Setting Maximum Contracts in ProBackTest

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  • 11/19/2020 at 8:55 AM #150919 quote
    SAMPANETTA
    Participant
    New

    Hey Crew,

    I am currently running the following hourly charts however on the ProBackTest it enters into a new contract every hour even if it is already in a position.

    I want to limit the strategy to being maximum 1 contract long or short at any given time and not continue to accumulate contracts.

    My current code is below. Does anyone know how to help with this?

    Cheers, Sam

    // Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Conditions to enter long positions
indicator1 = Average[120](close)
c1 = (close >= indicator1)

IF c1 THEN
BUY 1 CONTRACT AT MARKET
ENDIF

// Conditions to enter short positions
indicator2 = Average[120](close)
c2 = (close <= indicator2)

IF c2 THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF

// Stops and targets
SET STOP pTRAILING 30
    11/19/2020 at 10:25 AM #150929 quote
    robertogozzi
    Moderator
    Master

    Always use the ‘Insert PRT Code’ button when putting code in your posts to make it easier for others to read. Thank you 🙂

    As to your code, it’s impossible that “it enters into a new contract every hour even if it is already in a position“. To accomplish that you should replace line 2 by:

    DEFPARAM CumulateOrders = True

    So, did you already backtest it? How could you spot more than 1 position at a time?

    append this line to your code to monitor the number of positions accumulated:

    graph abs(CountOfPosition)
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Setting Maximum Contracts in ProBackTest


ProOrder: Automated Strategies & Backtesting

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SAMPANETTA @sampanetta Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by robertogozzi
5 years, 3 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 11/19/2020
Status: Active
Attachments: No files
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