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Recently there was some discussion on pyramiding when doing
backtests. I'm interested in exploring the opposite kind of exposure
control: taking some profit 'off the table' mid-trade (i.e., reducing
position-size) when a certain condition is met, while leaving the
rest to be closed out upon a final exit condition.
Here's a possible scenario:
1) A protective stop that 'triggers' would exit and close the entire
position. (This is pretty straightforward and readily doable in
AFL, and is NOT what I need help on here.)
2) For the profit-taking scenario, the first condition would be that
the open trade has evolved 'in the money' after the entry bar and has
reached, say, a profit target of 5% (or perhaps a trailing stop of
the close crossing an n-day short-term moving average). This
condition would REMOVE half (or a third, or whatever fraction) of the
initial position size (assuming the size is greater than 1 unit,
obviously). What's left would remain as an open position, but
reduced in size. Then,......
3) The second condition would 'trigger' at a different (from first
condition) trailing stop OR at a 'specified' (adaptive or fixed)
retracement from the first partial-position's exit price, and the
remaining-sized open position would then be exited and closed.
Coding for scenario steps 2) and 3) are not obvious to me. Have
there been any past posts dealing with taking partial profits, ALONG
WITH CODING EXAMPLES, when doing backtesting? I did some searching
on 'purebytes', but was unable to find anything. (If there are posts
there regarding this, perhaps I didn't search correctly.)
If anyone can provide some example AFL coding or specific references
to past posts dealing with this, I'd be grateful. Thanks!!
Buzz
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