EL Help on Pausing Any Further Entries on a Bar

[raybackreedy 10]

Hi,

Been working on a solution on this for some time...looked in forums etc but cant seem to crack it.

 

here are the details:

Backtest precision 1 tick.

Time frame: minute bars.

 

Once an entry signal is triggered we enter on next bar limit (in this case next bar would be open of next minute bar), so we have a flag to check bar status (when last tick reached) of current bar.

 

Here is the thing, once we have entered in a bar, we cannot reenter that same time bar , but we can be stopped out in that time bar. Also, if we are not stopped out in the same time bar we entered, and we then go on to get stopped out in a subsequent future bar, in this future bar where we are stopped out, a re-entry is possible at the stop exit price (here it is next tick). The new entry position can be stopped out within this bar or subsequent bars.

 

So, in any one time bar, only one entry is possible but a max of two exits could happen.

 

Also, once we hit a profit, in any bar, no entry is allowed on that time bar.

 

Have tried barsinceentry, barsinceexit, entrytime, exittime etc keywords but no success. I still get cases where there are multiple entries in the same time bar (after stop loss) or an entry after a profit has been achieved in the same time bar.

 

Can anyone advice of a way forward, other keywords to use, or other logic to try lpls...

 

thanks in advance, much appreciated. ray

 

here is what i have done..for some reason, the Entry_trade_closed flag is not working as described above.

 

 

[intrabarordergeneration=true]

 

Entrybar_trade_closed = entrytime = time and barstatus <> 2;

Entrybar_trade_close_on_PS = positionprofit(1) >= (Tradesize*PS* (minmove/pricescale)*bigpointvalue)and exittime(1)=time;

 

condition1 = reenter short after stop loss at exitprice if true ;

condition2 = reneter long after stop loss at exitprice if true ;

condition3 = positionprofit(1) <= (-SL*Tradesize* (minmove/pricescale)*bigpointvalue); //stop loss

 

 

if time > startTime or time < Endtime then begin

 

If bartype_ex = 2 and barstatus >= 0 then begin

 

If not Entrybar_trade_closed or not Entrybar_trade_close_on_PS then begin

if entrytime = time and barstatus <> 2 or positionprofit(1) >= (Tradesize*PS* (minmove/pricescale)*bigpointvalue) and exittime(1)=time;

 

then Entrybar_trade_closed = true;

 

//first entry or new entry after a profit take

 

if currentbar > 1 and bartype_ex =2 and marketposition = 0 and NOT condition3 and Not Entrybar_trade_closed

 

then begin

 

//setup the bar status flag check to short entey on open of next time bar if entry conditions satisfied

 

If not bartrigger then begin

 

bartrigger = barstatus = 2 and oSlowK > 70;

limit_priceS = close[1] + (minmove/pricescale)*S;

end

else

 

bartrigger = bartrigger and oSlowK > 70;

 

if bartrigger then

 

sellshort ("Sk") tradesize Contracts next bar at limit_priceS limit;

 

 

//setup the bar status flag check to Long entey on open of next time bar if entry conditions satisfied

 

If not bartrigger then begin

 

bartrigger = barstatus = 2 and oSlowK < 30 ;

limit_priceL = close[1] - (minmove/pricescale)*B;

 

end

else

 

bartrigger = bartrigger and oSlowK < 30;

 

 

if oSlowK < 30 and bartrigger then

buy ("Bk") Tradesize Contracts next bar at limit_priceL limit;

 

 

end;

 

//check if to reenter only after a stop loss reached in any bar subsequent to the entry bar time

 

if condition3 and not Entrybar_trade_closed then begin

 

If condition1 and bartype_ex = 2 then

sellshort ("Stp") Tradesize Contracts next bar exitprice(1) limit

 

else

 

//If above entry after a stop loss not valid then revert to original entry check

 

If not bartrigger then begin

 

bartrigger = barstatus = 2 and oSlowK > 70;

limit_priceS = close[1] + (minmove/pricescale)*S;

end

else

 

bartrigger = bartrigger and oSlowK > 70;

 

if bartrigger then

 

sellshort ("S") Tradesize Contracts next bar at limit_priceS limit;

end;

 

 

//entry check after stop loss for long position

 

if condition3 and not Entrybar_trade_closed then begin

 

