US500 system doesn’t take any trades

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  • #188815 quote
    Khaled
    Participant
    Veteran

    Hello, I’m testing this sysetm on DJ and SP500. It takes frequent trades on DJ, but none on the SP500 (1euro/point). When I plot the Signals for SP500 on an indicator (screenshot below), I can see multiple Signals over the last few days, but no trades. I’m with IG… Orders are AT MARKET so it should work… Is there something linked to the broker settings? Position size, etc.

    Any clue on what’s wrong please?

    Thanks

    -------------------------------------------------------------------------
    // Code principal : 220225 SwingLine LMA
    //-------------------------------------------------------------------------
    DEFPARAM CUMULATEORDERS = FALSE
    
    ONCE PTK = 3.0
    ONCE SL = 0.3
    ONCE STB = 24.0
    ONCE TP = 1.7
    ONCE periodLMA = 44.0
    TIMEFRAME(1 hour)
    
    //PRC_SwingLine Ron Black | indicator
    if upsw=1 then
    if high>hH then
    hH=high
    endif
    if low>hL then
    hL=low
    endif
    
    if high<hL then
    upsw=0
    lL=low
    lH=high
    endif
    endif
    
    if upsw=0 then
    if low<lL then
    lL=low
    endif
    if high<lH then
    lH=high
    endif
    
    if low>lH then
    upsw=1
    hH=high
    hL=low
    endif
    endif
    
    if upsw=1 then
    swingline=hL
    else
    swingline=lH
    endif
    
    LMA=2*weightedaverage[periodLMA](close)-average[periodLMA](close)
    SmoothLMA=weightedaverage[periodLMA](LMA)
    
    Long=0
    Short=0
    
    Long = close>open and close>close[1] and close>open[1] and close>hL and hL>hL[1] and close>LMA and LMA>LMA[1]
    Short = close<open and close<close[1] and close<open[1] and close<lH and lH<lH[1] and close<LMA and LMA<LMA[1]
    
    TIMEFRAME(DEFAULT)
    
    nLots = round((2000+STRATEGYPROFIT)/(close*.5*.1),1)//round(33031/4258,1)
    
    IF NOT LongOnMarket AND Long THEN
    BUY nLots CONTRACTS AT MARKET
    ENDIF
    IF NOT ShortOnMarket AND Short THEN
    SELLSHORT nLots CONTRACTS AT MARKET
    ENDIF
    
    // Conditions pour fermer une position acheteuse
    If LongOnMarket AND Short THEN
    SELL AT MARKET
    SELLSHORT nLots CONTRACTS AT MARKET
    ENDIF
    IF ShortOnMarket AND Long THEN
    EXITSHORT AT MARKET
    BUY nLots CONTRACTS AT MARKET
    ENDIF
    
    // Stops et objectifs : entrez vos stops et vos objectifs ici
    SET STOP %LOSS SL
    SET TARGET %PROFIT TP
    
    ///2 BREAKEAVEN///////////
    once breakeaven = 1//1 on - 0 off
    //STB = 30//how much pips/points in gain to activate the breakeven function?
    //PTK = 5 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated (beware of spread)
    startBreakeven = STB
    PointsToKeep = PTK
    Distance = 2.5
    //reset the breakevenLevel when no trade are on market
    if breakeaven>0 then
    IF NOT ONMARKET THEN
    breakevenLevel=0
    ENDIF
    // --- BUY SIDE ---
    //test if the price have moved favourably of "startBreakeven" points already
    IF LONGONMARKET AND close-positionprice>=startBreakeven*pipsize THEN
    //calculate the breakevenLevel
    breakevenLevel = positionprice+PointsToKeep*pipsize
    ENDIF
    
    //place the new stop orders on market at breakevenLevel
    IF breakevenLevel>0 THEN
    SELL AT (breakevenLevel-distance) STOP
    ENDIF
    // --- end of BUY SIDE ---
    
