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Short Orders execution on Long only strategy

Bi · 2020-05-05T09:41:46+00:00

Hi I am trying to build a long only strategy where I have the below trade management rules. StopLoss set at 1 ATR (14) First Target set at 1 ATR(14) Trailing stop starting at 2 ATR(14) and trailing step at 1.5 ATR(14) My StopLoss, First target and trailing seems to work but for some weird reason system is opening short positions even though I have no Short orders. The only sell orders I have exit ones, I tried add the code “Longonmarket” as well as “Countofpositions” still I am getting short orders Much appreciate if you could let me know where I am going wrong please? // Definition of code parameters DEFPARAM CumulateOrders = TRUE // Cumulating positions deactivated // Conditions to enter long positions keltnersma = ExponentialAverage[20](close) keltnerpos1atr = keltnersma+ExponentialAverage[20](AverageTrueRange[1](close)*1) keltnerneg1atr = keltnersma+ExponentialAverage[20](AverageTrueRange[1](close)*-1) longindicator1 = Call Strategy01LongV1 longindicator2 = Call Strategy02LongV2 l1 = (longindicator1 = 1) l2 = (longindicator2 = 1) within1ATR = close >keltnerneg1atr and close<keltnerpos1atr //trade management lotsize = 2 //original position size Lot2Close =1 //close one lot while reaching first target stoploss = Averagetruerange[14](close)*SLFactor firsttarget= Averagetruerange[14](close)*PTFactor trailingstart = Averagetruerange[14](close)*2 trailingstep = Averagetruerange[14](close)*1.5 //trade entry and exits if l1 or l2 and within1ATR then Buy lotsize LOT AT MARKET SET STOP PLOSS stoploss endif //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN IF newSL=0 AND close-tradeprice(1)>=firsttarget THEN Sell lot2close LOT At Market newSL=tradeprice(1)+firsttarget ENDIF //first move (breakeven) IF newSL>0 AND close-newSL>=trailingstart THEN newSL = newSL+trailingstart ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //stop order to exit the positions IF Countofposition>0 and LONGONMARKET AND newSL>0 THEN SELL AT newSL STOP ENDIF (See attached strategy and code)

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ProOrder: Automated Strategies & Backtesting
Short Orders execution on Long only strategy

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05/05/2020 at 7:32 PM #130128 quote

Bi
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I tried that too but as this strategy can be considered as a reversal pattern it misses out on some big wins. I am in the search of a good filter, might give it a go with DEMA or MACD or even Aroon to see whether they make any difference. Still early stages, for me getting the trade management correct was the most important aspect of this strategy.

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Short Orders execution on Long only strategy

ProOrder: Automated Strategies & Backtesting

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Bi @mpscomail Participant

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This topic contains 15 replies,
has 3 voices, and was last updated by Bi
6 years, 5 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	05/05/2020
Status:	Active
Attachments:	2 files

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Short Orders execution on Long only strategy

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Short Orders execution on Long only strategy ProOrder: Automated Strategies & Backtesting

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Short Orders execution on Long only strategy

ProOrder: Automated Strategies & Backtesting