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mctaff

Easy Language Stop Loss Problem

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Hi,

 

I'm just starting to learn Easy Language, yet am having problems with stop loss setting when testing strategies.

 

Although the stop loss is set in the code, it seems it isn't always acted upon.

 

Not sure what I'm doing wrong... any ideas most appreciated!

 

Code sample:

 

if Condition11 and Condition12 then

begin

Buy 1 contracts next bar at market ;

SetProfitTarget(3000) ;

SetStopLoss( 100);

end;

 

 

In the most recent test, the first trade closed $100.78 down, the second is $16,091 down and still open!

 

Ideally I'd like to set a pip based stop loss (that works!), but it doesn't seem clear how to do this looking at the docs...

 

 

Thanks!

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What happens if you pull

SetProfitTarget(3000) ;

SetStopLoss( 100);

outside the block?

 

Yes spot on zdo !

 

the code should read like this:

 

if Condition11 and Condition12 then Buy 1 contracts next bar at market ;

 

SetProfitTarget(3000) ;

SetStopLoss( 100);

 

 

Cheers

 

Blu-Ray

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Thanks for the advice guys, I'll try that this evening.

 

However, I'd sincerely hope that doesn't work, otherwise I'm questioning the language designers competancy! Surely the idea of a code block is that the entire contents of it get executed when the conditions are met?! I don't want to be setting stop losses etc unless the order has been executed, although I suppose it makes little difference...

 

Enough ranting, I'll try it out, cheers!

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Thanks for the advice guys, I'll try that this evening.

 

However, I'd sincerely hope that doesn't work, otherwise I'm questioning the language designers competancy! Surely the idea of a code block is that the entire contents of it get executed when the conditions are met?! I don't want to be setting stop losses etc unless the order has been executed, although I suppose it makes little difference...

 

Enough ranting, I'll try it out, cheers!

 

 

It will work, the fault in the code is that Easy Language will only read that block of code if Condition11 and Condition12 are true. So it will read it at the time of execution.. but in a couple of bars time, for example, Condition11 and Condition12 are false it will therefore not read that block of code.

 

Also "SetStopLoss" will only come into force if a Position is filled.

 

Hope this helps

 

Blu-Ray

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It worked - thanks again!

 

I think I must be misunderstanding how the stop loss code works then - I assumed at the time of the order being placed, the stop would be associated with the order. Looking at the code, that clearly can't be the case, as the stop loss command doesn't reference the order.

 

I'm now slightly confused how to open multiple orders, and have different profit and stop values for different orders!

 

Is this possible? Is it possible to link the profit / stop commands to the order?

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...I think I must be misunderstanding how the stop loss code works then - I assumed at the time of the order being placed, the stop would be associated with the order. Looking at the code, that clearly can't be the case, as the stop loss command doesn't reference the order.

 

I'm now slightly confused how to open multiple orders, and have different profit and stop values for different orders!

 

Is this possible? Is it possible to link the profit / stop commands to the order?

 

First, 'get it' that (exit) orders are continously 'cancelled' and re-entered in TS. :doh:

 

Then re multiple orders and linking exits to that position

you can name posititions and use the names in the exits

and / or

you can use reserve words like SetStopContract

and / or

run separate / stand alone exit strategies

and / or ...

 

hth... this post only cost me $3000 so far...:cool:

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First, 'get it' that (exit) orders are continously 'cancelled' and re-entered in TS.

 

Yeah I figured that from the solution. I was under the impression that if you ticked the "send stop to server" checkbox (or whatever it's called) on the strategies automation tab, that you only needed to send it once and it would be held on TS servers - so if I lose my connection I don't lose 10k as well!

 

Is that not the case? Or does that not work with back testing?

 

Cheers,

 

David.

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i have a current issue atm and i was wondering if anyone could help me.

