LIMITER LE NOMBRE DE POSITIONS PRISES EN PYRAMIDAGE

• 03/23/2018 at 3:12 PM #66180
  Toto le Heros

  Bonjour,

  Ci-joint un petit exercice de pyramidage sur le DAX en UT=15min (short only pour les tests dans le contexte actuel…)

  TEST PYRAMIDAGE

  DEFPARAM FLATAFTER = 213000 noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 213000 timeEnterAfter = time < noEntryAfterTime daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Variables ordersize = 2 TS = 25 SL = 50 TP = 100 //Condition to go short myMACD = MACD[12,26,9](close) short = myMACD crosses over 0 //first order + //let's add another stop order while price continue to go lower (more than 15 points) IF (COUNTOFPOSITION<=ordersize) AND short AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT ordersize CONTRACTS AT MARKET SELLSHORT ordersize/2 CONTRACTS AT (CLOSE-30) STOP//should I write close instead of PositionPrice here ? ENDIF If ShortOnMarket THEN SELL AT (POSITIONPRICE-TP) LIMIT SELL AT (POSITIONPRICE+SL) STOP ENDIF //let's add another order while price continue to go lower (more than 15 points) IF ShortOnMarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry and (COUNTOFPOSITION<ordersize*1.5) THEN SELLSHORT ordersize/2 CONTRACTS AT (TRADEPRICE(1)-30) STOP ENDIF //trailing stop trailingstop = TS//Best 30 //resetting variables when no trades are on market if not onmarket then MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if positionprice-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

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  DEFPARAM FLATAFTER            = 213000 noEntryBeforeTime             = 091500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime              = 213000 timeEnterAfter = time < noEntryAfterTime daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Variables ordersize =    2 TS        =   25 SL        =   50 TP        =   100   //Condition to go short myMACD = MACD[12,26,9](close) short = myMACD crosses over 0   //first order + //let's add another stop order while price continue to go lower (more than 15 points) IF (COUNTOFPOSITION<=ordersize) AND short AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT ordersize CONTRACTS AT MARKET SELLSHORT ordersize/2 CONTRACTS AT (CLOSE-30) STOP//should I write close instead of PositionPrice here ? ENDIF   If ShortOnMarket THEN SELL AT (POSITIONPRICE-TP) LIMIT SELL AT (POSITIONPRICE+SL) STOP ENDIF //let's add another order while price continue to go lower (more than 15 points) IF ShortOnMarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry and (COUNTOFPOSITION<ordersize*1.5) THEN SELLSHORT ordersize/2 CONTRACTS AT (TRADEPRICE(1)-30) STOP ENDIF   //trailing stop trailingstop = TS//Best 30 //resetting variables when no trades are on market if not onmarket then MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if positionprice-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  Je ne suis pas loin de ce que je souhaite faire, mais je ne parviens pas à limiter le nombre de positions prises par le système à 3. (les 2 positions initiales et la position additionnelle)

  J’ai un problème de compréhension de l’instruction COUNTOFPOSITION visiblement…

  Votre aide me sera précieuse.

  D’avance merci,

  

  Toto le Heros

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  03/23/2018 at 3:30 PM #66181
  Nicolas

  COUNTOFPOSITION est négatif pour les positions de vente à découvert et positif pour les achats. Il faut donc prendre en considération cette donnée dans ta condition de comparaison. Ou alors utiliser ABS(COUNTOFPOSITION) tout simplement.

  Il y a aussi COUNTOFSHORTSHARES.

   

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  Toto le Heros

  

  Nicolas

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  03/23/2018 at 6:56 PM #66202
  Toto le Heros

  Merci beaucoup Nicolas.

  Ce n’est pas encore parfait mais je progresse grâce à ton précieux support.

  Je me heurte de nouveau à cette difficulté liée au fait que je souhaite placer (dans le même temps que mon premier ordre de vente) un ordre de vente STOP 6 points en dessous (pour préparer ma pyramide).

  Ca fonctionne si je rentre (close-6) mais j’aurais préféré utiliser (positionprice-6) pour considérer le spread et le slippage éventuel à l’ouverture de la bougie… Malheureusement dans ce cas le système est immédiatement arrêté sur le motif que j’ai essayé de placer un ordre avec un STOP ou une limite négative….

  Puis-je contourner ce problème stp ?

