Simple BB Strategy that needs help
- This topic has 18 replies, 5 voices, and was last updated 2 months ago by
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Hi,
When I look at the code you go “Long” when the “Close<Blower” and “Short” when the “Close>BUpper”…
If you want to go “short” you must use “SellShort” in your code…
So, line 20 of the code should be: “SellShort 1 Lot at Market”
Furthermore, if you want to use “cumulative orders” then the following line in your code must be used: “DefParam CumulateOrders=True”
With this, any “Close” that goes outside the BB will generate an order…
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Hi, As JS indicates in his answer, in order to enter more orders you have to put the instruction
defparam cumulateorders=trueon the first line. On the other hand, the entry condition must be changed so that it can accumulate positions. You have to removeif not longonmarket. This makes the purchase only occur if it is not bought. Also the instruction to go short issellshort1234567891011121314151617181920212223242526defparam cumulateorders=true// Strategy 1 Mean Revision TradeBUpper = BollingerUp[20](Close)BLower = BollingerDown[20](Close)//Conditions to enter a long tradeIF Low [1]< BLower THENBUY 1 CONTRACTS AT MARKETENDIF//Conditions to close a long tradeIf LongOnMarket AND High > BUpper THENSELL AT MARKETENDIF//Conditions to enter a short tradeIF High > BUpper THENSELLshort 1 CONTRACTS AT MARKETENDIF//Conditions to close a short tradeIF ShortOnMarket AND Low > BLower THENEXITSHORT AT MARKETENDIFSET STOP TRAILING 161 user thanked author for this post.
The system works as you designed… It opens new positions in the next bar open when conditions are met.
Look at the screenshot.1 user thanked author for this post.
As a guess, from your image, the code only allows 1 buy and 1 sell at a time, due to IF NotxxxxOnMarket.
It appears that…
On 30 sept 19:00 Buy entry @ 1.11485 is exited by 2 oct 11:00 Sell entry 1.10723 and the difference is 0.00762 ( $ 762 )
Then 2 oct 11:00 Sell exit @ 1.10723 and is exited by 2 oct 12:00 Buy exit 1.10717 and the difference is 0.00006 ( $ 6 )
However , I may have got the entry and exit transposed, but the numbers seem to correlate.
I’m still guessing, I think its a combination having buy and sell in same strategy, with the buy exit condition and sell entry condition the same along with the 1 entry of each.
So, when the buy exit is triggered, then the sell entry could also be triggered in the same bar, does one take precedence over the other!, also the entry for long and short are slightly different low[1] , high[0] .
If code line are executed in sequence this can’t happen the other way round, short exit _ long entry, it would have to wait for the next bar.
This sequence of events may be happening on other trades and maybe that’s what tripping up the trailing stop, thinking its in a buy but its in a sell or something.
To test, I would have two strategy’s one long, one short, see if correct trades are taken, and compared to current strategy results, this may show the difference.
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When defparam cumulateorders=true your code will trade even when a postion is open. If you change this to false or add “if not onmarket” to your buy conditions (if you whant to acumulate positons) this will be controlled.
1 user thanked author for this post.
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