Set Stop Loss from HI or Lo in breakout strategy

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Posts

05/30/2018 at 10:06 AM #71675 quote

Participant

Veteran

Hi all,

I am currently working an a Breakout strategy. It all seams to work fine but I am struggeling with the Stop loss and Take profit. I want the take profit to be set from my “HI” or “LO” in the breakout range instead of from the price that I get when the order is set.

The reason for this is that when there is a slippage, the order price will be different from the HI or LO. I still want to have the same profit target.

// --- settings
rangestart =  092500 //start of premarket schedule
rangeend = 093500 //end of premarket schedule
closeat = 115500 //time schedule to close all pending & atmarket orders
takeprofit = 5 //takeprofit in points
stoploss = 5 //stoploss in points
n = 1 //amount of lots/contracts/shares to open for each new order
// --- end of settings

ONCE LO = CLOSE*1000

if time>=closeat then
sell at market
exitshort at market
endif

if intradaybarindex=0 then
hi=0
lo=close*1000
endif

if time>=rangestart and time<rangeend then
hi=max(high,hi)
lo=min(low,lo)
trade = 0
ENDIF

IF trade = 0 and time>=rangeend THEN
if hi>0 then
BUY n SHARES at HI STOP
endif
if lo>0 then
SELLSHORT n SHARES at lo STOP
ENDIF
endif

if onmarket then
trade=1
endif

SET STOP pLOSS stoploss
SET TARGET pPROFIT takeprofit

Regards

05/30/2018 at 2:17 PM #71693 quote

Nicolas

Keymaster

Legend

Remove your lines 41 and 42 and replace them with the ones below: (not tested)

if longonmarket then 
 sell at hi+takeprofit*pointsize stop
 sell at hi-stoploss*pointsize limit 
endif
if shortonmarket then 
 exitshort at lo-takeprofit*pointsize stop
 exitshort at lo+stoploss*pointsize limit
endif

PastaPesto thanked this post

06/04/2018 at 11:36 AM #72199 quote

PastaPesto

Participant

Veteran

Thanks Nicolas!

That worked great. I used your code (only changed takeprofit to limit and stoploss to stop entry order) and it worked perfectly.

Thanks!

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Posts

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Set Stop Loss from HI or Lo in breakout strategy

ProOrder: Automated Strategies & Backtesting

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PastaPesto @pastapesto Participant

Summary

This topic contains 2 replies,
has 2 voices, and was last updated by PastaPesto
8 years, 4 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	05/30/2018
Status:	Active
Attachments:	No files