graph LASTLONG //graph LASTSHORT //graph FIRSTORDER //graph CONTINUELONG //graph SWITCHLONG //graph CONTINUELONGINBAR //graph SWITCHSHORT //graph CONTINUESHORT //graph CONTINUESHORTINBAR

   

  

  SIMONIS

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  09/13/2019 at 11:36 AM #107438
  robertogozzi

  With orders AT MARKET it’s easy, if you place a BUY order then you know it’s a LONG trade, if it’s a SELLSHORT then you place a SHORT order.

  If it’s a pending order you can reference STRATEGYPROFIT to tell whether it was a winning or losing strategy, then check the prior two TRADEPRICE to tell if it was a Long or a Short trade.

   

  

  robertogozzi

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  09/13/2019 at 12:26 PM #107447
  Vonasi

  How are you getting any results? It runs out of money and quits almost immediately. If I remove the QUIT then I can see that it just sucks the account dry.

  I tested with 0.3 spread and tick by tick on.

   

  

  Vonasi

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