If condition2 and bartype_ex = 2 then

buy ("Btp") Tradesize Contracts next bar exitprice(1) limit

 

else

 

 

If not bartrigger then begin

 

bartrigger = barstatus = 2 and oSlowK < 30 ;

limit_priceL = close[1] - (minmove/pricescale)*B;

 

end

else

 

bartrigger = bartrigger and oSlowK < 30;

 

 

if oSlowK < 30 and bartrigger then

 

 

buy ("B") Tradesize Contracts next bar at limit_priceL limit;

end;

 

 

 

//set regular stop loss

SetStopContract;

SetStopLoss ((minmove/pricescale)*BigPointValue*SL);

 

 

//define normal profit stops

If marketposition <> 0 and bartype_ex = 2 and barssinceentry >= 1

then begin

 

If marketposition > 0 then

sell ("LP") Tradesize Contracts next bar at entryprice + (minmove/pricescale)*PS limit

 

ELse

 

If marketposition < 0 then

buytocover ("SP") Tradesize Contracts next bar at entryprice - (minmove/pricescale)*PS limit;

end;

 

 

SetExitOnClose;

end;

end;

end;

[Tams 20]

  raybackreedy said:

Hi,

Been working on a solution on this for some time...looked in forums etc but cant seem to crack it.

...

Can anyone advice of a way forward, other keywords to use, or other logic to try lpls...

...

 

what you want to do can be done...

but not with a silver bullet keyword or single logic (simple, yes, but not single).

you will need about 5~6 times the codes for checking, re-checking, and cross-checking.

 

bear in mind that EasyLanguage was invented when people were only doing daily charts. A lot of the keywords and trading architecture were built with EOD concepts. They were never meant to be used in HFT.

 

 

 

ps. you should wrap your code in code tag. It is the # key at the top of the message window.

 

Tagged codes look like this:

 

If not bartrigger then begin
   bartrigger = barstatus = 2 and oSlowK > 70;
   limit_priceS = close[1] + (minmove/pricescale)*S;
end
else

Edited November 14, 2010 by Tams

[raybackreedy 10]

Hi Tams,

Thanks for response and tips.

Am i correct in my understanding of the keywords barssincenty/exit/entrytime/exit time are not operable intrabar on a tick level (i.e. intrabarpersist) but become active at the end of that time bar on which they are valid. This may help explain why i still see multiple entries in the same time bar with their use.

The main conditions on an entry signal on each time bar are:

Only one entry per time bar (can be at open, intrabar, close tick).

Possible of up to two exits per time bar.

No entry after a profit take in that time bar.

 

So we have to check at the start of bar, intrabar and at close of each time bar if Entrybar_Trade_closed is true, using entryprice keyword (assuming this is valid on every tick i.e. intrabarpersist)

 

[intrabarordergeneration=t rue]

Intrabarpersist Bar# (0)
Entrybar_trade_closed (true);

condition1 = reenter short after stop loss at exitprice if true ;
condition2 = reneter long after stop loss at exitprice if true ;
condition3 = positionprofit(1) <= (-SL*Tradesize* (minmove/pricescale)*bigpointvalue ); //stop loss
condition4 = positionprofit(1) >= (Tradesize*PS* (minmove/pricescale)*bigpointvalue );
//profit take

if time > startTime or time < Endtime then begin

//check at open of each bar if a trade occurs, if so then set flag to close bar.
If MP = 0 currentbar > 1 then begin

Barstatus = 0;

If not Entrybar_trade_closed then begin
if entryprice > 0
then Entrybar_trade_closed = true;
Bar# = Currentbar (or Barnumber?);
end
else
Entrybar_trade_closed = false and Bar# =0;

//if a trade ocurred on open price tick then Bar# should be equal to the current bar # and so trade already closed to entry signal
//if no trade on open, check if a trade ocurred intrabar, if so, then set flag to close bar
//also if trade ocurred intrabar, check if stopped out intrabar, as entryprice > 0 condition may not be true throughout intrabar.

