Wait for x bars before entry

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  • 06/05/2021 at 12:25 PM #171194 quote
    ProRealP
    Participant
    Senior

    Hello!

    I’ve been using PRT  and reading the forums for about 7 months, but haven’t posted anything before now.

    My question is quite simple. I would like to wait for x bars before taking an entry when my conditions are met.

    Let’s say my system is something like this

    defparam cumulateorders = false

positionsize = 1

Indicator1 = average[100]
indicator2 = average[50]
c1 = indicator2 crosses over indicator1

If c1 then 
buy positionsize contract at market
endif

    How can i get the buy function to first wait x bars before taking position?
    I’ve searched the forums, but haven’t been able to find anything like this.

    Thanks!

    06/05/2021 at 1:16 PM #171196 quote
    robertogozzi
    Moderator
    Master

    Not tested:

    defparam cumulateorders = false
 N           = 3  //wait 3 bars
positionsize = 1
Once count = 0
Count      = count - 1

Indicator1 = average[100]
indicator2 = average[50]
c1 = indicator2 crosses over indicator1
 
If c1 then
   Cond  = 1
   Count = N
endif

If cond and count = 0 then
   buy positionsize contract at market
   Cond = 0
endif
    ProRealP thanked this post
    06/06/2021 at 7:14 AM #171223 quote
    ProRealP
    Participant
    Senior

    Works like a charm!

    Thanks for your help and all the good work you do here, Roberto!

    Appreciate it!

    06/06/2021 at 8:19 AM #171224 quote
    ProRealP
    Participant
    Senior

    I’m experiencing a strange issue. The code works, but sometimes it reverses the position compared to an identical system that doesn’t wait x bars before taking position. The code should only count and then buy/sell, yes? I made it like this to buy and short. Can you see a problem with this, or a reason why it would take a different position?

    N = 3 //wait 3 bars
Once count = 0
Count = count - 1

If c5 then
CondBuy = 1
Count = N
endif

If c6 then
CondSell = 1
Count = N
endif

If CondBuy and count = 0 and not onmarket then
buy positionsize contract at market
CondBuy = 0
endif

If CondSell and count = 0 and not onmarket then
sellshort positionsize contract at market
CondSell = 0
endif
    06/06/2021 at 8:41 AM #171225 quote
    robertogozzi
    Moderator
    Master

    Try replacing line 5 with:

    If c5 and Count < 0 then

    and line 10 with:

    If c6 and Count < 0 then
    06/06/2021 at 9:20 AM #171226 quote
    ProRealP
    Participant
    Senior

    It still reverses some positions. It’s quite odd since the conditions are identical..

    06/06/2021 at 9:44 AM #171230 quote
    robertogozzi
    Moderator
    Master

    What exactly do you mean by “it reverses the position” because it can’t reverse as checking if NOT ON MARKET bans  from entering if a trade is open?

    06/06/2021 at 9:52 AM #171235 quote
    ProRealP
    Participant
    Senior

    Quite! It was poorly explained by me. What I mean is that the system without this code takes a long position, and the one with the code then takes a short position instead, but 3 candles later. I believe this picture will make it clearer.

    Capture.jpg Capture.jpg
    06/06/2021 at 10:50 AM #171242 quote
    robertogozzi
    Moderator
    Master

    Try this one:

    N = 3 //wait 3 bars
Once count = 0
Count = count - 1
 
If c5 then
CondBuy = 1
CondSell = 0
Count = N
endif
 
If c6 then
CondSell = 1
CondBuy = 0
Count = N
endif
 
If CondBuy and count = 0 and not onmarket then
buy positionsize contract at market
CondBuy = 0
endif
 
If CondSell and count = 0 and not onmarket then
sellshort positionsize contract at market
CondSell = 0
endif
    ProRealP thanked this post
    06/06/2021 at 12:00 PM #171252 quote
    ProRealP
    Participant
    Senior

    Yes, now it’s working flawlessly! Thanks again, Roberto. Much appreciated

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Wait for x bars before entry


ProOrder: Automated Strategies & Backtesting

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ProRealP @prorealpierre Participant
Summary

This topic contains 9 replies,
has 2 voices, and was last updated by ProRealP
4 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/05/2021
Status: Active
Attachments: 1 files
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