Need help in coding simple multiple stops. Cannot figure out what’s wrong

• 08/16/2021 at 8:50 AM #175429
  phanz

  Hi all,

  I tried to write a simple and straight forward code, but somehow it does not work as expected and look very off.  Its relatively simple code, and I cannot quite figure out which part is the mistake.  Can anyone pls help with some advise and put me out of my misery?  Thanks.

  // // Long only strategy to buy 10 contracts when price crosses over SMA(55), // which is the middle of Billinger Band // and stop loss set to the swing low // // Sell 5 when price cross the upper bollinger band of 1 SD (BBUp1SD) // and stop loss set to the swing low // // Sell 3 when price cross the upper bollinger band of 2 SD (BBUp2SD) // and stop loss set to the middle of bollingerband SMA(55) // // and sell 2 when price cross the upper bollinger band of 3 SD (BBUp3SD) // and stop loss set to BBUp1SD) // DEFPARAM CumulateOrders = False //Define parameters SMA55 = average[55](close) BBUp1SD = Average[55](close) + (1*std[55](close)) BBUp2SD = Average[55](close) + (2*std[55](close)) BBUp3SD = Average[55](close) + (3*std[55](close)) //Entry Conditions LongCondition = close > SMA55 // Take Profit conditions TP1Condition = close Crosses over BBUp1SD TP2Condition = close > BBUp2SD TP3Condition = close > BBUp3SD // Stop Loss Definition SwingLow = lowest[10](low[1]) If LongCondition and Not LongOnMarket Then buy 10 Contracts at market Flag1 = 0 Flag2 = 0 Set Stop Loss SwingLow EndIf If LongOnMarket AND TP1Condition AND Flag1 and Flag2 Then Sell 5 Contract At Market Flag1 = 1 Set Stop Loss SMA55 EndIF If LongOnMarket AND TP2Condition AND Flag2 AND NOT Flag1 Then Sell 3 Contract At Market Flag2 = 1 Set Stop Loss BBUP1SD EndIf If LongOnMarket AND TP3Condition AND NOT FLAG1 AND NOT Flag2 then sell 2 Contracts At market endif

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  // //  Long only strategy to buy 10 contracts when price crosses over SMA(55), //  which is the middle of Billinger Band //  and stop loss set to the swing low // //  Sell 5 when price cross the upper bollinger band of 1 SD (BBUp1SD) //  and stop loss set to the swing low // //  Sell 3 when price cross the upper bollinger band of 2 SD (BBUp2SD) //  and stop loss set to the middle of bollingerband SMA(55) // //  and sell 2 when price cross the upper bollinger band of 3 SD (BBUp3SD) //  and stop loss set to BBUp1SD) //   DEFPARAM CumulateOrders = False   //Define parameters SMA55 = average[55](close) BBUp1SD = Average[55](close) + (1*std[55](close)) BBUp2SD = Average[55](close) + (2*std[55](close)) BBUp3SD = Average[55](close) + (3*std[55](close))   //Entry Conditions LongCondition = close > SMA55   // Take Profit conditions TP1Condition = close Crosses over BBUp1SD TP2Condition = close > BBUp2SD TP3Condition = close > BBUp3SD   // Stop Loss Definition SwingLow = lowest[10](low[1])       If LongCondition and Not LongOnMarket Then buy 10 Contracts at market Flag1 = 0 Flag2 = 0 Set Stop Loss SwingLow EndIf   If LongOnMarket AND TP1Condition AND Flag1 and Flag2 Then Sell 5 Contract At Market Flag1 = 1 Set Stop Loss SMA55 EndIF   If LongOnMarket AND TP2Condition AND Flag2 AND NOT Flag1 Then Sell 3 Contract At Market Flag2 = 1 Set Stop Loss BBUP1SD EndIf   If LongOnMarket AND TP3Condition AND NOT FLAG1 AND NOT Flag2 then sell 2 Contracts At market endif

  

  phanz

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  08/16/2021 at 9:20 AM #175435
  PeterSt

  Hello phanz – What I would do make If/Else situations of all the Buy’s and Sell’s, so that you can automatically be sure that nothing happens twice (unless you explicitly want it to happen twice, of course).

