Hi
All seemed to be going Ok with the code below until I found that a
Sell on the same bar as the Buy is not being actioned and therefore
the position remains open for ever. In the cases of same bar extry &
exit Sell is assigned the value of 1, but it doesn't get actioned..
Other exits seem to be fine.
Obviously, I have not got it right. Any suggestions, please.
The following code has been simplified a little to remove clutter.
Thanks
Graham
//================== Inital Equity & Margin ==================
vCapital = 30000;
//================== Initial Trade Parameters ==================
SetOption("AccountMargin", 10);
// Margin%
SetOption("ActivateStopsImmediately", True); //
IntraDay Stops
SetOption("AllowPositionShrinking", False); //
Take partial trades if equity available
SetOption("AllowSameBarExit",True);
// Permit same bar exit for profit stops
SetOption("CommissionMode", 0);
// 1=Percent trade size commission, 2= $ per trade
SetOption("FuturesMode",False);
SetOption("InitialEquity", vCapital );
SetOption("InterestRate",0);
// Set interest rate earned for free cash, zero to
evaluate system
SetOption("MaxOpenPositions", 6);
// Max no positions
SetOption("MinPosValue",1);
// Min position value to make trade worthwhile
SetOption("MinShares", 1);
// Min No shares zero
SetOption("PriceBoundChecking", True );
// Price to stay in bar range
SetOption("UseCustomBacktestProc", True);
// Use Custom backtest for reporting
SetOption("UsePrevBarEquityForPosSizing", True ); // Use last
known bar of position sizing
SetTradeDelays(0,0,0,0);
// Intraday Entry & Exit signals, no forward
references
vaValidEntry = Cross( Close, EMA( Close, 45 ) );
//================== Limit Entry ==================
vaLimitEntry = Close + (0.8 * (High - Low));
//================== Stop Exit ==================
vISATRPer = 30; //15;
vISMult = 6;
vaIStopVal = ATR(vISATRPer) * vISMult;
//================== Target Exit ==================
vaTargetVal = Ref(H, -3);
//================== Position Size ==================
vMaxPosn = 10000;
vMaxRisk = 2000;
vMaxTOPc = 3;
vaPosnSize = vMaxRisk / Ref(vaIStopVal, -1) * Ref(vaLimitEntry, -1);
vaPosnSize = Min(vaPosnSize, vMaxPosn);
SetPositionSize(vaPosnSize, spsValue);
//================== Trade ==================
Sell = 0;
Buy = Ref(vaValidEntry,-1) AND Low <= Ref(vaLimitEntry, -1);
BuyPrice = Min(Open, Ref(vaLimitEntry, -1));
Sell = 0;
vaGapDown = GapDown();
vaGapUp = GapUp();
vaInitStop = Null;
vaSellStop = 0;
vaSellTarget = 0;
VEntryBar = 0;
vTempStop = 0;
vTempTarget = 0;
vTradeLength = 8;
vTrigger = 0;
for(vCnt = 1; vCnt < BarCount; vCnt++)
{
if(vTempStop == 0
AND Buy[vCnt] == 1) // Entry Bar & 0 positions
open
{
// Position Opened
vTempStop = BuyPrice[vCnt] - vaIStopVal[vCnt - 1];
vTempTarget = High[vCnt - 3];
vEntryBar = vCnt;
}
else
{
Buy[vCnt] = 0; // Remove excess Buy signals
} // Not Entry Bar
if(vTempStop == 0)
{
vaTargetVal[vCnt - 1] = Null;
}
else
{
if (vCnt - vEntryBar == vTradeLength + 1)
{
vTempStop = Max(vTempStop, BuyPrice
[vEntryBar]);
} // test # Bars Open
if (vCnt > vEntryBar + 1) // eliminate Entry Bar
{
if (vaGapDown[vCnt - 1] == 1)
{
vTempStop = Max(vTempStop, Low[vCnt -
1]);
} // GapDown
if (vaGapUp[vCnt - 1] == 1)
{
vTempStop = Max(vTempStop, High[vCnt -
1]);
} // GapUp
} // Position Open & not Entry Bar
vaInitStop[vCnt - 1] = vTempStop;
if(Low[vCnt] <= vaInitStop[vCnt - 1])
{
Sell[vCnt] = 1;
SellPrice[vCnt] = Min(Open[vCnt], vaInitStop
[vCnt - 1]);
vTempStop = 0;
}
else
{
if(High[vCnt] >= vaTargetVal[vCnt - 1])
{
Sell[vCnt] = 1;
SellPrice[vCnt] = Max(Open[vCnt],
vaTargetVal[vCnt - 1]);
vTempStop = 0;
_TRACE("Bar " + BarIndex() + " Buy " + Buy + " Sell " + Sell + "
Target " + vaTargetVal + " Stop " + vTempStop);
}
} // exits
} // Position Open
} // for
// Remove excess signals
Buy = ExRem(Buy, Sell);
// Remove additional signals,
Sell = ExRem(Sell, Buy);
