Bar Delay Between Entries

July 18th, 2013, 01:33 AM

Hello,

I’m trying to find a way to have at least a certain number of bars between each entry. For example, I want there be at least six bars between each entry. After another new entry, the strategy must wait at least six bars before it is allowed to add to the position again.

I’m unable to use BarsSinceEntry(0) since it refers to the first entry of the current open position. I tried to create my own function BarsSinceLastEntry to retrieve the information I need.

Code

                            
If MarketPosition <> 0 and BarSinceLastEntry >= 6 then     

Begin 

Buy more contracts at market;

End;

However, my current code isn’t working properly. When I insert it the strategy will stop adding to existing positions. Below is my own code for my own function BarsSinceLastEntry. I plotted it as an indicator and the functions appears to be working as intented. I’m not sure where I went wrong. Any ideas or suggestions would be greatly appreciated.

Code

                            
variables: var0( 0 ), var1( 0 )  ;



var0 = CurrentShares; 





if var0 > var0[1] or var0 = 0 then 

    begin 

    var1 = 0;

    end; 

    

//There must be a new entry - long or short  if CurrentShares increases.  This resets the bar count.  



if var0 = var0[1] and var0 >= 1 then 

    begin 

    var1 = var1 + 1;

    end; 



//If there is an open position, and the CurrentShares remains the same, add one to the bar count.  

    

var1 = BarsSinceLastEntry;

ABCTG · August 2nd, 2013, 06:54 AM

You might want to take a look into the reserved words PosTradeExitBar and PosTradeEntryBar. They make it possible to receive the specific entry and exit bar even with multi-leg positions.

Another approach would be to monitor a change in your market position or number of trades and save the bar number at this moment. Then you can block new trade entries as long as the new bar number < saved bar number + X.

Regards,
ABCTG

August 6th, 2015, 02:21 PM

I am having the same issue. Eagerly awaiting more info

Jura · August 9th, 2015, 05:42 AM

grew

I am having the same issue. Eagerly awaiting more info

What is "the same issue"? QuantArb talks about two things that aren't necessarily related: 'bar delay between entries and 'code stops adding to new positions'. Please be more specific if you want help.

Bar Delay Between Entries

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Bar Delay Between Entries