Simple example needed: Buy / Sell (max 2 positions)

• 10/02/2018 at 7:53 AM #81737
  J Hancock

  Hi, I’m struggling to pick up the lingo – mainly the financial stuff as I’ve got programming experience (but not been trading much). Apologies therefore for some stupid questions.

  I’m looking for a very simple example that I can build on, e.g.:
  1. Open 2 positions: BUY and SELL
  2. If the BUY price goes up by X% compared to the opening rate, close the BUY position and then open another
  3. If the SELL price goes down by X% compared to the opening rate, close the SELL position and then open another
  4. If either position goes into the red by Y%, close it and then open another in the same direction

  I only want one open position in each direction at any given time to limit exposure.

  I tried the below but it didn’t seem to work (opened too many positions?):

  Test code

  Defparam cumulateorders = false n = 50 // Number of shares x = 10 // Profit y = 20 // Max loss // Only ever have one position open in each direction IF NOT LONGONMARKET THEN buy n shares at market ENDIF IF NOT SHORTONMARKET THEN sellshort n shares at market ENDIF // Close at profit or loss set target %profit x set stop %loss y

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

  Defparam cumulateorders = false   n = 50 // Number of shares x = 10 // Profit y = 20 // Max loss   // Only ever have one position open in each direction IF NOT LONGONMARKET THEN     buy n shares at market ENDIF IF NOT SHORTONMARKET THEN     sellshort n shares at market ENDIF   // Close at profit or loss set target %profit x set stop %loss y

  A few questions also:
  a) Is the order fee taken into account for profit or loss (the last two lines in my example)?
  b) I also can’t figure out why, when I use the ProBacktest, the timescale resolution drives the number of positions that get opened? I only want two (one in each direction) at any given time. What settings should I use to simulate this?
  c) Do I need to set restrictions around trading days, e.g. not to buy/sell on Saturdays or Sundays or will orders for these days just be ignored?

  Many thanks in advance for any pointers! Once I get up to speed I will of course share my success (fingers crossed) 🙂

  

  J Hancock

  Participant

  Topics: 1

  Replies: 0

  Been thanked: 0 times
  10/02/2018 at 10:27 AM #81749
  Nicolas

  a) No, orders in backtests are sent at mid level, order fees are added in the settings window manually.

  b) It is not possible to hedge order with a contrarian one with ProBacktest/ProOrder. You can only buy or sell at the same time in the same strategy. Code is also read once per bar, at its Close.

  c) Yes, with Date & Time instructions.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20866

  Been thanked: 4783 times
• Author
  Posts