Help with ChatGPT coding please

• 07/19/2024 at 7:09 PM #235526
  Melchizedek

  Hi,

  I sparred with ChatGPT on this but it couldnt help me.

  It suggested the below code, but no matter how much I asked it to adjust the code it didnt help.

  I got an error message on the line concerning “position_size_percent” (line 4), “entry_dates” (line 6), and “profit_treshold” (line 8).

  So basically I want to create a code that says BUY or SELL at certain dates in the future, with adjusting trailing stop losses and also adjusting for volatility.

  Assistance would be greatly appreciated:)

   

  // Parameters
  DEFPARAM CumulateOrders = False

  // Position size percentage
  POSITION_SIZE_PERCENT = 5.0 // 5% of the total capital

  // List of dates to go long (in YYYYMMDD format)
  ENTRY_DATES = [20240801, 20240901, 20241001, 20241101, 20241201]

  // Constants for profit thresholds and trailing stops
  PROFIT_THRESHOLD_1 = 0.5 // Profit threshold of 0.5%
  PROFIT_THRESHOLD_2 = 1.0 // Profit threshold of 1%
  PROFIT_THRESHOLD_3 = 1.5 // Profit threshold of 1.5%
  PROFIT_THRESHOLD_4 = 3.0 // Profit threshold of 3%

  INITIAL_TRAILING_STOP_PERCENT = 2.0 // Initial trailing stop of 2%
  TRAILING_STOP_1_PERCENT = 1.5 // Trailing stop of 1.5%
  TRAILING_STOP_2_PERCENT = 1.0 // Trailing stop of 1%
  TRAILING_STOP_3_PERCENT = 0.75 // Trailing stop of 0.75%
  TRAILING_STOP_4_PERCENT = 0.5 // Trailing stop of 0.5%

  // Variables
  var trailing_stop = 0.0
  var entry_price = 0.0
  var contracts_to_trade = 0

  // Calculate the last 10 days historical volatility
  historical_volatility = Std[10](Close)

  // Adjust position size and trailing stop loss based on historical volatility
  adjusted_position_size_percent = POSITION_SIZE_PERCENT * (historical_volatility / 0.01) // Assuming 0.01 as a reference volatility
  adjusted_initial_trailing_stop = INITIAL_TRAILING_STOP_PERCENT * (historical_volatility / 0.01)

  // Conditions to enter long positions
  IF NOT LongOnMarket THEN
  FOR i = 0 TO (ArraySize(ENTRY_DATES) – 1) DO
  IF (Date = ENTRY_DATES[i] AND IntradayBarIndex = IntradayBarIndexMax) THEN
  // Calculate the number of contracts to trade
  contracts_to_trade = (adjusted_position_size_percent * StrategyAccountEquity) / Close
  contracts_to_trade = Round(contracts_to_trade) // Ensure it’s an integer value

  entry_price = Close
  trailing_stop = adjusted_initial_trailing_stop
  BUY contracts_to_trade CONTRACTS AT MARKET
  BREAK // Exit loop once position is opened
  ENDIF
  NEXT
  ENDIF

  // Conditions to exit long positions
  IF LongOnMarket THEN
  // Calculate the current profit percentage
  current_profit = (Close – entry_price) / entry_price * 100

  // Adjust the trailing stop based on profit thresholds
  IF current_profit >= PROFIT_THRESHOLD_4 THEN
  trailing_stop = TRAILING_STOP_4_PERCENT * (historical_volatility / 0.01)
  ELSIF current_profit >= PROFIT_THRESHOLD_3 THEN
  trailing_stop = TRAILING_STOP_3_PERCENT * (historical_volatility / 0.01)
  ELSIF current_profit >= PROFIT_THRESHOLD_2 THEN
  trailing_stop = TRAILING_STOP_2_PERCENT * (historical_volatility / 0.01)
  ELSIF current_profit >= PROFIT_THRESHOLD_1 THEN
  trailing_stop = TRAILING_STOP_1_PERCENT * (historical_volatility / 0.01)
  ELSE
  trailing_stop = adjusted_initial_trailing_stop
  ENDIF

  // Set the trailing stop price
  trailing_stop_price = entry_price * (1 – trailing_stop / 100)

  // If the current price falls below the trailing stop price, close the position
  IF Close <= trailing_stop_price THEN
  SELL AT MARKET
  ENDIF
  ENDIF

  

  Melchizedek

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  07/19/2024 at 8:50 PM #235534
  JS

  It is not allowed to use “underscore” in variables… (this happens in many places in the code)

  For the “Entry_Dates do not use square brackets and 1 date at a time…

  EntryDate1=20240801

  EntryDate2=20240901

  etc.