 

scaling in:

 

If condition3 and Condition4 and MarketPosition = 0 then begin;

Sell ("sell") Cts contracts at Market;

End;

 

If (Condition3 and Condition4) AND MarketPosition = -1 AND C < EntryPrice-0.0010 then Begin

sell ("Sell2") Cts contracts Market;

End;

 

If (Condition3 and Condition4) AND MarketPosition = -2 AND C < EntryPrice-0.0010 then Begin

sell ("Sell3") Cts contracts Market;

End;

 

but id also like to beable to scale out. if for instance the price went above the third order by X amount id like to close it but still keep the remaining 2 open.

 

someone above mentioned NAMING your orders. how exactly would i go about doing this.

 

thanks again for your help

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i have a current issue atm and i was wondering if anyone could help me.

 

scaling in:

 

If condition3 and Condition4 and MarketPosition = 0 then begin;

Sell ("sell") Cts contracts at Market;

End;

 

If (Condition3 and Condition4) AND MarketPosition = -1 AND C < EntryPrice-0.0010 then Begin

sell ("Sell2") Cts contracts Market;

End;

 

If (Condition3 and Condition4) AND MarketPosition = -2 AND C < EntryPrice-0.0010 then Begin

sell ("Sell3") Cts contracts Market;

End;

 

but id also like to beable to scale out. if for instance the price went above the third order by X amount id like to close it but still keep the remaining 2 open.

 

someone above mentioned NAMING your orders. how exactly would i go about doing this.

 

thanks again for your help

 

You have named them.

 

You've called them: "Sell" "Sell2" and "Sell3"

 

I you want to scale out you need to set a target price and Buy to Cover (for a Short) or Sell (for a Long) at a LIMIT price:

 

Example:

Inputs: EXITatTarget (TRUE),

Target1Qty(1);

 

vars: EXITPrice(0);

 

// Calc ExitPrice

add some logic to calc your exit based on a target or whatever...

 

if Marketposition=-1 and EXITatTarget =TRUE then Begin

Sell ("Target1") Target1Qty Contracts total next bar at ExitPrice Limit;

end;

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Hi, thanks for replying to my post. unfortunately i still cant get it to work. when i input "EXITPrice(0) in the variables it doesnt like it.

 

i was trying to get the following:

 

if marketposition = -2 AND the price of"sell2" < CURRENTPRICE+0.0005 then begin:

 

obviously easy language doesnt like that though + i had a look at EXITprice and it says the following:

 

If last trade exited at 455.75 then ExitPrice(1) = $455.75

 

im not sure thats what im looking for

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thanks for your reply but i cant get it to work. im looking to compare the price of "sell2" to the current price + or - a certain amount. if this is then true id like to close one of my positions.

 

the definition of exit price i got said it returned the value of the last exit.... if u placed[1] at the end and that it could be used to compute the last 10 prices. im not sure thats what i was looking for.

 

any other ideas??

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Whenever I am debugging a strategy I use the EasyLanguage Output Bar and a Print line to help understand what is going on.

 

Example:

 

PRINT Barnumber," Date ",Date," Time ",Time," MarketPosition ",MarketPosition," EntryPrice ", EntryPrice," ExitPrice ",ExitPrice);

 

Then I would consider how to best retain or refer to the value you are looking for.

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If I wanted to use the Hull Moving Average (jtHMA) for a crossover strategy instead of a simple or exponential moving average crossover strategy, how would it be coded in Easy Language for a fast length jtHMA(10) and a slow length jtHMA (20) with parameters that if fast avg jtHMA crosses above slow avg jtHMA then BuyLong 100 shares next bar at market, and SellShort if reverse, and would like to be able to displace the jtHMAs + or -1, 2, or 3, and will be using this on a 30 or 60 min. timeframe?