    IF SHORTONMARKET AND positionprice-close>startBreakeven*pipsize THEN
    //calculate the breakevenLevel
    breakevenLevel = positionprice-PointsToKeep*pipsize
    ENDIF
    //place the new stop orders on market at breakevenLevel
    IF breakevenLevel>0 THEN
    EXITSHORT AT (breakevenLevel+distance) STOP
    ENDIF
    endif
    
    Capture-décran-2022-02-25-à-09.38.03.png Capture-décran-2022-02-25-à-09.38.03.png
    #188817 quote
    GraHal
    Participant
    Master

    Have you tried raising position size, i.e. from 1 to 2 or more?

    Khaled thanked this post
    #188818 quote
    Khaled
    Participant
    Veteran

    Hi Grahal,

    The current SP500 price is 4240. Initial position size is defined 2000eur/(close*.5*.1) = 9.4, so much higher than 1.

    Thanks

    GraHal thanked this post
    #189104 quote
    Khaled
    Participant
    Veteran

    For those who have the same problem… The issue is with the value per point.

    With IG France, we have US 500 at 1eur/point, $50/point and $250/point. The Algos don’t seem to work on the first category (1eur/point), irrespective of the number of contracts. I tested on $50 and $250 and it works.

    #189111 quote
    PeterSt
    Participant
    Master

    Does the 1 euro pp also does not trade with e.g. 5 contracts ? (or 50 to compare more realistically)

    Btw, in the Netherlands we also have 250, 50 and 1. But yesterday I noticed that the 1 is somewhat harder to find ?

    #189113 quote
    PeterSt
    Participant
    Master

    But yesterday I noticed that the 1 is somewhat harder to find ?

    And the 1 is the one giving me the 500 error when backtesting with 1M history ??
    (on your “Array” system, Khaled, with or without arrays)

    #189114 quote
    Khaled
    Participant
    Veteran

    Hi Peter, for 1 eur/contract, I tried two options:

    • variable lot size : (2000+strategyprofit)/(close*.5*.1) –> 8 lots and more
    • fixed at 10 contracts

    and both don’t work at 1eur/contract. However, same Algo, works with $50 and $250.

    with IG France, there is no 5eur/point.

    #189116 quote
    Khaled
    Participant
    Veteran

    Maybe IG is limiting data access on 1eur/pp because not profitable for them.

    For the $50/pp contract, the min lot size allowed by IG France is 0.2.

    Let’s say, you want to trade with 5000euros with US 500 price at 4400.

    • 1eur/pp, you can trade 5000/(4400*.5*.1) = 22.7 lots
    • $50/pp, you can trade 5000/(4400*.5*.1*50) = 0.45 lots (higher than the min of 0.2)

    So the min required deposit to trade US500 with Algo is $2200 (4400*$50*.5*.1*.2), equivalent to 1964 euros

    We can still trade US500 at 1eur/pp manually

    Capture-décran-2022-03-01-à-08.52.09.png Capture-décran-2022-03-01-à-08.52.09.png
    #189118 quote
    PeterSt
    Participant
    Master

    Couldn’t it be related to the slippage somehow ?
    I merely refer to a psychological thing, where with manual trading we would be able to directly see what we lose at the exit because of that, while with AutoTrading you wouldn’t understand a hoot of it, afterwards.
    Otoh, not sure how the slippage would be different with higher values (more contracts).

     

    Maybe IG is limiting data access on 1eur/pp because not profitable for them.

    How can anything not be profitable when earning by the spread ? If it is payed by commission (where there’s a threshold) then alas.
    Still there could be something like too much overhead (exchange etc. needs to be payed). But not with AutoTrade only …

    … learning learning learning …

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US500 system doesn’t take any trades


ProOrder: Automated Strategies & Backtesting

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Khaled @khaled Participant
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This topic contains 8 replies,
has 3 voices, and was last updated by PeterSt
3 years, 11 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/25/2022
Status: Active
Attachments: 2 files
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