  

  JS

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  07/19/2024 at 9:24 PM #235536
  Melchizedek

  Thanks a lot.

  I tried to backtest and the system did not flag any errors with the code.

  However, the backtest did not return any trades…What could be the issue?

  I tried to backtest on the SP500 Cash 50 USD contract.

  Full code below.

   

  // Parameters

  DEFPARAM CumulateOrders = False

   

  // Position size percentage

  PositionSizePercent = 5.0  // 5% of the total capital

   

  // List of dates to go long (in YYYYMMDD format)

  EntryDate1 = 20231508

  EntryDate2 = 20232509

  EntryDate3 = 20232112

  EntryDate4 = 20242602

  EntryDate5 = 20241704

   

  // Constants for profit thresholds and trailing stops

  ProfitThreshold1 = 0.5  // Profit threshold of 0.5%

  ProfitThreshold2 = 1.0  // Profit threshold of 1%

  ProfitThreshold3 = 1.5  // Profit threshold of 1.5%

  ProfitThreshold4 = 3.0  // Profit threshold of 3%

   

  InitialTrailingStopPercent = 2.0  // Initial trailing stop of 2%

  TrailingStop1Percent = 1.5        // Trailing stop of 1.5%

  TrailingStop2Percent = 1.0        // Trailing stop of 1%

  TrailingStop3Percent = 0.75       // Trailing stop of 0.75%

  TrailingStop4Percent = 0.5        // Trailing stop of 0.5%

   

  // Calculate the last 10 days historical volatility

  HistoricalVolatility = Std[10](Close)

   

  // Adjust position size and trailing stop loss based on historical volatility

  AdjustedPositionSizePercent = PositionSizePercent * (HistoricalVolatility / 0.05)  // Assuming 0.1 as a reference volatility

  AdjustedInitialTrailingStop = InitialTrailingStopPercent * (HistoricalVolatility / 0.01)

   

  // Conditions to enter long positions

  IF NOT LongOnMarket THEN

  IF Date = EntryDate1 OR Date = EntryDate2 OR Date = EntryDate3 OR Date = EntryDate4 OR Date = EntryDate5 THEN

  IF Time = 160000 THEN  // Assuming the market close time is 16:00 (4 PM) in HHMMSS format

  // Calculate the number of contracts to trade based on fixed capital

  TotalCapital = 10000  // Example fixed capital value for calculation

  contractsToTrade = (AdjustedPositionSizePercent * TotalCapital) / Close

  contractsToTrade = Round(contractsToTrade)  // Ensure it’s an integer value

   

  entryPrice = Close

  trailingStop = AdjustedInitialTrailingStop

  BUY contractsToTrade CONTRACTS AT MARKET

  ENDIF

  ENDIF

  ENDIF

   

  // Conditions to exit long positions

  IF LongOnMarket THEN

  // Calculate the current profit percentage

  CurrentProfit = (Close – entryPrice) / entryPrice * 100

   

  // Adjust the trailing stop based on profit thresholds

  IF CurrentProfit >= ProfitThreshold4 THEN

  trailingStop = TrailingStop4Percent * (HistoricalVolatility / 0.01)

  ELSIF CurrentProfit >= ProfitThreshold3 THEN

  trailingStop = TrailingStop3Percent * (HistoricalVolatility / 0.01)

  ELSIF CurrentProfit >= ProfitThreshold2 THEN

  trailingStop = TrailingStop2Percent * (HistoricalVolatility / 0.01)

  ELSIF CurrentProfit >= ProfitThreshold1 THEN

  trailingStop = TrailingStop1Percent * (HistoricalVolatility / 0.01)

  ELSE

  trailingStop = AdjustedInitialTrailingStop

  ENDIF

   

  // Set the trailing stop price

  TrailingStopPrice = entryPrice * (1 – trailingStop / 100)

   

  // If the current price falls below the trailing stop price, close the position

  IF Close <= TrailingStopPrice THEN

  SELL AT MARKET

  ENDIF

  ENDIF

   

  

  Melchizedek

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  07/19/2024 at 10:06 PM #235539
  JS

  You got the format of the “date” wrong: YYYYMMDD

  Because there are also times in your code (160000) you must use a time frame of maximum 1 hour…

  

  JS

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  07/20/2024 at 9:05 AM #235544
  Melchizedek

  Thanks reply.

