Stop & Reverse

June 11th, 2014, 10:10 AM

i have a strategy that is stop and reverse and I want to place a limit exit, however when i do this once the strategy exits it position it will automatically get right back into the long or short position. I tried to put code in that says "if marketposition <> -1 then begin" but then the strategy generates no trades... how can i prevent a strategy from automatically re-entering in the same direction? The goals is to take the Long Short Strategy and place limit exists but once a short or long achieves its exit not to entry until the next trade... which if long would be short and vis-versa.

ABCTG · June 11th, 2014, 10:59 AM

ausstone,

you could store the previous market position of the entry and then check this against the new entry. Another idea would be to use the exit name and make sure the last exit wasn't a long limit exit in case you want to enter long.
The latter requires OOEL, but the first idea is fairly simple. The only thing to keep in mind is that you only want to store the previous market position if you are long or short and not if your are flat.

Regards,
ABCTG

ausstone

i have a strategy that is stop and reverse and I want to place a limit exit, however when i do this once the strategy exits it position it will automatically get right back into the long or short position. I tried to put code in that says "if marketposition <> -1 then begin" but then the strategy generates no trades... how can i prevent a strategy from automatically re-entering in the same direction? The goals is to take the Long Short Strategy and place limit exists but once a short or long achieves its exit not to entry until the next trade... which if long would be short and vis-versa.

June 11th, 2014, 02:08 PM

is there any possible way to have an underlying stop and reverse strategy and on top of that overlay a exit management strategy with out effecting entries for the main strategy?

thanks

ABCTG · June 11th, 2014, 02:14 PM

ausstone,

that would depend on the main strategy. In your case I guess not without modifications like I explained in the post above.

Regards,
ABCTG

June 11th, 2014, 05:16 PM

i did something like this:

Code

if exitname(1) <> "Ex_Long" then begin  
LOGIC LOGIC then buy ("E_Long") amount contracts next bar  at market;
end;

if exitname(1) <> "Ex_Short" then begin 
LOGIC LOGIC then sellshort("E_Short")  amount contracts next bar  at market;
end;

if openpositionprofit > 1000 then begin
	sell ("Ex_Long")Next Bar At market;
	BuyToCover ("Ex_Short")Next Bar At market;
	end;

but it does not seem to make a different... it still exits and just re entries.. i tried to find a posting about this but no luck

ABCTG · June 11th, 2014, 05:26 PM

To make sure, are you using Multicharts or Tradestation?

June 11th, 2014, 07:19 PM

multicharts

June 11th, 2014, 09:14 PM

i got it working with the following code:

Code

///// this part starts the strategy other wise there will be no orders generated.
if BarNumber < 100 then begin
LOGIC LOGIC then buy ("E_Long1") amount contracts next bar  at market; 
LOGIC LOGIC then sellshort("E_Short1")  amount contracts next bar  at market;
end;  
//////end


if exitname(1) = ("Ex_Short") or entryname = ("E_Short") then begin  
LOGIC LOGIC then buy ("E_Long") amount contracts next bar  at market;
end;

if exitname(1) = ("Ex_Long") or entryname = ("E_Long")  then begin  
LOGIC LOGIC then sellshort("E_Short")  amount contracts next bar  at market;
end;

if openpositionprofit > 1000 then begin
	sell ("Ex_Long")Next Bar At market;
	BuyToCover ("Ex_Short")Next Bar At market;
	end;

ABCTG · June 12th, 2014, 03:09 AM

Great. Another thing that should work for you is using flags that allow/block the entries.
Something along the lines of this:

Code

Variables:
LongAllowed(true),
ShortAllowed(true);

LOGIC LOGIC and LongAllowed then begin
LongAllowed = false ;
ShortAllowed = true ;
buy ("E_Long") amount contracts next bar  at market;
end;


LOGIC LOGIC and ShortAllowed then begin
LongAllowed = true ;
ShortAllowed = false ;
sellshort("E_Short")  amount contracts next bar  at market;
end;

if openpositionprofit > 1000 then begin
	sell ("Ex_Long")Next Bar At market;
	BuyToCover ("Ex_Short")Next Bar At market;
	end;

Regards,
ABCTG

ausstone

i got it working with the following code:

Code

///// this part starts the strategy other wise there will be no orders generated.
if BarNumber < 100 then begin
LOGIC LOGIC then buy ("E_Long1") amount contracts next bar  at market; 
LOGIC LOGIC then sellshort("E_Short1")  amount contracts next bar  at market;
end;  
//////end


if exitname(1) = ("Ex_Short") or entryname = ("E_Short") then begin  
LOGIC LOGIC then buy ("E_Long") amount contracts next bar  at market;
end;

if exitname(1) = ("Ex_Long") or entryname = ("E_Long")  then begin  
LOGIC LOGIC then sellshort("E_Short")  amount contracts next bar  at market;
end;

if openpositionprofit > 1000 then begin
	sell ("Ex_Long")Next Bar At market;
	BuyToCover ("Ex_Short")Next Bar At market;
	end;

Stop & Reverse

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Stop & Reverse