  TEST PYRAMIDAGE

  DEFPARAM FLATAFTER = 213000 noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 213000 timeEnterAfter = time < noEntryAfterTime daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Variables ordersize = 2 TS = 10 SL = 15 TP = 35 //Condition to go short myMACD = MACD[12,26,9](close) short = myMACD < myMACD[1] //first order + //let's add another stop order while price continue to go lower (more than 15 points) IF (abs(COUNTOFPOSITION)<ordersize) AND short AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT ordersize CONTRACTS AT MARKET MARK1=close SELLSHORT ordersize/2 CONTRACTS AT (close-6) STOP//should I write close instead of PositionPrice here ? EXITSHORT AT MARK1-TP LIMIT EXITSHORT AT MARK1+SL STOP ENDIF If ShortOnMarket and abs(COUNTOFPOSITION)=2 THEN EXITSHORT AT MARK1-TP LIMIT EXITSHORT AT MARK1+SL STOP ENDIF //let's add another order while price continue to go lower (more than 15 points) IF ShortOnMarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry and (abs(COUNTOFPOSITION)<ordersize*1.5) THEN SELLSHORT ordersize/2 CONTRACTS AT (TRADEPRICE(1)-6) STOP MARK2=(2*MARK1+CLOSE)/3 EXITSHORT AT MARK1-TP LIMIT EXITSHORT AT MARK1+SL STOP ENDIF If ShortOnMarket and abs(COUNTOFPOSITION)=3 THEN EXITSHORT AT MARK2-TP LIMIT EXITSHORT AT MARK2+SL STOP ENDIF //trailing stop trailingstop = TS//Best 30 //resetting variables when no trades are on market if not onmarket then MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if positionprice-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

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  DEFPARAM FLATAFTER            = 213000 noEntryBeforeTime             = 091500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime              = 213000 timeEnterAfter = time < noEntryAfterTime daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Variables ordersize =    2 TS        =   10 SL        =   15 TP        =   35   //Condition to go short myMACD = MACD[12,26,9](close) short = myMACD < myMACD[1]   //first order + //let's add another stop order while price continue to go lower (more than 15 points) IF (abs(COUNTOFPOSITION)<ordersize) AND short AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT ordersize CONTRACTS AT MARKET MARK1=close SELLSHORT ordersize/2 CONTRACTS AT (close-6) STOP//should I write close instead of PositionPrice here ? EXITSHORT AT MARK1-TP LIMIT EXITSHORT AT MARK1+SL STOP ENDIF   If ShortOnMarket and abs(COUNTOFPOSITION)=2 THEN EXITSHORT AT MARK1-TP LIMIT EXITSHORT AT MARK1+SL STOP ENDIF     //let's add another order while price continue to go lower (more than 15 points) IF ShortOnMarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry and (abs(COUNTOFPOSITION)<ordersize*1.5) THEN SELLSHORT ordersize/2 CONTRACTS AT (TRADEPRICE(1)-6) STOP MARK2=(2*MARK1+CLOSE)/3 EXITSHORT AT MARK1-TP LIMIT EXITSHORT AT MARK1+SL STOP ENDIF   If ShortOnMarket and abs(COUNTOFPOSITION)=3 THEN EXITSHORT AT MARK2-TP LIMIT EXITSHORT AT MARK2+SL STOP ENDIF   //trailing stop trailingstop = TS//Best 30 //resetting variables when no trades are on market if not onmarket then MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if positionprice-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

   

  

  Toto le Heros

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  03/26/2018 at 7:49 AM #66404
  Nicolas

  En essayant avec TRADEPRICE ?

  

  Nicolas

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  03/26/2018 at 10:22 AM #66421
  Toto le Heros

  Merci de ta réponse Nicolas.

  De mémoire çà conduit à une fermeture immédiate de la stratégie et de la position avec la même erreur que POSITIONPRICE. Mais je vais réessayer. Seulement il semble qu’il y a qq bugs sur PRT DEMO ce matin (suite au chgt d’heure ?). Bref, je vais patienter un peu. A bientôt.

  

  Toto le Heros

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  03/26/2018 at 10:52 AM #66424
  Nicolas

  En effet TRADEPRICE ne sera connu qu’au Close suivant..

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  03/26/2018 at 11:40 AM #66429
  Toto le Heros

  Ok, je comprends le principe. Du coup, je vais me contenter de l’approximation tradeprice=close pour la première barre après prise de position et affiner ensuite.

  MERCI

  

  Toto le Heros

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