Wrong entries. Help to fix de code.

• 11/12/2017 at 5:11 PM #52451
  Juan Salas

  Hi everyone,

  I am trying to put together a code, based on the RSI, and applying some daily averaging down in both directions. I am trying to averaging down within the same day to avoid uncontrolled losses and limit the number of contracts.

  I am still in the middle of the process, but after trying a couple of versions, I am getting wrong entries of just 1€. I have no idea why this is happening. I am attaching the results of one of the tries, so you can see the entries, and also the code as it is right now.

  I would appreciate any help or feedback about these false entries.

  Thanks,

  Juan

  // Código principal : RSI w daily averaging 15' EUR 12NOV //------------------------------------------------------------------------- DEFPARAM CUMULATEORDERS = true // OPERATIONAL TIME DEFPARAM FLATBEFORE = 020000 DEFPARAM FLATAFTER = 210000 // STRATEGYPROFIT per day. It resets the variable each new day IF INTRADAYBARINDEX = 0 THEN stratprofit = STRATEGYPROFIT //saves the previous day Profit ENDIF // POSITION SIZE positionsize = 1 // PROFITs profit1 = 10 profit2 = 12 profit3 = 14 profit4 = 20 // Condiciones // Alcistas rsialc1 = RSI[2](close)<2 decreasinghighs = high<high[1] AND high[1]<high[2] AND high[2]<high[3] alcista = rsialc1 AND decreasinghighs enrojoalcista1= (tradeprice(1)-close)>5*pipsize AND (tradeprice(1)-close)<=10*pipsize enrojoalcista2= (tradeprice(1)-close)>10*pipsize AND (tradeprice(1)-close)<=20*pipsize enrojoalcista3= (tradeprice(1)-close)>20*pipsize AND (tradeprice(1)-close)<=30*pipsize tresvelasalcistas = open[1]<close[1] AND open[2]<close[2] rangoverde = (close[1]-open[3])>40*pipsize fastalza = tresvelasalcistas AND rangoverde // Bajistas rsibaj1 = RSI[2](close)>98 increasinglows = low>low[1] AND low[1]>low[2] AND low[2]>low[3] bajista = rsibaj1 AND increasinglows enrojobajista1= (close-tradeprice(1))>5*pipsize AND (close-tradeprice(1))<=10*pipsize enrojobajista2= (close-tradeprice(1))>10*pipsize AND (close-tradeprice(1))<=20*pipsize enrojobajista3= (close-tradeprice(1))>20*pipsize AND (close-tradeprice(1))<=30*pipsize tresvelasbajistas = open[1]>close[1] AND open[2]>close[2] rangorojo = (open[3]-close[1])>40*pipsize fastbaja = tresvelasbajistas AND rangorojo // LONG Positions-Opening_________________________________________________________________________________________________ // Alcistas IF alcista AND NOT fastbaja THEN BUY positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit1 ENDIF // Averaging IF LONGONMARKET AND RSI[2](close)<5 AND COUNTOFLONGSHARES<=2 AND enrojoalcista1 THEN BUY positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit2 ENDIF IF LONGONMARKET AND RSI[2](close)<5 AND COUNTOFLONGSHARES<=3 AND enrojoalcista2 THEN BUY positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit3 ENDIF IF LONGONMARKET AND RSI[2](close)<5 AND COUNTOFLONGSHARES<=4 AND enrojoalcista3 THEN BUY positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit4 ENDIF // SHORT Positions-Opening_________________________________________________________________________________________________ // Bajistas IF bajista AND NOT fastalza THEN SELLSHORT positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit1 ENDIF // Averaging IF SHORTONMARKET AND RSI[2](close)>95 AND COUNTOFSHORTSHARES<=2 AND enrojobajista1 THEN SELLSHORT positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit2 ENDIF IF SHORTONMARKET AND RSI[2](close)>95 AND COUNTOFSHORTSHARES<=3 AND enrojobajista2 THEN SELLSHORT positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit3 ENDIF IF SHORTONMARKET AND RSI[2](close)>95 AND COUNTOFSHORTSHARES<=4 AND enrojobajista3 THEN SELLSHORT positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit4 ENDIF //Finishing DAILY operations when reaching target profit/loss IF (STRATEGYPROFIT-stratprofit)>=10 THEN //current day's profit SELL AT MARKET EXITSHORT AT MARKET ENDIF IF (STRATEGYPROFIT-stratprofit)<=-20 THEN //current day's loss SELL AT MARKET EXITSHORT AT MARKET ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107

