Weird results for one position with and without defparam cumulate orders
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I wrote a very simple end of day strategy that went long and short the EURUSD Daily and that only had one position open at a time and only held for one day or continued holding the one position if conditions were still true. Here is the strategy but with the entry conditions removed because they are not relevant to the problem:
1234567891011121314c1 = (simple price action condition)c2 = (simple long look back filter)c3 = (simple short look back filter)sell at marketexitshort at marketif c1 and c2 thenbuy 1 contract at marketendifif not c1 and c3 thensellshort 1 contract at marketendif…here are the results:
I then thought that I would add a DEFPARAM CUMULATEORDERS = FALSE to the strategy just as belt and braces but surprisingly the results changed – even though neither version opens more than one position at a time.
Here are the results:
Why did the results change?
I think I found out why the results are so different but I still don’t understand why adding DEFPARAM CUMULATEORDERS = FALSE has made the difference. It appears that with it there is never a position shown as open two days in a row but without it there is.
Here is with DEFPARAM CUMULATEORDERS = FALSE:
and without:
I feel like this has been discussed before but I can’t recall what the conclusion was!
I always use DEFPARAM CumulateOrders=false, nonetheless I always add NOT ONMARKET to my conditions to enter a trade.
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Yes
123if (not c1) and c3 thenif not c1 and c3 thenare the same logic.
I think we may be confusing each other as your code didn’t highlight the issue at all due to the conditions in it. If we only consider my last example code which does show the issue then I think ProOrders behaviour is as I suggested earlier – it just cancels any orders to enter the market if CUMULATE ORDERS = FALSE so if you have a BUY and a SELL then you just get left with a SELL. TRUE changes nothing as the the code itself will never allow more than one position because you are only buying or shorting once per bar and closing trades once per bar.
The number of trades was:
- FALSE = 3689
- TRUE = 2830
- NONE = 2830
Once again it can be seen that there is never a trade for two joined bars with it set to FALSE so the DEFPARAM order is just cancelling all BUY or SELLSHORT orders because we are already on the market.
Yes by joined I mean one following the other.
I don’t believe that this is a bug – it is just that we need to fully understand how DEFPARAM CUMULATEORDERS = FALSE works before deciding to put it in our strategy code.
Considering just the long side of my strategy – if it is on the market with no DEFPARAM CUMULATEORDERS = FALSE or with a DEFPARAM CUMULATEORDERS = TRUE in the code then it can do one of two things at the close of a candle:
- Sends a BUY order and a SELL order that cancel each other out so it just stays on the market with the one position.
- Send just a SELL order so the position closes.
If we add a DEFPARAM CUMULATEORDERS = FALSE to the strategy then it does the following:
- Sends a BUY order and a SELL order but the BUY order is cancelled by the DEFPARAM CUMULATEORDERS = FALSE so we are left with just a SELL order. This means that it is impossible to stay on the market two candles in a row.
- Send just a SELL order so the position closes.
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