 

Also, is it possible, or even necessary, to put within the strategy a buy/sellshort order with a pre-set stoploss? Possibly something like:

 

If conditions are met for fast jtHMAavg crosses slow jtHMAavg, then begin;

buy/sellshort 100 shares next bar at market;

SetProfitTarget(1000);

SetStopLoss( 100);

end;

 

This is going to be my first time using a strategy for Tradestation, and want to backtest it, haven't tried that and not sure how to figure it in for possible flaws and slippage for backtesting. I'm going to use it on a 2x or 3x Proshares or Direxion index fund, and the position will reverse immediately when the jtHMAs cross on the next bar after the cross, from long to sellshort, or vice-versa. Not sure if that brings more problems, the instant reversal.

 

 

Thanks for any help.

 

Curtis

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dont know anything about this moving average thing ur talking about so cant help there... sorry

 

 

Inputs: inputa,

inputb,

inputc;

 

Variables: vara,

varb,

varc;

 

Condition1: jtHMAavg1[1] > jtHMAavg2[1]

 

Condition2: jtHMAavg1[1] < jtHMAavg2[1]

 

If condition1 then begin;

Buy ("buy long") 100 Cts contracts next bar at market;

End;

 

If condition2 then begin;

sell ("sell short") 100 Cts contracts next bar at market;

End;

 

SetProfitTarget(1000);

SetStopLoss( 100);

 

that SHOULD be right but i havent checked it in easy language as im just going out but it should give u an idea of how it possibly should look.

 

hope that helps

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First post! :cool:

 

Did you ever get this to work ?

You're forgetting one important statement. I believe the order system is configured for equities by default. you have to specify that you're trading contracts...

 

From the EasyLanguage manual:

SetStopShare or SetStopContract - exits are calculated per share or contract.

 

So your could would need to be something like:

 

Inputs: StopAmt(1), ProfitAmt(1);

SetStopContract;

SetStopLoss(StopAmt);

SetProfitTarget(ProfitAmt);

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Can you use a

 

SetProfitTarget(33%);

SetStopLoss(8%);

 

using a % instead of a number, and is that how you code it, and how do you code an ATR trailing stop I've seen several authors refer to using to implement a stop loss?

 

Thanks for any help.

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So why wouldn't this work?

 

If MarketPosition = 1 then

Begin

SetStopShare ;

SetStopLoss ( LongEntryPrice - (0.002 * LongEntryPrice) ) ;

End ;

 

If MarketPosition = -1 then

Begin

SetStopShare ;

SetStopLoss ( ShortEntryPrice + (0.002 * ShortEntryPrice) ) ;

End ;

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So why wouldn't this work?

 

If MarketPosition = 1 then

Begin

SetStopShare ;

SetStopLoss ( LongEntryPrice - (0.002 * LongEntryPrice) ) ;

End ;

 

If MarketPosition = -1 then

Begin

SetStopShare ;

SetStopLoss ( ShortEntryPrice + (0.002 * ShortEntryPrice) ) ;

End ;

 

 

 

SetProfitTarget and SetStopLoss orders

are posted to broker when there is an open position.

 

The target and stop will be automatically* withdrawn

if the position is closed.

 

* automatic means you do not need to code a logic to withdraw the orders,

they are done automatically as soon as the position is closed.

Edited by Tams

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A few weeks ago I had occasion to chat with the leadership of the TS development team and they acknoledged certain issues with the TS Trade Manager.

 

They say that TS v 9.0 will be out this summer and among the changes will be a millisecond time stamp and EL orders will become "smart objects."

 

As their oldest customer I was about to bail on them which would have meant a major migration effort as over the years we have written over 2k EL code modules.

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Hi, thanks for replying to my post. unfortunately i still cant get it to work. when i input "EXITPrice(0) in the variables it doesnt like it.i was trying to get the following:

 

if marketposition = -2 AND the price of"sell2" < CURRENTPRICE+0.0005 then begin:

 

obviously easy language doesnt like that though + i had a look at EXITprice and it says the following:If last trade exited at 455.75 then ExitPrice(1) = $455.75im not sure thats what im looking for

 

MarketPosition will never be -2. MarketPosition can only be 1 or 0 or -1, however MarketPosition * CurrentShares could be -2.

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