  Adjusted the dates. What do you mean by Timeframe?

  I tried removing the code concerning hours, and changed the chart display from weekly to hourly. The backtest still showed nothing..

  

  Melchizedek

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  07/20/2024 at 9:37 AM #235546
  JS

  Hi,

  What I meant by time frame is that in your code there is a certain time (160000), and you then must use a time frame in which this time occurs, so for example 5 min, 10 min and a maximum of an hour…

  I tried your code on a time frame of 1 hour and your system works, only the number of contracts bought was very high (more than 5000 contracts)…

  

  JS

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  07/20/2024 at 9:54 AM #235547
  GraHal

  Melchizedek wrote:

  The backtest still showed nothing..

  JS got 5000 contracts, so you might be ‘out of funds’ and it therefore appears as no contracts?

  

  GraHal

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  07/20/2024 at 10:04 AM #235548
  JS

  When I reduce the number of contracts to 1 contract, the system opens a long position on December 21, 2023 at 16:00, only this position is not closed by a take profit or a stop loss (position continues to run) …

  @GraHal you could see the number of contracts, probably because the position was in profit for a while and then immediately ran out of money…

  

  JS

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  07/20/2024 at 10:19 AM #235553
  JS

  This is your code I’m currently using (IG, Dow Jones, TF 1 hour)…

   

  Coding problem

  // Parameters DEFPARAM CumulateOrders = False // Position size percentage PositionSizePercent = 5.0 // 5% of the total capital // List of dates to go long (in YYYYMMDD format) EntryDate1 = 20230815 EntryDate2 = 20230925 EntryDate3 = 20231221 EntryDate4 = 20240226 EntryDate5 = 20240417 // Constants for profit thresholds and trailing stops ProfitThreshold1 = 0.5 // Profit threshold of 0.5% ProfitThreshold2 = 1.0 // Profit threshold of 1% ProfitThreshold3 = 1.5 // Profit threshold of 1.5% ProfitThreshold4 = 3.0 // Profit threshold of 3% InitialTrailingStopPercent = 2.0 // Initial trailing stop of 2% TrailingStop1Percent = 1.5 // Trailing stop of 1.5% TrailingStop2Percent = 1.0 // Trailing stop of 1% TrailingStop3Percent = 0.75 // Trailing stop of 0.75% TrailingStop4Percent = 0.5 // Trailing stop of 0.5% // Calculate the last 10 days historical volatility HistoricalVolatility = Std[10](Close) // Adjust position size and trailing stop loss based on historical volatility AdjustedPositionSizePercent = PositionSizePercent * (HistoricalVolatility / 0.05) // Assuming 0.1 as a reference volatility AdjustedInitialTrailingStop = InitialTrailingStopPercent * (HistoricalVolatility / 0.01) // Conditions to enter long positions IF NOT LongOnMarket THEN IF Date = EntryDate1 OR Date = EntryDate2 OR Date = EntryDate3 OR Date = EntryDate4 OR Date = EntryDate5 THEN IF Time = 160000 THEN // Assuming the market close time is 16:00 (4 PM) in HHMMSS format // Calculate the number of contracts to trade based on fixed capital TotalCapital = 10000 // Example fixed capital value for calculation contractsToTrade = (AdjustedPositionSizePercent * TotalCapital) / Close contractsToTrade = Round(contractsToTrade) // Ensure it’s an integer value entryPrice = Close trailingStop = AdjustedInitialTrailingStop //BUY contractsToTrade CONTRACTS AT MARKET Buy 1 contract at Market ENDIF ENDIF ENDIF // Conditions to exit long positions IF LongOnMarket THEN // Calculate the current profit percentage CurrentProfit = (Close - entryPrice) / entryPrice * 100 // Adjust the trailing stop based on profit thresholds IF CurrentProfit >= ProfitThreshold4 THEN trailingStop = TrailingStop4Percent * (HistoricalVolatility / 0.01) ELSIF CurrentProfit >= ProfitThreshold3 THEN trailingStop = TrailingStop3Percent * (HistoricalVolatility / 0.01) ELSIF CurrentProfit >= ProfitThreshold2 THEN trailingStop = TrailingStop2Percent * (HistoricalVolatility / 0.01) ELSIF CurrentProfit >= ProfitThreshold1 THEN trailingStop = TrailingStop1Percent * (HistoricalVolatility / 0.01) ELSE trailingStop = AdjustedInitialTrailingStop ENDIF // Set the trailing stop price TrailingStopPrice = entryPrice * (1 - trailingStop / 100) // If the current price falls below the trailing stop price, close the position IF Close <= TrailingStopPrice THEN SELL AT MARKET ENDIF 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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148

