Maximize the number of intraday trades to 3 trades on one day

• 08/25/2017 at 11:30 AM #44617
  Henry

  A request that was addressed to ProRealTime:

  I am looking for the code to maximize the number of intraday trades of an automatic intraday system to 3 trades on one day.

  Suggestion for an anwser:

   

  if intradaybarindex=0 then count=0 endif if (onmarket and barindex=tradeindex) or(barindex=tradeindex and barindex=tradeindex(2)) then count=count+1 endif countcondition=count<3

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  if intradaybarindex=0 then count=0 endif if (onmarket and barindex=tradeindex) or(barindex=tradeindex and barindex=tradeindex(2)) then count=count+1 endif   countcondition=count<3

  You have to add countcondition to your buy and sell conditions.

  

  Henry

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  08/25/2017 at 10:29 PM #44653
  Despair

  Does this work?

  

  Despair

  Blocked

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  04/29/2018 at 12:15 PM #69368
  Jan

  Dear Henry,

   

  I want to reduce my trades to one per day, then I searched on “Maximize the number of intraday trades ” and came to your request. I was not aware of IntradayBarIndex command possibility.

  If you want to limit your trades to one per day,  the following added condition will do:    IntradayBarIndex < (Barindex – TradeIndex(1))

  Consequently if you wan tot limit your trades to three per day,  the added condition  — IntradayBarIndex < (Barindex – TradeIndex(3)) —  should work.  Barindex  – TradeIndex(3) counts the bars between the current bar and the third previous trade (close trade)

  Hope it helps

  Do you know you can search the whole Prorealcode.com website by typing a requested topic at Search , when clicking on your AccountID, right top on the screen, see also attached Word printscreen.

   

  Kind regards,

  Jan

  

  Jan

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  12/28/2020 at 11:15 PM #155493
  Jan

  I found a problem in version 11 with limiting trades per day:

  in back testing it works fine, but with activating Automated Trading at PRT version 11, it does not work : no error codes given, the code runs in automated trading, but it does not trade ??

  I have used the code often, and it used to work fine, could anyone give me feedback what is going wrong ? See the line below and the dummy code below in the box, what I tested.

  OTD = (Barindex – TradeIndex(1) > IntradayBarIndex) // IntradayBarIndex < (Barindex – TradeIndex(1)) limits the (opening) trades till 1 per day (OTD One Trade per Day)

  Dummy trade algo to limit daily trades

  DEFPARAM cumulateOrders = false // Cumulating positions deactivated once N = 1 // nr of contracts OTD = (Barindex - TradeIndex(1) > IntradayBarIndex) // IntradayBarIndex < (Barindex - TradeIndex(1)) limits the (opening) trades till 1 per day (OTD One Trade per Day) OpeningTT = Time >= 73000 and Time <= 231500 // trading times // open buy limited to 2 roundturns per day if OTD and OpeningTT and not onmarket then //and not onmarket not needed buy N shares AT market endif //close position if onmarket and barindex - tradeindex =2 then sell at market endif //graph IntradayBarindex //Graph TradeIndex //priceexit //graph barindex

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  DEFPARAM cumulateOrders = false // Cumulating positions deactivated   once N = 1  // nr of contracts   OTD = (Barindex - TradeIndex(1) > IntradayBarIndex)  // IntradayBarIndex < (Barindex - TradeIndex(1)) limits the (opening) trades till  1 per day (OTD One Trade per Day)   OpeningTT = Time >= 73000 and Time <= 231500 // trading times     // open buy limited to 2 roundturns per day if OTD and OpeningTT and not onmarket then //and not onmarket not needed buy N shares AT market endif //close position if onmarket and barindex - tradeindex =2 then sell at market endif   //graph IntradayBarindex //Graph TradeIndex //priceexit //graph barindex

   

  

  Jan

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  01/01/2021 at 12:52 PM #155852
  Jan

  About my previous post above: I found that there is no error, so no problem.

  Make sure a strategy with limited trades per day, as coded OTD = (Barindex – TradeIndex(1) > IntradayBarIndex) starts running the previous day, than it works fine !

  Explanation:

  OTD = (Barindex – TradeIndex(1) > IntradayBarIndex)  :   

  When starting running the strategy,  TradeIndex is always zero, as not trade made yet !  During the first day after the strategy has been started,  Barindex  equals IntradayBarindex and, as TradeIndex is initially zero,  the condition Barindex – TradeIndex(1) > IntradayBarIndex is never true.  IntradayBarindex resets every day, it counts the bars during the day.

  The next day of running the strategy, Barindex is greater then IntradayBarindex, so the condition become true, and the limitation of number of trades works fine.

   

  

  Jan

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  01/01/2021 at 4:14 PM #155859
  nonetheless

  Thanks for that clarification Jan. I have a few strategies that use your OTD code (in conjunction with your crossing averages), but they’re recently re-worked for v11 and haven’t taken any trades yet.

  But do you mean that OTD will work on the second day after activation, or the second day after it takes a trade? (ie, the first day that it trades it will potentially make more than one?)

  

  nonetheless

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  01/01/2021 at 6:29 PM #155872
  Jan

  Goodevening nonetheless,

   

  a healthy and prosperous New Year 2021 !

  To answer your question:

  OTD will work the second day after activation.

  At the first day after activation Barindex and IntradayBarindex are always the same,  and the  (Barindex – TradeIndex(1) > IntradayBarIndex)  never becomes true.  This changes as BarIndex continues on the second day, while IntradayBarIndex resets itself.

  In the simulation results, you do not see this (that’s why I could not understand it was not working after activation), as default 1000 bars are loaded. If you enter at the end of the dummy code “Graph Barindex” and “Graph IntradayBarIndex” you can see the values of the two.

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  nonetheless

  

  Jan

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