Tick-by-tick mode sell when I’m up 3 points

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  • 08/14/2020 at 4:04 PM #141644 quote
    epacman17
    Participant
    New

    I have an issue backtesting a strategy where I buy at a certain time for example 12:00, and I want to sell when I’m up 3 points. I’s not uncommon that this happens for a brief period within the candlestick, but in those cases the positions doesn’t seem to close (in the backtest). Instead the sell ordered is performed when the next candle starts, at whatever price the instrument is at then. Isn’t the tick-by-tick mode designed for this very purpose? Because it doesn’t seem to make a difference at all for my backtest.

    08/14/2020 at 4:54 PM #141645 quote
    robertogozzi
    Moderator
    Master

    You can use a pending order, once entered, to exit after 3 pips:

    IF MyConditions AND Not OnMarket THEN
   BUY 1 Contract at Market
   SELL AT close + (3 * pipsize) LIMIT
   SET STOP pLOSS 50
ENDIF

    but it’s very unlikely the broker allows to enter a pending order that close to the current price!

    If you use a, say, 5-minute TF, you could take advantage of the Muti Time Frame support and  check your profit on a low TF, say 10-second TF, and exiting at market instead of placing a pending order:

    TIMEFRAME(5 minute,UpdateOnClose)
MyConditions = .........
IF MyConditions AND Not OnMarket THEN
   BUY 1 Contract at Market
   SET STOP   pLOSS   50  //better to always set a SL
   SET TARGET pPROFIT 10  //10 pips should meet the broker's distance requiremnents for most of the day
ENDIF
TIMEFRAME(default)        //be it 1-minute or any lower TF (provided 5-minute is a multiple of it, for instance a 16-second TF cannot have 5-minute as a multiple)
IF close >= (TradePrice + 3 * pipsize) THEN  //exit when desired profit is reached
   SELL AT MARKET
ENDIF
    08/16/2020 at 1:10 PM #141728 quote
    Nicolas
    Keymaster
    Master

    Code is always read at candle close, so your SELL instruction is therefore read and executed one bar later if your 3 points condition is fulfilled. Tick by tick is used to test price level intra candle.

    Despite the excellent code that Roberto has shared, why not just using a target profit of 3 points directly attached to your order?

    if myconditions then 
 buy 1 contract at market 
 set target pprofit 3
endif
    08/17/2020 at 5:40 PM #141870 quote
    epacman17
    Participant
    New

    Ah, I may have been a bit stupid and forgotten about the pprofit function. It seems to do the trick. 🙂 Thanks a lot guys for your input and the clarification of the tick-by-tick functionality.

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Tick-by-tick mode sell when I’m up 3 points


ProOrder: Automated Strategies & Backtesting

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epacman17 @epacman17 Participant
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This topic contains 3 replies,
has 3 voices, and was last updated by epacman17
5 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/14/2020
Status: Active
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