Trailing stops remaining static when there are multiple positions

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  • #103725 quote
    Mike Boorman
    Participant
    Average

    Guys,

    It’s me again. Firstly, I would like to reiterate my thanks for the code you’ve helped me with so far. I’ve made significant money in the past couple of months and couldn’t have done it without you! 🙂

    But now I’ve noticed some discrepancies. I have given my friend the same bots and we have replicated the charts, and yet there are quite a few trades where he has exited at significantly different times having entered at the same time.

    Here is an example:

    -Both of us entered SHORT at 12,532
    -I exited at 12,332 on July 14, but he exited at 12,424 on July 15
    -My exit is shown on the chart in the first attachment
    -His is shown in the 2nd
    -The overview of the length of the trade is the third

    There are two things that are bothering me here.

    1. That my trade closed during the first bar of Sunday at 18:02, and yet you can clearly see the market was higher at 16:00 on Friday…. so why didn’t the stop kick in at that time on Friday?

    2. The vast disparity between me and my friend who was using the same bot. His stop only kicked in the following day and there’s almost a 100-point difference. It isn’t like the market kissed a high/low briefly and the bot failed to fire in a split second…. there are a vast amount of bars that closed higher than the one I exited at earlier.

    Could anyone kindly explain what might be going on here?

    Thanks in advance….

    PS: here is the code…

    Definition of code parameters
    DEFPARAM CumulateOrders = False // Cumulating positions deactivated
    StartTime = 080000
    LimitEntryTime = 110000
    daysForbiddenEntry= OpenDayOfWeek=1 OR OpenDayOfWeek=2 OR OpenDayOfWeek=4 OR OpenDayOfWeek=5 OR OpenDayOfWeek=6 OR OpenDayOfWeek=0
    
    sl= 133
    slmove = 5
    
    indicator1 = SAR[0.02,0.02,0.2]
    c1 = (open > indicator1)
    indicator2 = Average[20](close)+std[20](close)
    c2 = (open > indicator2)
    indicator4 = BollingerDown[20](close)
    c3 = (indicator1 > indicator4)
    indicator5 = ExponentialAverage[13](close)
    indicator6 = ExponentialAverage[13](close)
    c5 = (indicator5 >= indicator6[1])
    indicator7 = ExponentialAverage[8](close)
    indicator8 = ExponentialAverage[8](close)
    c7 = (indicator7 >= indicator8[1])
    
    
    
    IF not onmarket and c2 and c1 and c3 and c5 and c7 and time >=StartTime and time <=LimitEntrytime and not daysForbiddenEntry THEN
    BUY 1 PERPOINT AT MARKET
    slprice = close - sl
    sell at slprice stop
    ENDIF
    
    c11 = (open < indicator1)
    indicator12 = Average[20](close)-std[20](close)
    c12 = (open < indicator12)
    indicator14 = BollingerUp[20](close)
    c13 = (indicator1 < indicator14)
    c15 = (indicator5 <= indicator6[1])
    c17 = (indicator7 <= indicator8[1])
    
    
    
    IF not onmarket and c12 and c11 and c13 and c15 and c17 and time >=StartTime and time <=LimitEntrytime and not daysForbiddenEntry THEN
    SELLSHORT 1 PERPOINT AT MARKET
    slprice = close + sl
    exitshort at slprice stop
    ENDIF
    
    if longonmarket and high - sl > slprice + slmove then
    slprice = high - sl
    endif
    
    if shortonmarket and low + sl < slprice - slmove then
    slprice = low + sl
    endif
    
    if onmarket then
    sell at slprice stop
    exitshort at slprice stop
    endif
    My-exit.png My-exit.png His-exit.png His-exit.png Overview.png Overview.png
    #103730 quote
    Vonasi
    Moderator
    Master

    Have you checked your orders list to see if either of you had any rejected orders around that time? Maybe your strategies were working the same but communication issues between IG and PRT caused pending orders to not be placed on the market by one strategy.

    #103732 quote
    Mike Boorman
    Participant
    Average

    Yes, that has been checked. We both had a rejected order last month but not with this particular Wednesday bot.

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Trailing stops remaining static when there are multiple positions


ProOrder: Automated Strategies & Backtesting

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This topic contains 47 replies,
has 4 voices, and was last updated by Mike Boorman
6 years, 7 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 05/08/2019
Status: Active
Attachments: 8 files
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