Using True – cumulating positions

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  • 05/04/2019 at 9:27 AM #97650 quote
    Alun
    Participant
    Average

    When using True to activate cumulative positions, is there a simple way to limit the number of positions to a maximum?

    05/04/2019 at 9:43 AM #97651 quote
    robertogozzi
    Moderator
    Master

    COUNTOFPOSITION returns the number of open positions.

    COUNTOFLONGSHARES returns the number of open Long positions.

    COUNTOFSHORTSHARES returns the number of open Short positions.

    Example:

    MaxPositionsAllowed = 5
If MyConditions And CountOfPosition < MaxPositionsAllowed Then
   Buy 1 contract at market
Endif
    05/04/2019 at 11:07 AM #97661 quote
    Vonasi
    Moderator
    Master

    Don’t forget that COUNTOFPOSITION is a negative value if you are short on the market and a positive value if you are long. You can use:

    abs(countofposition)

    to return only a positive value. So Roberto’s code needs to be like the following to work with  short position quantities.

    MaxPositionsAllowed = 5
If MyConditions And abs(CountOfPosition) < MaxPositionsAllowed Then
   Sellshort 1 contract at market
Endif
    robertogozzi thanked this post
    05/04/2019 at 12:04 PM #97670 quote
    Alun
    Participant
    Average

    This looks very good – many thanks Roberto and Vonasi!!

    05/04/2019 at 12:15 PM #97671 quote
    GraHal
    Participant
    Master

    Copied to here

    Snippet Link Library

    Another successful collaboration on the Snippet Log! 🙂

    robertogozzi thanked this post
    06/15/2020 at 10:25 PM #136055 quote
    GraHal
    Participant
    Master
    Fantasio2020 wrote:

    z = n*3/2

    And is n*3/2 allowed as a lot size for the Instrument you are trading?

    If it were me I would concentrate on making a profit by getting the strategy correct for Long entry / exit and Short entry / exit and use Lot size = 1 for simplicity?

    After you are making consistent profit every week for months … then tweak lot size etc??

    06/15/2020 at 10:47 PM #136058 quote
    robertogozzi
    Moderator
    Master

    Sorry @GraHal, I deleted all of his posts here because he had started another topic in the French forum.

    You may want to post your reply, in French, there https://www.prorealcode.com/topic/taille-de-position-en-fonction-de-lhoraire-de-trading/.

    GraHal thanked this post
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Using True – cumulating positions


ProOrder: Automated Strategies & Backtesting

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Alun @alun Participant
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This topic contains 6 replies,
has 4 voices, and was last updated by robertogozzi
5 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 05/04/2019
Status: Active
Attachments: No files
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