|
PureBytes Links
Trading Reference Links
|
----- Original Message -----
From: William Brower <1000mileman@xxxxxxxxxxxxxx>
To: Phil Lane <patterntrader@xxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Wednesday, November 10, 1999 7:34 AM
Subject: Re: I can not figure out how to do multiple exits from one signal
> If you are using TS4.0 you will need a separate entry statement for each
> exit you want. For instance, if you want to scale out of 5 contracts one
> at a time, create 5 separate entry statements and name the signals. Then
> exit from each signal separately. I do not know if TS2000 permits exiting
> partial positions from one entry signal.
>
It DOES! Just use the keyword "total". As indicated in the comments below.
For example:
exitlong currentcontracts/2 contracts TOTAL;
best regards,
phil
> At 04:53 AM 11/10/99 -0800, you wrote:
> >mmm... on closer examination I see you only have one exitlong statement.
It
> >gets activated only once, the FIRST time the conditions are satisfied.
Just
> >the way TS works.
> >
> >You'll need a separate exit statement for each exit you want to do in a
> >given trade.
> >
> >If you know the max number of exits you'll have, you can setup this many
> >exit statements. in the code.
> >
> >Also set up a counter initialized to the total number of contracts
bought.
> >Define some variable MP=MarketPosition. Check for MP<>MP[1] every day,
and
> >if true (that means you sold something) then decrement the counter.
> >
> >preface each exit statement with "If counter =3 (or whatever - count the
> >numbers down from the starting point) to allow only one to activate at a
> >time.
> >
> >let me know how it goes :-)
> >
> >
> >----- Original Message -----
> >From: Bengtsson, Mats <mats.bengtsson@xxxxxxxxxxxx>
> >To: Phil Lane <patterntrader@xxxxxxxxxx>
> >Sent: Tuesday, November 09, 1999 2:34 PM
> >Subject: RE: I can not figure out how to do multiple exits from one
signal
> >
> >
> > > Tried it, and it did not help. All Code is below:
> > > Inputs: DateToBuy(990101),NumberOfShares(200),PriceToBuyAt(200),
> > > ATRLength(10);
> > >
> > > if Date=juliantodate(BusinessDays(datetojulian(dateToBuy),2,-1)) then
> > > Buy("PortfolioBuy") NumberOfShares contracts Next bar at
> > > PriceToBuyAt stop;
> > >
> > > if (currentcontracts>0) then Begin
> > > if (close < (PriceToBuyAt*0.91)) then Begin
> > > ExitLong 1 shares total from entry ("PortfolioBuy") next bar at
> > > market ;
> > > commentary("below");
> > > End;
> > > End;
> > >
> > > It still only sell once.
> > >
> > > > -----Original Message-----
> > > > From: Phil Lane [mailto:patterntrader@xxxxxxxxxx]
> > > > Sent: Tuesday, November 09, 1999 3:50 PM
> > > > To: Bengtsson, Mats
> > > > Subject: Re: I can not figure out how to do multiple exits from one
> > > > signal
> > > >
> > > >
> > > > Hi,
> > > > you need to use the keyword "total" and things will work
> > > > fine. Example:
> > > >
> > > > if whatever then sell currentcontracts/2 contracts TOTAL from
> > > > entry myentry;
> > > >
> > > > good luck,
> > > > Phil
> > > > ----- Original Message -----
> > > > From: Bengtsson, Mats <mats.bengtsson@xxxxxxxxxxxx>
> > > > To: <omega-list@xxxxxxxxxx>
> > > > Sent: Monday, November 08, 1999 10:19 PM
> > > > Subject: RE: I can not figure out how to do multiple exits
> > > > from one signal
> > > >
> > > >
> > > > > Thank you for your reply. Is there a difference within
Tradestation
> > > > between
> > > > > shares and contracts? I buy one single contract with a lot
> > > > of shares in it
> > > > > at one single time (I thought that was the same thing). It
> > > > is those shares
> > > > I
> > > > > want to sell at different times. My code, which sells only
> > > > once (saying
> > > > > there are 199 shares left) is below. My guess is that there
> > > > is some rule
> > > > in
> > > > > TS2000 that disallows "pyramiding exits" from the same sell
> > > > signal, mening
> > > > > that I will have to enter 200 different but exactly the
> > > > same signals to
> > > > get
> > > > > this kind of testing to work. On the other hand, then I
> > > > would need to
> > > > figure
> > > > > out a way for them not to operate on the same date as each
> > > > other, that is
> > > > > more or less solve a "pyramidign exit pussle".
> > > > >
> > > > > This sounds as a severe limitation for backtesting.
> > > > >
> > > > > Inputs: DateToBuy(990101),NumberOfShares(200),PriceToBuyAt(200),
> > > > > ATRLength(10);
> > > > >
> > > > > if
> > > > Date=juliantodate(BusinessDays(datetojulian(dateToBuy),2,-1)) then
> > > > > Buy("PortfolioBuy") NumberOfShares contracts Next bar at
> > > > > PriceToBuyAt stop;
> > > > >
> > > > > if (CurrentContracts>0) then Begin
> > > > > if (close < (PriceToBuyAt*0.9)) then
> > > > > ExitLong 1 shares next bar at market;
> > > > > End;
> > > > >
> > > > > > When I was testing some systems in a similar way, I used the
> > > > > > "@CurrentContracts" function. I was using 100 share contracts so
I
> > > > > > just multiplied the function by 100 on exiting.
> > > > > >
> > > > > > Example:
> > > > > >
> > > > > > NumberOpen = @CurrentContracts;
> > > > > > ...
> > > > > > ...
> > > > > > ...
> > > > > > ...
> > > > > > IF Condition8 AND
> > > > > > Condition10 THEN
> > > > > > ExitLong (NumberOpen*100) shares at Open;
> > > > > >
> > > > > > I had two conditions that, when fulfilled, would sell off
> > > > 100 shares
> > > > > > each time until the NumberOpen fell to zero. I just used another
> > > > > > IF...THEN statement to check for NumberOpen to be zero, then it
> > > > > > would stop the system.
> > > > > >
> > > > > > Good Luck,
> > > > > >
> > > > > > -- Patrick
> > > > > >
> > > > > > **************************************************************
> > > > > > **********
> > > > > > > Guess it is possible?
> > > > > > >
> > > > > > > What I would like to do is to buy say for example 200
> > > > > > shares at one point,
> > > > > > > and every time a certain condition is true sell one of
> > > > > > those shares.
> > > > > > >
> > > > > > > I can not figure out how to do it. Selling one share is not
> > > > > > the problem,
> > > > > > > getting my signal to sell until number of shares is zero is
> > > > > > the problem.
> > > > > > >
> > > > > > > What am I missing?
> > > > > > >
> > > > > > > --- Mats ---
> > > > > > > Cap Gemini Sverige AB
> > > > > > > European company of the year 1999
> > > > > >
> > > > > >
> > > > >
> > > > >
> > > >
> > >
>
> Bill Brower
> 1000mileman@xxxxxxxxxxxxxx
> insideedge.net
>
>
|