Exit trade if entry bar is against the trend

• 08/18/2017 at 6:42 AM #44160
  mikenew

  Hi

  I’m writing code

  to exit the trade if the entry bar is against the trend. I’ve simplified it into a price crosses SMA indicates the trend. Long side only.

  So if on entry it is a down bar then the strategy will exit the trade on the open of the next bar.

  Here’s the code:

  ONCE exitEntryBarDown = 0 IF NOT OnMarket AND open > Average[20](close) THEN BUY 1 CONTRACTS AT MARKET // Exit if candle OF the entry is against the trade - Market goes down IF open > close THEN // Market moves down exitEntryBarDown = 1 SELL AT MARKET NextBarOpen ENDIF // Set the stop SELL AT Average[20](close) STOP ENDIF IF OnMarket THEN SELL AT Average[20](close) STOP ENDIF GRAPH exitEntryBarDown as "Exit on Entry bar is down" GRAPH OnMarket COLOURED (255,0,255) AS "On Market" exitEntryBarDown = 0

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22

  ONCE exitEntryBarDown = 0   IF NOT OnMarket AND open > Average[20](close) THEN   BUY 1 CONTRACTS AT MARKET   // Exit if candle OF the entry is against the trade - Market goes down   IF open > close THEN     // Market moves down     exitEntryBarDown = 1     SELL AT MARKET NextBarOpen   ENDIF   // Set the stop   SELL AT Average[20](close) STOP ENDIF   IF OnMarket THEN   SELL AT Average[20](close) STOP ENDIF   GRAPH exitEntryBarDown as "Exit on Entry bar is down" GRAPH OnMarket COLOURED (255,0,255) AS "On Market"   exitEntryBarDown = 0

  It’s behaving in two unexpected ways:

  1. It exits on the open of the bar of entry (not the next bar)
  2. It enters a trade even if the open is less than the SMA

  See attached image.

  Am I misunderstanding something about the code here?

  Broker is IG

  Market is XAUUSD Spot Gold A1 Contract

  Dates in the image are 14th Jan 2016 to 22nd Jan 2016

   

   

  

  mikenew

  Participant

  Topics: 6

  Replies: 17

  Been thanked: 0 times
  08/18/2017 at 10:44 AM #44171
  Despair

  Cool! You just learned me a new commando. I wasn’t aware of nextbaropen. Nice! Thanks.

  Have a look at your line 6. Should you have there one < close? Now you are exiting on an upbar.

  

  Despair

  Blocked

  Topics: 97

  Replies: 1034

  Been thanked: 219 times
  08/18/2017 at 8:23 PM #44196
  Nicolas

  NEXTBAROPEN is depreciated keyword that does nothing in the recent probuilder language version. So at line 9, you are exiting your BUY order at the same moment than its open.

  For your second problem, please consider that at line 3, you are comparing the Open of the bar of when the code is read (at Close).

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20866

  Been thanked: 4781 times
  08/18/2017 at 10:20 PM #44199
  mikenew

  Thanks Nicholas

  The NextBarOpen is in the current user manual for probacktest I down loaded last week v5.1.2-20170404 .. no mention of it being deprecated. How do we feed this back to the PRT team?

   

  I’ll have a look at the second issue and comment.

   

  

  mikenew

  Participant

  Topics: 6

  Replies: 17

  Been thanked: 0 times
  08/18/2017 at 11:09 PM #44200
  mikenew

  Nicholas,

  Your comment:

  For your second problem, please consider that at line 3, you are comparing the Open of the bar of when the code is read (at Close).

   

  OK so I get it …. my code says this bar’s open>AV after the close and it will enter on the open of the next bar….

  I don’t see any way to implement what I want  “IF open crosses moving average then buy on this open”

  Unless there’s a openNextBar variable which I can’t find …. or a BUY 1 THISOPEN which seems just as rare 🙂

   

   

  

  mikenew

  Participant

  Topics: 6

  Replies: 17

  Been thanked: 0 times
  08/19/2017 at 8:10 AM #44208
  Nicolas

  https://www.prorealtime.com/en/changelog_probacktest_10_1

  The variable “OpenOfNextBar” contained the opening price of the bar following the current one. This variable was removed because it is impossible to know this price in an automatic trading situation. This instruction should not be confused with “NextBarOpen” which is an instruction that can be used to place an order at the opening price of the next bar and is still available as shown in the last section.

  But “NextBarOpen” doesn’t help in your situation and it is useless in code since orders are always launch at the next bar open.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20866

  Been thanked: 4781 times
  08/19/2017 at 8:55 AM #44210
  mikenew

  Thanks Again Nicolas. I’ll need to look at a different backtesting tool for this strategy … I’m thinking Python Backtrader https://github.com/mementum/backtrader combined with Pyfolio for basket testing.

   

  

  mikenew

  Participant

  Topics: 6

  Replies: 17

  Been thanked: 0 times
  08/19/2017 at 9:39 AM #44211
  robertogozzi

  You order is placed at some bar, which is the entry bar (conditions were met when the previous bar closed), so you’ll be able to tell the entry bar went the wrong way only when it closes.

  So if you place this code at the very beginning of your strategy it should do:

  IF LongOnMarket THEN IF open > close THEN //check if BEARish SELL AT MARKET //and close any open trade ENDIF ENDIF

  1 2 3 4 5

  IF LongOnMarket THEN    IF open > close THEN   //check if BEARish       SELL AT MARKET      //and close any open trade    ENDIF ENDIF

  Roberto

  1 user thanked author for this post.

  Nicolas

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17439

  Been thanked: 4219 times
  08/19/2017 at 9:42 AM #44212
  mikenew

  Thanks Roberto

  

  mikenew

  Participant

  Topics: 6

  Replies: 17

  Been thanked: 0 times
• Author
  Posts