Barstatus = 1;
If  Bar# <> currentbar then begin
if entryprice > 0 or exitprice(1) > 0 //not sure about exitprice(1) check as this may only become available at end of bar!!?

then Entrybar_trade_closed = true;
Bar# = Currentbar (or Barnumber);
end
else
Entrybar_trade_closed = false and Bar# = 0;


//check entry condition at close of bar

Barstatus = 2;
If  Bar# <> currentbar then begin
if entryprice > 0 

then Entrybar_trade_closed = true;
Bar# = Currentbar (or Barnumber);
end
else
Entrybar_trade_closed = false and Bar# = 0;

//Now once in a position, checking all susequent time bars where an entry may be possible after a stop loss. As we are already in a position, entryprice is >0, so exitprice(1) keyword is used!?
//check at open of each bar if a trade occurs, if so then set flag to close bar.
//If profit take occur on open, that time bar closed to entry signal.
//Likewise, if stoploss and re-entry condition 1 or 2 valid on open, then that time bar closed to further entry signals.

If MP <> 0 then begin

Barstatus = 0;
If  Bar# = 0 or Bar# <> currentbar then begin
If condition3 and condition1 OR //stop loss and possible short entry signal 
condition3 and condition2 OR  //stop loss and possible short entry signal 
condition4 then  //profit take
then Entrybar_trade_closed = true;
Bar# = Currentbar (or Barnumber);
end
else
Entrybar_trade_closed = false and Bar# = 0;

//Checking for stoploss (and poss entry signal) or profit take intrabar

Barstatus = 1;
If  Bar# <> currentbar then begin
If condition3 and condition1 OR //stop loss and possible short entry signal 
condition3 and condition2 OR  //stop loss and possible short entry signal 
condition4 then  //profit take
then Entrybar_trade_closed = true;
Bar# = Currentbar (or Barnumber);
end
else
Entrybar_trade_closed = false and Bar# = 0;

//Checking for stoploss (and poss entry signal) or profit take on last tick of bar

Barstatus = 2;
If  Bar# <> currentbar then begin
If condition3 and condition1 OR //stop loss and possible short entry signal 
condition3 and condition2 OR  //stop loss and possible short entry signal 
condition4 then  //profit take
then Entrybar_trade_closed = true;
Bar# = Currentbar (or Barnumber);
end
else
Entrybar_trade_closed = false and Bar# = 0;

//rest of code as before
//first entry or new entry after a profit take

if currentbar > 1 and bartype_ex =2 and marketposition = 0 and NOT condition3 and Not Entrybar_trade_closed 

then begin

 

Thoughts/advice/correction on logic/keywords used above and anything else very welcomed and appreciated.

Thanks in advance everyone,

Ray

[flyingdutchmen 10]

what you could do, is to write your skript on 1 ticks, you will need a function to convert the single ticks to one minute bars so you can keep using timeframe based indikators. this is fairly easy and this way you will not have to wait a full minute before you can re-enter the next trade. this option is available but i recommend it only if you do not need long history for backtesting and stuff. once you know you have a valid strategy which works for you, and you do need timeframe based calculations this is the way i would go. it will decrease your waiting from a minute to a tick, will that do?

Edited November 14, 2010 by flyingdutchmen

[Tams 20]

  raybackreedy said:

Hi Tams,

Thanks for response and tips.

Am i correct in my understanding of the keywords barssincenty/exit/entrytime/exit time are not operable intrabar on a tick level (i.e. intrabarpersist) but become active at the end of that time bar on which they are valid. This may help explain why i still see multiple entries in the same time bar with their use.

The main conditions on an entry signal on each time bar are:

Only one entry per time bar (can be at open, intrabar, close tick).

Possible of up to two exits per time bar.

No entry after a profit take in that time bar.

 

So we have to check at the start of bar, intrabar and at close of each time bar if Entrybar_Trade_closed is true, using entryprice keyword (assuming this is valid on every tick i.e. intrabarpersist)

...

Thoughts/advice/correction on logic/keywords used above and anything else very welcomed and appreciated.

Thanks in advance everyone,

Ray

 

I do not have all the answer for you.

 

I would suggest you to draw a flow chart to document your logic flow

before you embark on coding.

Otherwise it will just be an exercise in trial and error.

 

 

ps.

write out your logic one thought at a time

write out one action per thought

write out one action per line

if you have multiple actions on the same line,

break them up

the computer can only do one thing at a time.