US500 system doesn’t take any trades

• 02/25/2022 at 9:36 AM #188815
  Khaled

  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

  US500 not working

  ------------------------------------------------------------------------- // 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

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  ------------------------------------------------------------------------- // 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

   

  

  Khaled

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  02/25/2022 at 10:07 AM #188817
  GraHal

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

   

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  Khaled

  

  GraHal

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  02/25/2022 at 10:25 AM #188818
  Khaled

  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

  1 user thanked author for this post.

  GraHal

  

  Khaled

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  03/01/2022 at 8:18 AM #189104
  Khaled

  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.

  

  Khaled

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  03/01/2022 at 8:42 AM #189111
  PeterSt

  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 ?

  

  PeterSt

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  03/01/2022 at 8:46 AM #189113
  PeterSt

  PeterSt wrote:

  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)

  

  PeterSt

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  03/01/2022 at 8:46 AM #189114
  Khaled

  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.

  

  Khaled

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  03/01/2022 at 8:58 AM #189116
  Khaled

  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

  

  Khaled

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  03/01/2022 at 9:12 AM #189118
  PeterSt

  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).

   

  Khaled wrote:

  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 …

  

  PeterSt

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