  // Código principal : RSI w daily averaging 15' EUR 12NOV //-------------------------------------------------------------------------   DEFPARAM CUMULATEORDERS = true   // OPERATIONAL TIME DEFPARAM FLATBEFORE = 020000 DEFPARAM FLATAFTER = 210000   // STRATEGYPROFIT per day. It resets the variable each new day IF INTRADAYBARINDEX = 0 THEN stratprofit = STRATEGYPROFIT //saves the previous day Profit ENDIF   // POSITION SIZE positionsize = 1   // PROFITs profit1 = 10 profit2 = 12 profit3 = 14 profit4 = 20   // Condiciones // Alcistas rsialc1 = RSI[2](close)<2 decreasinghighs = high<high[1] AND high[1]<high[2] AND high[2]<high[3] alcista = rsialc1 AND decreasinghighs enrojoalcista1= (tradeprice(1)-close)>5*pipsize AND (tradeprice(1)-close)<=10*pipsize enrojoalcista2= (tradeprice(1)-close)>10*pipsize AND (tradeprice(1)-close)<=20*pipsize enrojoalcista3= (tradeprice(1)-close)>20*pipsize AND (tradeprice(1)-close)<=30*pipsize tresvelasalcistas = open[1]<close[1] AND open[2]<close[2] rangoverde = (close[1]-open[3])>40*pipsize fastalza = tresvelasalcistas AND rangoverde   // Bajistas rsibaj1 = RSI[2](close)>98 increasinglows = low>low[1] AND low[1]>low[2] AND low[2]>low[3] bajista = rsibaj1 AND increasinglows enrojobajista1= (close-tradeprice(1))>5*pipsize AND (close-tradeprice(1))<=10*pipsize enrojobajista2= (close-tradeprice(1))>10*pipsize AND (close-tradeprice(1))<=20*pipsize enrojobajista3= (close-tradeprice(1))>20*pipsize AND (close-tradeprice(1))<=30*pipsize tresvelasbajistas = open[1]>close[1] AND open[2]>close[2] rangorojo = (open[3]-close[1])>40*pipsize fastbaja = tresvelasbajistas AND rangorojo     // LONG Positions-Opening_________________________________________________________________________________________________ // Alcistas IF alcista AND NOT fastbaja THEN BUY positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit1 ENDIF   // Averaging IF LONGONMARKET AND RSI[2](close)<5 AND COUNTOFLONGSHARES<=2 AND enrojoalcista1 THEN BUY positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit2 ENDIF   IF LONGONMARKET AND RSI[2](close)<5 AND COUNTOFLONGSHARES<=3 AND enrojoalcista2 THEN BUY positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit3 ENDIF   IF LONGONMARKET AND RSI[2](close)<5 AND COUNTOFLONGSHARES<=4 AND enrojoalcista3 THEN BUY positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit4 ENDIF       // SHORT Positions-Opening_________________________________________________________________________________________________ // Bajistas IF bajista AND NOT fastalza THEN SELLSHORT positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit1 ENDIF   // Averaging IF SHORTONMARKET AND RSI[2](close)>95 AND COUNTOFSHORTSHARES<=2 AND enrojobajista1 THEN SELLSHORT positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit2 ENDIF   IF SHORTONMARKET AND RSI[2](close)>95 AND COUNTOFSHORTSHARES<=3 AND enrojobajista2 THEN SELLSHORT positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit3 ENDIF   IF SHORTONMARKET AND RSI[2](close)>95 AND COUNTOFSHORTSHARES<=4 AND enrojobajista3 THEN SELLSHORT positionsize CONTRACT AT MARKET SET TARGET pPROFIT profit4 ENDIF       //Finishing DAILY operations when reaching target profit/loss IF (STRATEGYPROFIT-stratprofit)>=10 THEN //current day's profit SELL AT MARKET EXITSHORT AT MARKET ENDIF   IF (STRATEGYPROFIT-stratprofit)<=-20 THEN //current day's loss SELL AT MARKET EXITSHORT AT MARKET ENDIF