  // Parameters   DEFPARAM CumulateOrders = False     // Position size percentage   PositionSizePercent = 5.0  // 5% of the total capital     // List of dates to go long (in YYYYMMDD format)   EntryDate1 = 20230815   EntryDate2 = 20230925   EntryDate3 = 20231221   EntryDate4 = 20240226   EntryDate5 = 20240417     // Constants for profit thresholds and trailing stops   ProfitThreshold1 = 0.5  // Profit threshold of 0.5%   ProfitThreshold2 = 1.0  // Profit threshold of 1%   ProfitThreshold3 = 1.5  // Profit threshold of 1.5%   ProfitThreshold4 = 3.0  // Profit threshold of 3%     InitialTrailingStopPercent = 2.0  // Initial trailing stop of 2%   TrailingStop1Percent = 1.5        // Trailing stop of 1.5%   TrailingStop2Percent = 1.0        // Trailing stop of 1%   TrailingStop3Percent = 0.75       // Trailing stop of 0.75%   TrailingStop4Percent = 0.5        // Trailing stop of 0.5%     // Calculate the last 10 days historical volatility   HistoricalVolatility = Std[10](Close)     // Adjust position size and trailing stop loss based on historical volatility   AdjustedPositionSizePercent = PositionSizePercent * (HistoricalVolatility / 0.05)  // Assuming 0.1 as a reference volatility   AdjustedInitialTrailingStop = InitialTrailingStopPercent * (HistoricalVolatility / 0.01)     // Conditions to enter long positions   IF NOT LongOnMarket THEN   IF Date = EntryDate1 OR Date = EntryDate2 OR Date = EntryDate3 OR Date = EntryDate4 OR Date = EntryDate5 THEN   IF Time = 160000 THEN  // Assuming the market close time is 16:00 (4 PM) in HHMMSS format   // Calculate the number of contracts to trade based on fixed capital   TotalCapital = 10000  // Example fixed capital value for calculation   contractsToTrade = (AdjustedPositionSizePercent * TotalCapital) / Close   contractsToTrade = Round(contractsToTrade)  // Ensure it’s an integer value     entryPrice = Close   trailingStop = AdjustedInitialTrailingStop   //BUY contractsToTrade CONTRACTS AT MARKET Buy 1 contract at Market   ENDIF   ENDIF   ENDIF     // Conditions to exit long positions   IF LongOnMarket THEN   // Calculate the current profit percentage   CurrentProfit = (Close - entryPrice) / entryPrice * 100     // Adjust the trailing stop based on profit thresholds   IF CurrentProfit >= ProfitThreshold4 THEN   trailingStop = TrailingStop4Percent * (HistoricalVolatility / 0.01)   ELSIF CurrentProfit >= ProfitThreshold3 THEN   trailingStop = TrailingStop3Percent * (HistoricalVolatility / 0.01)   ELSIF CurrentProfit >= ProfitThreshold2 THEN   trailingStop = TrailingStop2Percent * (HistoricalVolatility / 0.01)   ELSIF CurrentProfit >= ProfitThreshold1 THEN   trailingStop = TrailingStop1Percent * (HistoricalVolatility / 0.01)   ELSE   trailingStop = AdjustedInitialTrailingStop   ENDIF     // Set the trailing stop price   TrailingStopPrice = entryPrice * (1 - trailingStop / 100)     // If the current price falls below the trailing stop price, close the position   IF Close <= TrailingStopPrice THEN   SELL AT MARKET   ENDIF   ENDIF

  

  JS

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  07/20/2024 at 10:44 AM #235557
  Melchizedek

  Thanks again, much appreciated.

  However, the backtest is still blank…

  And why would the contract sizes be so large? I put 10.000 USD as start capital.

