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Hi,
I posted a question yesterday or th day before, and maybe it was lost in all the emails, or whatever. So I post it again. If I can only understand this I am sure I can go a long way. Thanks!
* * *
I tried to build a simple system with a first profit target of 10% and
a scaling of position, followed by a sell signal issued by specific
indicators. The following code is dumb enough; it's only an example I
gave myself to try to learn
SetOption("UseCustomBacktestProc", False);
//
SetOption("MaxOpenPositions", 3 );
SetOption("InitialEquity", 100000 );
SetOption("AllowPositionShrinking", True );
SetOption ("AllowSameBarExit", False);
SetOption ("ActivateStopsImmediately", False);
SetOption ("MinShares", 100);
SetOption ("MinPosValue", 5000);
SetOption ("PriceBoundChecking", True);
SetOption ("CommissionMode", 2);
SetOption ("CommissionAmount", 25);
SetOption ("AccountMargin", 100);
SetOption ("ReverseSignalForcesExit", True);
SetOption ("UsePrevBarEquityForPosSizing", True);
SetOption ("PortfolioReportMode", 0);
Buy = RSI (14)<30
AND EMA (ADX (14),10)<20;
Sell = 0;
// the system will exit
// 50% of position if FIRST PROFIT TARGET stop is hit
// 50% of position is SECOND PROFIT TARGET stop is hit
// 100% of position if TRAILING STOP is hit
FirstProfitTarget = 10; // profit
SecondProfitTarget = 20; // in percent
TrailingStop = 10; // also in percent
priceatbuy=0;
highsincebuy = 0;
exit = 0;
CloseEMA = EMA(C,50);
RSI14= RSI (14);
for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 AND Buy[ i ] )
{
priceatbuy = BuyPrice[ i ];
}
if( priceatbuy > 0 )
{
highsincebuy = Max( High[ i ], highsincebuy );
if( exit == 0 AND
High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy)
{
// first profit target hit - scale-out -
exit = 1;
Buy[ i ] = sigScaleOut;//Réduit position de %.
}
if
( exit == 1
AND
(Close[i]<CloseEma[i-1]
OR
RSI14[i]>75
)
)
{
// second profit target hit - exit
exit = 2;
SellPrice[ i ] = Open[ i ];
}
if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
{
// trailing stop hit - exit
exit = 3;
SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01) * highsincebuy );
}
if( exit >= 2 )
{
Buy[ i ] = 0;
Sell[ i ] = exit + 1; // mark appropriate exit code
exit = 0;
priceatbuy = 0; // reset p rice
highsincebuy = 0;
}
}
}
SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut )
); // scale out 50% of position///
Short=0;
Cover=0;
Ok;
first I am not sure if my code makes sense. Because I tried to modify
the spspercentofposition (green) and whatever the number I put there it
changed nothing to the backtesting. I tried 20, 50, 70 (assuming it
should be a scaling out of 20%, 50% or 70%) and it changed nothing. So
I guess something is wrong.
Second, I am not sure about the utility of "sellprice" (blue).
Does it actually replace the "sell" command? I assumed so, but I am
not sure about this. When I write SellPrice[ i ] = Open[ i ]; does it actually mean that it will sell on the open? Simply?
The yellow part is what I added to the code. But ideally, here is
what I am trying to do: a system that would secure 33% of a position by
scaling out after a 10-20% gain, and then selling everything when
indicator is reached OR if the price goes down more than x% below the
price at which there was the scaling out. I think I would need
another variable, maybe a "sellprice2" or something to set the new
stop-loss.
I don't know if my question is clear, but I think that if I can
understand this part I can make it on my own... at least for some days!
;-P
Thanks,
Louis
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