   

   

  

  Juan Salas

  Participant

  Topics: 39

  Replies: 246

  Been thanked: 63 times
  11/12/2017 at 6:47 PM #52458
  TempusFugit

  Hola Juan,

  Creo que tu problema está en las últimas líneas. Quieres que el sistema no haga más operaciones cuando se alcance un determinado beneficio/pérdida en el día, pero tal y como está programado aunque se haya alcanzado ese límite diario se sigue ejecutando la operación sólo que inmediatamente la cierra, con el consiguiente beneficio/pérdida de 1 € (quizás el spread). Para que no se ejecuten más operaciones al llegar a esos límites, que es lo que quieres, se me ocurre por ejemplo añadir una nueva variable en esas líneas finales, tal que así:

  //Finishing DAILY operations when reaching target profit/loss
  IF (STRATEGYPROFIT-stratprofit)>=10 THEN //current day’s profit
  NOTRADES = 1
  ENDIF

  IF (STRATEGYPROFIT-stratprofit)<=-20 THEN //current day’s loss
  NOTRADES = 1
  ENDIF

  Y hacer que vuelva a “0” esa variable al principio de cada día, añadiendo a las líneas iniciales:

  // STRATEGYPROFIT per day. It resets the variable each new day
  IF INTRADAYBARINDEX = 0 THEN

  NOTRADES = 0
  stratprofit = STRATEGYPROFIT //saves the previous day Profit
  ENDIF

  Y añadiendo esa condición a las líneas de ejecución, claro:

  // LONG Positions-Opening_________________________________________________________________________________________________
  // Alcistas
  IF alcista AND NOT fastbaja AND NOTRADE=0 THEN
  BUY positionsize CONTRACT AT MARKET
  SET TARGET pPROFIT profit1
  ENDIF

  Y al resto de ejecuciones.

  Tu sistema parece muy prometedor, espero poder verlo ya terminado. Buena suerte.

  

  TempusFugit

  Participant

  Topics: 41

  Replies: 232

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  11/12/2017 at 7:01 PM #52459
  Juan Salas

  Hi Tempus,

  Thanks so much for your answer. I had a line with nomoretrade = 1 before, but I had it remove because I thought it didnt make a difference. I will try it now.

  I am also confused with the strategy profit. Roberto helped me to create a daily strategy profit and limit the losses and stoping the operations once you reached a target, just to avoid an overexposure to the market. Honestly, I don’t know if is working.

  The final idea is to stop trading for the day once you reach the profit, and if the operation is not going well averaging down (in both directions) and close the accumulation once the profit is >0. So, trying to generate a daily profit or a breakeven.

  Let you know of the results,

  Muchas gracias compañero.

  Juan

  P.S.- Perdona por el inglés, pero al haber abierto el hilo en el grupo de inglés, las reglas nos obligan a mantenerlo en inglés. Ya me han dado varios tokes…:)))

  

  Juan Salas

  Participant

  Topics: 39

  Replies: 246

  Been thanked: 63 times
  11/12/2017 at 7:34 PM #52462
  TempusFugit

  Juan,

  I have no much experince so don´t take my words too seriously but if I were you I will design and backtest the system first without the two parameters you are using: daily profit/loss limit and avering down (kind of martingala?). And when you think you have a good system you can try those ideas, but if you use them from the begining maybe your system is not good and only saved in the backtest because of those parameters. And I would not expect to get good results in the future with that system. In other words I think you would have more chances to datamining or overoptimization. Just my thought 🙂

  

  TempusFugit

  Participant

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