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Hello all,
I'm trying to design a pyramiding algorithim, it is a simple strategy but please help me with the programming.I'm trying to design that if
close - entryprice > multiple* ATR then add a certain number of contracts, as the variable 'multiple' gets larger (by increments of 2), then the number of contracts to buy decreases proportionally to the initial position size of the first trade in this series.
Where 'size' is the initial number of contracts, 'multip' is just an adjustible constant, initially it is set to 2. And 'entryp' is defined as the entryprice of the first trade in the series.
If marketposition >0 and entryp <>0 and multip <> 0 then begin
If (close - entryp) > multip* _ExATR(ATR) then begin
buy ("Pyramid")(size/multip) contracts on close ;
multip = multip +2;
end;
end;
Though the problem is that while the market is rising, a new position is added everyday, not after closes that are 2 ATR's higher.And it seems that 'multip' does not adjust to get larger and larger.
I would be very grateful for any assistance.
Cheers
Paul
> -----Original Message-----
> From: omega-digest-request@xxxxxxxxxx [mailto:omega-digest-request@xxxxxxxxxx]
> Sent: Saturday, 12 April 2003 3:34 PM
> To: omega-digest@xxxxxxxxxx
> Subject: omega-digest Digest V103 #99
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