  Something else I see is the several StopLoss commands occurring. Maybe some insider can tell whether this is allowed. Thus in your case you might change a StopLoss (value) at each bar because of e.g. the SMA changes each bar. I envision that some broker may not be happy with that (because these commands go to the broker for real (when live of course) and for that reason PRT may not allow it. For example, possibly it sets the StopLoss only once after the order is filled.

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  PeterSt

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  08/16/2021 at 12:39 PM #175462
  phanz

  Hi PeterSt,

  Thank you for your suggestion.  The Elsif function defnitely help.  At least the entry and take profit code works as expected.

  i purposely set the TP3 target to be unreachable to check if the Stop Loss order works.  Unfortunately the SL order does not work.  More investigations needed.  If anyone can give a helping hand will be greatly appreciated.  Thank you.

   

  // // Long only strategy to buy 10 contracts when price crosses over SMA(55), // which is the middle of Bollinger Band // and stop loss set to the swing low // // Sell 5 when price cross the upper bollinger band of 1 SD (BBUp1SD) // and stop loss set to the swing low // // Sell 3 when price cross the upper bollinger band of 2 SD (BBUp2SD) // and stop loss set to the middle of bollingerband SMA(55) // // and sell 2 when price cross the upper bollinger band of 3 SD (BBUp3SD) // and stop loss set to BBUp1SD) // DEFPARAM CumulateOrders = False //Define parameters SMA55 = average[55](close) BBUp1SD = Average[55](close) + (1*std[55](close)) BBUp2SD = Average[55](close) + (2*std[55](close)) BBUp3SD = Average[55](close) + (3*std[55](close)) //Entry Conditions LongCondition = close > SMA55 // Take Profit conditions TP1Condition = close Crosses over BBUp1SD TP2Condition = close > BBUp2SD TP3Condition = close > BBUp2SD // Stop Loss Definition SwingLow = lowest[10](low[1]) If LongCondition and Not LongOnMarket Then buy 10 Contracts at market Flag1 = 0 Flag2 = 0 Set Stop Loss SwingLow ElsIf LongOnMarket AND TP1Condition AND Flag1=0 and Flag2=0 Then Sell 5 Contract At Market Flag1 = 1 Set Stop Loss SMA55 ElsIf LongOnMarket AND TP2Condition AND Flag1=1 AND Flag2=0 Then Sell 3 Contract At Market Flag2 = 1 Set Stop Loss BBUP1SD ElsIf LongOnMarket AND TP3Condition AND NOT FLAG1=1 AND Flag2=2 then sell 2 Contracts At market endif

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  // //  Long only strategy to buy 10 contracts when price crosses over SMA(55), //  which is the middle of Bollinger Band //  and stop loss set to the swing low // //  Sell 5 when price cross the upper bollinger band of 1 SD (BBUp1SD) //  and stop loss set to the swing low // //  Sell 3 when price cross the upper bollinger band of 2 SD (BBUp2SD) //  and stop loss set to the middle of bollingerband SMA(55) // //  and sell 2 when price cross the upper bollinger band of 3 SD (BBUp3SD) //  and stop loss set to BBUp1SD) //   DEFPARAM CumulateOrders = False   //Define parameters SMA55 = average[55](close) BBUp1SD = Average[55](close) + (1*std[55](close)) BBUp2SD = Average[55](close) + (2*std[55](close)) BBUp3SD = Average[55](close) + (3*std[55](close))   //Entry Conditions LongCondition = close > SMA55   // Take Profit conditions TP1Condition = close Crosses over BBUp1SD TP2Condition = close > BBUp2SD TP3Condition = close > BBUp2SD   // Stop Loss Definition SwingLow = lowest[10](low[1])       If LongCondition and Not LongOnMarket Then buy 10 Contracts at market Flag1 = 0 Flag2 = 0 Set Stop Loss SwingLow   ElsIf LongOnMarket AND TP1Condition AND Flag1=0 and Flag2=0 Then Sell 5 Contract At Market Flag1 = 1 Set Stop Loss SMA55   ElsIf LongOnMarket AND TP2Condition AND Flag1=1 AND Flag2=0 Then Sell 3 Contract At Market Flag2 = 1 Set Stop Loss BBUP1SD   ElsIf LongOnMarket AND TP3Condition AND NOT FLAG1=1 AND Flag2=2 then sell 2 Contracts At market   endif

   

  

  phanz

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  08/16/2021 at 12:49 PM #175463
  phanz

  Hi sorry Line 30 shud read:

  TP3Condition = close > BBUp3SD

  

  phanz

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  08/16/2021 at 1:59 PM #175472
  GraHal

  phanz wrote:

  the SL order does not work

  Which one does not work … you have several in the code?

