Where is the mistake?

February 20th, 2021, 02:46 AM

Hi everyone,

I create the following code (see below), but my stop loss doesnt seem to work at some instances (both for the "stop l" and the "Stop&rev 1". Any idea why?

Thanks!

Code

//Determine current and target profit
TargetProfit = highest(close,MAlen) - lowest(close,MALen);
CurrentProfit = Close - Entryprice(1);

//Define entry
If ATR < ATRlowest[1] and MADiff < EntryAmount then  buy next bar at market;

//Define exit - if initilal is buy
If barssinceentry < 100 AND MarketPosition = 1 AND CurrentProfit < -stopamount then sellshort ("Stop&rev l") next bar at market;
If Currentprofit > TargetProfit then sell ("Long target hit 1") next bar at market;

If barssinceentry > 100 AND MarketPosition = 1 AND CurrentProfit < -stopamount then sell ("Stop l") next bar at market;
If Currentprofit > TargetProfit then sell ("Long target hit 2") next bar at market;

//Define exit - if intial is sell
If MarketPosition = -1 AND CurrentProfit < -stopamount then buy ("Stop&rev  s") next bar at market;
If Currentprofit > TargetProfit then buytocover ("Short targe hit") next bar at market;

February 21st, 2021, 10:37 AM

Not an expert, but I will point out that Tradestation runs code at the end of the bar, for action on the next bar. Since your stops are dependent upon you having a position (you use marketposition to check this) the bar that you enter your position, you will have no stop for that bar as marketposition was different at end of the previous bar. You can get around this by creating your own tracker variable to monitor your position and when you create a new order, update the variable.

ie

Code

//Update Variable
If marketposition > 0 then WeAreLong = 1 else WeAreLong = 0

//Define entry
If ATR < ATRlowest[1] and MADiff < EntryAmount then begin
 buy next bar at market;
 WeAreLong = 1 // This tells the code, you will be long next bar, hence make sure you have a stop
End;

//Define exit - if initilal is buy
If barssinceentry < 100 AND WeAreLong = 1 AND ..... // replace marketposition = 1 with WeAreLong = 1

February 21st, 2021, 10:17 PM

It's possible the Entryprice(1) is the culprit. Entryprice(0) is your current position entry. Entryprice(1) is your previous position. Looks like most of the logic is expecting more than one bar to hit stops or targets so you may not need intrabar order generation but that may be a good thing to check if you are expecting some fills in the same bar. I can see that being detrimental to this strategy though.

kevinkdog · February 22nd, 2021, 06:34 AM

Instead of CurrentProfit, I'd use OpenPositionProfit, which is a reserved word.

There may be cases where your calculation of CurrentProfit is incorrect, due to flipping of positions, etc.

Where is the mistake?

Discussion in EasyLanguage Programming

Where is the mistake?