POSITIONPERF and Highest[] function for TAKE PROFIT

• 11/10/2016 at 9:08 AM #16276
  Philippo

  Hi all, I notice my strategy is good at picking entries and then cumulates the position when it meets further entry signals and is in profit. Trouble is that this kind of strategy needs to be very protective over its gains or as quick as they come, they go on the first downturn.

  I would like to set an exit point based purely on the position performance, that is I want to lock in some gains by identifying when position performance is turning south. Exactly how, not sure, but something like:

  if positionperf < (Highest positionperf over 20 bars *0.95)  (i.e. we’re losing 5% from our peak gain in the last 20 bars) then

  close position

  endif

  n= highest[20](POSITIONPERF)

  I am trying to identify the point in the last 20 bars when my position was best. From there I will exit position if it falls below a certain %.

  However the command above when pushed through the GRAPH command does not produce the expected, it’s blank. Is this the right way or is there a way with SET STOP %TRAILING y? Note I am using cumulative orders.

   

   

  

  Philippo

  Participant

  Topics: 20

  Replies: 30

  Been thanked: 2 times
  11/10/2016 at 9:22 AM #16281
  Nicolas

  You could use the “floatingprofit” variable calculation we made for cfta’s pyramiding trading strategy

  This is an idea not tested, it may suit your request I think:

  if not onmarket then highestprofit = 0 endif if onmarket then //floating profit floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize //actual trade gains highestprofit = max(highestprofit,floatingprofit) endif

  1 2 3 4 5 6 7 8 9

  if not onmarket then highestprofit = 0 endif   if onmarket then //floating profit floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize //actual trade gains highestprofit = max(highestprofit,floatingprofit) endif

  The “highestprofit” variable store the maximum profit met while we are still on market. So you can made your own calculation from there.. Would be glad to know if it works for you! Share your code! 🙂

   

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4775 times
  11/10/2016 at 9:54 AM #16286
  Philippo

  I have doubts that positionperf works like other variables….

  

  Philippo

  Participant

  Topics: 20

  Replies: 30

  Been thanked: 2 times
  11/10/2016 at 9:55 AM #16287
  Philippo

  that looks exactly what I am looking for 🙂 Thanks

  

  Philippo

  Participant

  Topics: 20

  Replies: 30

  Been thanked: 2 times
  11/10/2016 at 10:55 AM #16298
  Philippo

  Hi, I need even simpler, but couldn’t have done it without your help Nicolas, thanks

  PositionKeepProfit=0.1 // max allowed drop from highest profit peak // //other code // if not onmarket then maxperf=0 else maxperf= max(positionperf, maxperf) bailout = (1-positionperf/maxperf) > PositionKeepProfit if bailout and longonmarket then SELL AT MARKET exitreason=-9 elsif bailout and shortonmarket then EXITSHORT AT MARKET exitreason=-10 endif endif

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

  PositionKeepProfit=0.1 // max allowed drop from highest profit peak // //other code //   if not onmarket then maxperf=0 else maxperf= max(positionperf, maxperf) bailout = (1-positionperf/maxperf) > PositionKeepProfit if bailout and longonmarket then SELL AT MARKET exitreason=-9 elsif bailout and shortonmarket then EXITSHORT AT MARKET exitreason=-10 endif endif

  1

  

  Philippo

  Participant

  Topics: 20

  Replies: 30

  Been thanked: 2 times
• Author
  Posts