  SL within ElsIf would only work if the conditions within respective ElsIf are met.

  Just a few thoughts.

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  GraHal

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  08/16/2021 at 2:34 PM #175475
  phanz

  Hi,

  Line 43 we see the condition for the system to sell 5 contracts at TP1.

  Line 48 we see the condition for the system to sell 3 contracts at TP2.  So after the sale of the 3 contracts, we have balance of 2 contracts left (10-5-3=2).

  Pls see the attached screenshot.

  And also in Line 51 we Set Stop Loss BBUp1SD.  So from the screenshot, the balance 2 contracts should have been taken out at point X by the virtue of the Set Stop Loss BBUp1SD.  Since TP2 is executed, the Set Stop Loss BBUp1SD shud be read by the algo right?

  // // Long only strategy to buy 10 contracts when price crosses over SMA(55), // which is the middle of Billinger Band // and stop loss set to the swing low // // Sell 5 when price cross the upper bollinger band of 1 SD (BBUp1SD) // and stop loss set to the swing low // // Sell 3 when price cross the upper bollinger band of 2 SD (BBUp2SD) // and stop loss set to the middle of bollinger band SMA(55) // // and sell 2 when price cross the upper bollinger band of 3 SD (BBUp3SD) // and stop loss set to BBUp1SD) // DEFPARAM CumulateOrders = False //Define parameters SMA55 = average[55](close) BBUp1SD = Average[55](close) + (1*std[55](close)) BBUp2SD = Average[55](close) + (2*std[55](close)) BBUp3SD = Average[55](close) + (3*std[55](close)) //Entry Conditions LongCondition = close > SMA55 // Take Profit conditions TP1Condition = close Crosses over BBUp1SD TP2Condition = close > BBUp2SD TP3Condition = close > BBUp3SD // Stop Loss Definition SwingLow = lowest[10](low[1]) If LongCondition and Not LongOnMarket Then buy 10 Contracts at market Flag1 = 0 Flag2 = 0 Set Stop Loss SwingLow ElsIf LongOnMarket AND TP1Condition AND Flag1=0 and Flag2=0 Then Sell 5 Contract At Market Flag1 = 1 Set Stop Loss SMA55 ElsIf LongOnMarket AND TP2Condition AND Flag1=1 AND Flag2=0 Then Sell 3 Contract At Market Flag2 = 1 Set Stop Loss BBUP1SD ElsIf LongOnMarket AND TP3Condition AND FLAG1=1 AND Flag2=1 then sell 2 Contracts At market endif

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  // //  Long only strategy to buy 10 contracts when price crosses over SMA(55), //  which is the middle of Billinger Band //  and stop loss set to the swing low // //  Sell 5 when price cross the upper bollinger band of 1 SD (BBUp1SD) //  and stop loss set to the swing low // //  Sell 3 when price cross the upper bollinger band of 2 SD (BBUp2SD) //  and stop loss set to the middle of bollinger band SMA(55) // //  and sell 2 when price cross the upper bollinger band of 3 SD (BBUp3SD) //  and stop loss set to BBUp1SD) //   DEFPARAM CumulateOrders = False   //Define parameters SMA55 = average[55](close) BBUp1SD = Average[55](close) + (1*std[55](close)) BBUp2SD = Average[55](close) + (2*std[55](close)) BBUp3SD = Average[55](close) + (3*std[55](close))   //Entry Conditions LongCondition = close > SMA55   // Take Profit conditions TP1Condition = close Crosses over BBUp1SD TP2Condition = close > BBUp2SD TP3Condition = close > BBUp3SD   // Stop Loss Definition SwingLow = lowest[10](low[1])       If LongCondition and Not LongOnMarket Then buy 10 Contracts at market Flag1 = 0 Flag2 = 0 Set Stop Loss SwingLow   ElsIf LongOnMarket AND TP1Condition AND Flag1=0 and Flag2=0 Then Sell 5 Contract At Market Flag1 = 1 Set Stop Loss SMA55   ElsIf LongOnMarket AND TP2Condition AND Flag1=1 AND Flag2=0 Then Sell 3 Contract At Market Flag2 = 1 Set Stop Loss BBUP1SD   ElsIf LongOnMarket AND TP3Condition AND FLAG1=1 AND Flag2=1 then sell 2 Contracts At market   endif

