Setting Maximum Contracts in ProBackTest

SAMPANETTA · 2020-11-19T07:55:07+00:00

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

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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

Legend
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, 10 months ago.

Topic Details

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