  

  Melchizedek

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  07/20/2024 at 11:17 AM #235559
  JS

  Hi,

  I think it goes wrong with the calculation of your contracts because you use the historical volatility, this volatility can change a lot and affects the calculation of the number of contracts…

  

  JS

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  07/20/2024 at 11:25 AM #235560
  robertogozzi

  @Melchizedek

  Give your topic a meaningful title. Describe your question or your subject in your title. Do not use meaningless titles such as ‘Coding Help Needed’

  Thanks 🙂

  I changed it.

   

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  Iván, Melchizedek

  

  robertogozzi

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  07/20/2024 at 1:09 PM #235565
  Melchizedek

  Hi,

  Thanks to all for the replies!

  Tried a code generated by ChatGPT, without adjusting for historical volatility.

  The below code was able to backtest, but as you can see from the attached picture – no trades were executed. What is wrong?

   

  // Parameters
  DEFPARAM CumulateOrders = False

  // Position size percentage
  PositionSizePercent = 5.0 // 5% of the total capital

  // List of dates to go long (in YYYYMMDD format)
  EntryDate1 = 20230815
  EntryDate2 = 20230925
  EntryDate3 = 20231221
  EntryDate4 = 20240226
  EntryDate5 = 20240417

  // Constants for profit thresholds and trailing stops
  ProfitThreshold1 = 1.0 // Profit threshold of 1%
  ProfitThreshold2 = 2.0 // Profit threshold of 2%
  ProfitThreshold3 = 3.0 // Profit threshold of 3%

  InitialTrailingStopPercent = 5.0 // Initial trailing stop of 5%
  TrailingStop1Percent = 4.0 // Trailing stop of 4%
  TrailingStop2Percent = 3.0 // Trailing stop of 3%
  TrailingStop3Percent = 2.0 // Trailing stop of 2%

  // Conditions to enter long positions
  IF NOT LongOnMarket THEN
  IF Date = EntryDate1 OR Date = EntryDate2 OR Date = EntryDate3 OR Date = EntryDate4 OR Date = EntryDate5 THEN
  IF Time = 160000 THEN // Assuming the market close time is 16:00 (4 PM) in HHMMSS format
  // Calculate the number of contracts to trade based on fixed capital
  TotalCapital = 10000 // Example fixed capital value for calculation
  contractsToTrade = (PositionSizePercent * TotalCapital) / Close
  contractsToTrade = Round(contractsToTrade) // Ensure it’s an integer value

  entryPrice = Close
  trailingStop = InitialTrailingStopPercent
  BUY contractsToTrade CONTRACTS AT MARKET
  ENDIF
  ENDIF
  ENDIF

  // Conditions to exit long positions
  IF LongOnMarket THEN
  // Calculate the current profit percentage
  CurrentProfit = (Close – entryPrice) / entryPrice * 100

  // Adjust the trailing stop based on profit thresholds
  IF CurrentProfit >= ProfitThreshold3 THEN
  trailingStop = TrailingStop3Percent
  ELSIF CurrentProfit >= ProfitThreshold2 THEN
  trailingStop = TrailingStop2Percent
  ELSIF CurrentProfit >= ProfitThreshold1 THEN
  trailingStop = TrailingStop1Percent
  ELSE
  trailingStop = InitialTrailingStopPercent
  ENDIF

  // Set the trailing stop price
  TrailingStopPrice = entryPrice * (1 – trailingStop / 100)

  // If the current price falls below the trailing stop price, close the position
  IF Close <= TrailingStopPrice THEN
  SELL AT MARKET
  ENDIF
  ENDIF

  

  Melchizedek

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  07/20/2024 at 1:51 PM #235568
  GraHal

  Melchizedek wrote:

  no trades were executed. What is wrong?

  Post screenshot of equity curve … you may be opening 1 or more trades on the far left of the equity curve, but the trades are not closed and then you run out of funds so you can’t open any more due to the reason JS states below?

  JS wrote:

  this volatility can change a lot and affects the calculation of the number of contracts…

   

  

  GraHal

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  07/20/2024 at 2:02 PM #235569
  GraHal

  I now think it is not above as I tested it and your conditions are rarely coincident / True, i.e. dates AND time of 160000.

  Try adding more dates and more times?

  Anyway attached does take 2 trades (over 100k bars) … it might help you, or at least get over the ‘no trades’ bit!

  1 user thanked author for this post.

  Iván

  

  GraHal

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