Multiple strategies in one strategy.

Vonasi · Sun, 22 Apr 2018 15:23:16 +0000

I while back I started a thread asking if anyone ran multiple variations of the same strategy on the same instrument but with different variable settings so as to cover a broad range of settings that have worked in the past. The idea being not to put all your eggs on one setting. https://www.prorealcode.com/topic/running-multiple-variations-of-the-same-strategy/ I just wrote a strategy with just one variable and it worked quite well in backtest with a period setting anywhere from 2 to 10. So I decided that rather than pick one setting for that variable I would check in the code all of them and if any of them met the buy or sell requirements it would place a trade. I then added a switch so that you can increase the positions size dependent on how many of the variable settings meet the entry criteria or just have level staking. I thought I’d share the code here (not the whole strategy just the multiple entry criteria being met bit of it) just in case anyone else was interested in the idea for their own strategies. Maybe another one for your snippet library GraHal? a = (start of range to check) b = (end of range to check) PosSizeIncrease = 0// Set to 1 to turn on increased position sizing PositionSize = 1 Flag = 0 For Period = a to b Indicator1 = (indicator)[Period] Indicator2 = (indicator)[Period] IF (long entry conditions) THEN Flag = Flag + 1 ENDIF IF (short entry conditions) THEN Flag = Flag - 1 ENDIF NEXT IF PosSizeIncrease = 1 THEN PositionSize = ABS(Flag) ENDIF IF Flag > 0 THEN BUY PositionSize Contracts at Market ENDIF IF Flag < 0 THEN SELLSHORT PositionSize Contracts at Market ENDIF IF LongOnMarket and (long exit conditions) THEN SELL at market ENDIF IF ShortOnMarket and (short exit conditions) THEN EXITSHORT at market ENDIF

This topic has 27 replies, 8 voices, and was last updated 1 month ago by GraHal.

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11/11/2020 at 7:51 PM #150182

Vonasi

I don’t think my coding idea can work with STOP orders and Renko bricks. With Renko brick sizes you would simply always be placing a STOP order at the closest level for the smallest brick.

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eckaw

Vonasi

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09/19/2024 at 2:03 PM #237820

dubbzie

Hi all,

I have read this thread with great interest, but unfortunately, I can’t find exactly what I’m looking for. I have three strategies, A, B, and C, which are quite similar. I want up to two of the strategies to be able to take a position but not all three at the same time (as it would result in too big exposure). Does anyone know how this can be solved?

dubbzie

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09/19/2024 at 2:14 PM #237821

ProfitAlgos

Hi. Try this

Mods edit: link edited out

DEFPARAM CUMULATEORDERS = true

once trade=0

IF YourTradeIdeaA and trade<=2 THEN
BUY PositionSize CONTRACT AT MARKET
trade=1
ENDIF

IF YourTradeIdeaB and trade<=2 THEN
BUY PositionSize CONTRACT AT MARKET
trade=1
ENDIF

IF YourTradeIdeaC and trade<=2 THEN
BUY PositionSize CONTRACT AT MARKET
trade=1
ENDIF

DEFPARAM CUMULATEORDERS = true

once trade=0

IF YourTradeIdeaA and trade<=2 THEN

BUY PositionSize CONTRACT AT MARKET

trade=1

ENDIF

IF YourTradeIdeaB and trade<=2 THEN

BUY PositionSize CONTRACT AT MARKET

trade=1

ENDIF

IF YourTradeIdeaC and trade<=2 THEN

BUY PositionSize CONTRACT AT MARKET

trade=1

ENDIF

ProfitAlgos

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09/19/2024 at 5:49 PM #237834

PeterSt

🙁

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JC_Bywan

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09/19/2024 at 5:56 PM #237835

Hi,

To count the number of transactions use:

Trade=Trade+1

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JC_Bywan,

ProfitAlgos

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09/19/2024 at 7:13 PM #237839

dubbzie

Thank you so much, ProfitAlgos. This solved the entire challenge!👍🎯

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ProfitAlgos

dubbzie

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09/19/2024 at 7:33 PM #237841

JC_Bywan

Moderation point: please don’t add link to a marketplace product in a proorder topic when it’s irrelevant to the topic, keep such links to relevant store dedicated topic in the “general trading discussions”, thanks. Link has been edited out.

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ProfitAlgos

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09/19/2024 at 7:49 PM #237842

ProfitAlgos

Glad, it worked out for you 😊

ProfitAlgos

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09/19/2024 at 8:19 PM #237846

dubbzie

Hmmm… that was probably a bit of a hasty judgment on my part. I also tried to include Trade=Trade+1 to count the number of transactions, as JS suggests, but then it doesn’t take a position. Should Trade=Trade+1 replace Trade=1, or how should the script look?

dubbzie

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09/19/2024 at 8:50 PM #237848

Swap “Trade=1” for “Trade=Trade+1″…

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09/20/2024 at 11:33 AM #237872

ProfitAlgos

Like this

DEFPARAM CUMULATEORDERS = true
 
once trade=0
 
IF YourTradeIdeaA and trade<=2 THEN
BUY PositionSize CONTRACT AT MARKET
trade=trade+1
ENDIF
 
IF YourTradeIdeaB and trade<=2 THEN
BUY PositionSize CONTRACT AT MARKET
trade=trade+1
ENDIF
 
IF YourTradeIdeaC and trade<=2 THEN
BUY PositionSize CONTRACT AT MARKET
trade=trade+1
ENDIF

DEFPARAM CUMULATEORDERS = true

once trade=0

IF YourTradeIdeaA and trade<=2 THEN

BUY PositionSize CONTRACT AT MARKET

trade=trade+1

ENDIF

IF YourTradeIdeaB and trade<=2 THEN

BUY PositionSize CONTRACT AT MARKET

trade=trade+1

ENDIF

IF YourTradeIdeaC and trade<=2 THEN

BUY PositionSize CONTRACT AT MARKET

trade=trade+1

ENDIF

ProfitAlgos

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10/23/2024 at 10:47 PM #239386

dubbzie

Thanks to those who have provided comments and scripts on how to combine multiple strategies into one. It works well and is very useful!

An even better solution might be if each strategy could be started separately (as standalone strategies instead of all being combined into one), otherwise, you would have to stop all of them if you want to make a change to one of the strategies. Does anyone know if it’s possible to add to each strategy’s script that it should go long if the number of long contracts on my account is a maximum of x, and otherwise not?

dubbzie

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10/24/2024 at 8:47 AM #239390

GraHal

No, we can’t do that, each strategy has to operate in isolation and cannot receive information from outside the strategy code etc.

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dubbzie

GraHal

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