Code adjustment to avoid 3 trades per day on Breakout Code

• 10/12/2016 at 7:53 AM #14747
  Cosmic1

  Morning, So the breakout code is working well on 3 markets and over the last 5 weeks everything is in profit so good news there. One issue is that if a trade is opened and closed within the same bar then 3 trades are possible, this is not ideal as it can skew the results and cause unexpected drawdown like yesterday on the DAX with three small losers. I know why it does this but unsure how to fix it. This fix if there is a possible one will also help another strat I’m working on.

  Cheers

  

  Cosmic1

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  10/12/2016 at 9:31 AM #14751
  Tom C

  I’m also interested in a fix for this. What BO code are you using?

  thanks

  

  Tom C

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  10/12/2016 at 9:34 AM #14752
  Nicolas

  One solution that come to mind: store the barindex when you launch a trade and test if the current one is the same as the old one when trying to initiate a new trade..

  

  Nicolas

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  10/12/2016 at 7:34 PM #14791
  Cosmic1

  What you are saying makes sense but I’m not sure how to code it. Is there any examples in the library that you are aware of or a blog?

  Tom: It’s the breakout code I posted in the library which is a port from the original CAC

  

  Cosmic1

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  10/13/2016 at 7:45 AM #14807
  Nicolas

  Could you please remember us why there is this behaviour of the 3 trades possible here? I know we have together already discussed about it, but I don’t remember sorry 🙂

  The code I were thinking of is the same as in this french topic: http://www.prorealcode.com/topic/cloture-systematique-a-la-fin-de-bougie-suivant-le-signal/

  

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  10/13/2016 at 7:18 PM #14864
  Cosmic1

  //------------------------------------------------------------------------- // Main code : Breakout ProOrder EN DAX //------------------------------------------------------------------------- // We do not store datas until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will be waiting until the next day for defining sell and buy orders //All times are UK Time Zone DEFPARAM PreLoadBars = 0 // Position is closed at 20h00 PM DEFPARAM FlatAfter = 200000 // No new position will be initiated after the 16h00 PM candlestick LimitHour = 161500 // Market scan begin with the 15 minute candlestick that closed at 8h15 AM StartHour = 081500 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 074500 then //PositionSize = max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume PositionSize = 1 //constant trade volume over the time endif MaxAmplitude = 170 //170 //140 //160 MinAmplitude = 22 //24 //15 OrderDistance = 9 //9 //7 //10 PourcentageMin = 19 //19 //30 //32 // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude //set target pprofit 190//190

  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

  //------------------------------------------------------------------------- // Main code : Breakout ProOrder EN DAX //------------------------------------------------------------------------- // We do not store datas until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will be waiting until the next day for defining sell and buy orders   //All times are UK Time Zone   DEFPARAM PreLoadBars = 0 // Position is closed at 20h00 PM DEFPARAM FlatAfter = 200000 // No new position will be initiated after the 16h00 PM candlestick LimitHour = 161500 // Market scan begin with the 15 minute candlestick that closed at 8h15 AM StartHour = 081500 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 074500 then //PositionSize = max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume PositionSize = 1 //constant trade volume over the time endif MaxAmplitude = 170 //170 //140 //160 MinAmplitude = 22 //24 //15 OrderDistance = 9 //9 //7  //10 PourcentageMin = 19 //19 //30 //32 // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude //set target pprofit 190//190

   

  

  Cosmic1

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  10/13/2016 at 7:32 PM #14865
  Cosmic1

  It is your original CAC Breakout code modified to work on DAX. Are you saying that the thread you linked to holds the key to sorting this issue? If so I will spend some time trying to implement it.

  The reason this happens is because the strategy can sometimes open and close a trade within the same bar and so is only recorded as one trade. This creates an option for a third.

  

  Cosmic1

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  10/15/2016 at 9:48 AM #14931
  Nicolas

  Yes it is a common problem that will be solved with multitimeframe support hopefully.

  At the beginning of the code, you can add something like this, that will test is a trade is currently on market:

  if longonmarket then currentbar = barindex endif

  1 2 3

  if longonmarket then currentbar = barindex endif

  Then each time you launch a trade add this just below the trade launch instruction:

  BUY 1 SHARE AT MARKET savedbar=barindex1

  1 2	BUY 1 SHARE AT MARKET savedbar=barindex1

  and now you could test if the “currentbar” is not the same as the “savedbar” or at least 1 bar old. I think the tradeindex function can’t help because it needs at least  1 bar to compute.

  Sometimes we have to remember that the code are read from beginning to the end, so it is obviously a good idea to refresh variables state at the beginning of the code.

  This should work .. or not, just a Saturday morning idea, between coffee and children’s cartoons on TV 🙂

   

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  Nicolas

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  10/16/2016 at 6:57 PM #14982
  Cosmic1

  Thanks Nicolas, will check this out this week. I did try to implement tradeindex without success.

  

  Cosmic1

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