   

  

  phanz

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  08/16/2021 at 8:29 PM #175492
  phanz

  Hi guy, will really appreciate if anyone can give some advice on this.  Thank you for your time.  Cheers

  

  phanz

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  08/16/2021 at 9:32 PM #175494
  GraHal

  Have you tried using GRAPH on all of your conditions to make sure all conditions are being met when you are expecting them to be?

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  GraHal

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  08/19/2021 at 9:29 AM #175678
  robertogozzi

  You are using SET STOP LOSS incorrectly, as it doesn’t require a price (CLOSE, SMA55, HIGH, BollingerUP, etc…) but a price difference such as RANGE, (close – low[1]),  (close – BollingerUP), (SMA55 – close), AverageTrueRange, etc…).

  SET STOP pLOSS is the sane as above but it requires that the difference be expressed in pips, usually PIPSIZE, such as (Sma55 – close ) * PipSize.

  The same rules apply to SET TARGET PROFIT.

   

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  robertogozzi

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  08/19/2021 at 6:25 PM #175722
  phanz

  Hi Roberto,

  Thank you for taking your time to reply and correcting my mistakes.  I have few qns about the nature of multiple stops.

  Looking at the code below, when the code open a long trade, it sends the StopLoss (SL) order as SL1.  Then after the first partial profit taking, it sends the SL orders as SL2.  My question is, is the SL1 order cancelled and a new SL oda SL2 is sent?  Likewise after 2nd profit taking, the algo set SL as SL3.  So at any point in time, there is only one SL order, which in this case the latest one SL3 right (no more SL1 and SL2 oda).  Is my understanding correct?

  Also  “Set Stop Loss 0 ” before exiting the endif ?

  Thanks!

   

  If LongCondition and Not LongOnMarket Then buy 10 Contracts at market Flag1 = 0 Flag2 = 0 Set Stop Loss SL1 ElsIf LongOnMarket AND TP1Condition AND Flag1=0 and Flag2=0 Then Sell 5 Contract At Market Flag1 = 1 Set Stop Loss SL2 ElsIf LongOnMarket AND TP2Condition AND Flag1=1 AND Flag2=0 Then Sell 3 Contract At Market Flag2 = 1 Set Stop Loss SL3 ElsIf LongOnMarket AND TP3Condition AND FLAG1=1 AND Flag2=1 then sell 2 Contracts At market Set Stop Loss 0 endif

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

  If LongCondition and Not LongOnMarket Then buy 10 Contracts at market Flag1 = 0 Flag2 = 0 Set Stop Loss SL1 ElsIf LongOnMarket AND TP1Condition AND Flag1=0 and Flag2=0 Then Sell 5 Contract At Market Flag1 = 1 Set Stop Loss SL2 ElsIf LongOnMarket AND TP2Condition AND Flag1=1 AND Flag2=0 Then Sell 3 Contract At Market Flag2 = 1 Set Stop Loss SL3 ElsIf LongOnMarket AND TP3Condition AND FLAG1=1 AND Flag2=1 then sell 2 Contracts At market Set Stop Loss 0 endif

   

  

  phanz

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  08/19/2021 at 7:34 PM #175727
  murre87

  How does the complete code look like?

  How does the backtest look like?

  

  murre87

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  08/20/2021 at 8:46 AM #175754
  phanz

  The code is in #175475.  Its not really a trading strategy as I am just experimenting with stop loss and limit orders.

  

  phanz

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  08/20/2021 at 9:57 AM #175761
  robertogozzi

  I never tried setting  different SLs that way, as I use pending STOP orders, but they seem correct. If they work, then they are! 🙂

  Set Stop Loss 0

  1	Set Stop Loss 0

  simply removes any active SL.

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  robertogozzi

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