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You need to define the BuyPrice at the scaleout bar
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Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2009/2/2 Pete <dryheat3@xxxxxxx>:
> I have spent several hours trying to implement the Scale-out strategy
> using futures contracts. I have finally come to the conclusion that
> the example in the help file does not create a true scale out system.
>
> Here's what I found:
> On the bar where a scale out is triggered, instead of reporting the
> target price that triggered the scale out, the back tester actually
> reports the open or close of that bar. (depending upon what settings
> are used in the trades tab). This does not match a real trading
> environment where you would place sell limit orders at your various
> targets and wait for the price to hit them.
>
> I have spent many frustrated hours trying to get it to show the actual
> target price as the exit price in the back tester but so far this
> alludes me.
> Here's an example of what I am trading in real life but so far cannot
> write code to duplicate in the back tester:
> Enter long 3 contracts.
> Stop loss set at buy price minus 1.25 points
> Target one set to buy price plus 1.25 points
> Target two set to buy price plus 2.5 points
> Remaining contract exits when close crosses below EMA(C, 20).
>
> The code below is what I have accumulated so far:
>
> Buy = <<Insert favorite buy signal here>>;
> Sell = 0;
> SystemExit = Cross(EMA(C, 20), Close);
> // 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 = 1.25; // profit
> SecondProfitTarget = 2.5; // in points
> TrailingStop = 1.25; // also in points
>
> priceatbuy=0;
> highsincebuy = 0;
>
> exit = 0;
>
> 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 <= 2 AND
> SystemExit[i] )
> {
> //system exit hit - exit any remaining contracts
> SellPrice[i] = Close[i];
> exit = 3;
> }
>
> if( exit == 0 AND
> High[ i ] >= FirstProfitTarget + priceatbuy )
> {
> // first profit target hit - scale-out
> exit = 1;
> Buy[ i ] = sigScaleOut;
> }
>
> if( exit == 0 AND
> High[ i ] >= SecondProfitTarget + priceatbuy )
> {
> // second profit target hit - exit
> exit = 2;
> Buy[ i ] = sigScaleOut;
> //SellPrice[ i ] = Max( Open[ i ], SecondProfitTarget + priceatbuy );
> }
>
> if( Low[ i ] <= priceatbuy - TrailingStop )
> {
> // trailing stop hit - exit
> exit = 3;
> SellPrice[ i ] = Min( Open[ i ], priceatbuy - TrailingStop );
> }
>
> if( exit >= 3 )
> {
> Buy[ i ] = 0;
> Sell[ i ] = exit + 1; // mark appropriate exit code
> exit = 0;
> priceatbuy = 0; // reset price
> highsincebuy = 0;
> }
> }
> }
>
> SetPositionSize( 15, spsPercentOfEquity ); //Equity is set at 10,000.00
> SetPositionSize( 1/3, spsPercentOfPosition * ( Buy == sigScaleOut ) );
> // scale out 50% of position
>
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