I have a pretty simple strategy designed to experiment with R-multiples and seeing the relationship with take profit and stop loss. It buys on breakouts. I'm having an issue with this strategy where if a breakout occurs that hits an open position's take-profit level, a new position is opened (which I don't want), and it also does not create a new take profit level for this new position. I would like to ensure that no new position can be opened if the previous bar is already in a position.
I have added else Buy[i] = 0; to try to remove excess buy signals while in a position to my code, but I think since the same candle that exits a position also would then create a new position (had I not already been in one) triggers this, this is not behaving as I want.
So I think I need a way to check to see if the previous bar is in a position, and if so to ignore the buy signal. This seems like it should be simple enough, but searching on the forum did not produce relevant results, so I'm potentially using incorrect terms here.
Any tips on avoiding new entries when the previous bar was in an entry already would be appreciated.
// ==========================================================================================
// === TRADING SYSTEM PARAMETERS ===
// ==========================================================================================
SetOption("InitialEquity", 100000);
SetTradeDelays( 0, 0, 0, 0 ); // 1 - Delays the trades to the next day, 0 - Trades same day via stops
SetOption("AllowPositionShrinking", True);
SetOption("AccountMargin",100); // 100 = Cash account, 75 = Using half available margin
SetOption("MaxOpenPositions", 20);
RoundLotSize = 1; // Disallow fractional share purchasing
// ==========================================================================================
// === RISK MANAGEMENT & POSITION SIZING ===
// ==========================================================================================
// Initial (MAX) stop loss
SetOption("ActivateStopsImmediately", False);
stopLoss = 5; // Change this to a small number to experience the issue with trade entries being ignored
ApplyStop(stopTypeLoss, stopModePercent, stopLoss, ExitAtStop = 1);
// Position size based on risk and max stop loss
PositionRisk = 1;
PosSize = 100 * PositionRisk / stopLoss;
SetPositionSize(PosSize, spsPercentOfEquity);
// ==========================================================================================
// === PLOT CHART & INDICATORS ===
// ==========================================================================================
// Chart
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - " + FullName() + " | {{INTERVAL}} {{DATE}}: Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorDefault ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
// Donchian Channel
pdsU=3; // High channel lookback
pdsL=5; // Low channel lookback
DonchianUpper =HHV(H,pdsU);
DonchianLower = LLV(L,pdsL);
Plot(DonchianUpper,"DU",color = colorBlueGrey,styleDashed);
//Plot(DonchianLower,"DL",color = colorBlueGrey, styleDashed);
// ==========================================================================================
// === BUY & SELL LOGIC ===
// ==========================================================================================
Buy=Cross(High, Ref(DonchianUpper, -1));
BuyPrice=Max(Ref(DonchianUpper, -1), Open);
// == EXIT CONDITIONS ===
// Initialize variables
Sell=0;
trailArray = Null;
trailStop = 0;
ptArray = Null;
priceatbuy = 0;
highsincebuy = 0;
//profitTarget = Optimize("PT", 10, 5, 15, 1); // Unhide to Optimize - looks like the higher the better...so might as well not use a PT
profitTarget = 5; // Profit target in percentage
//Stop/Profit Target Logic
for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 AND Buy[ i ] )
{
priceatbuy = BuyPrice[ i ];
}
if( priceatbuy > 0 )
{
highsincebuy = Max( High[ i ], highsincebuy );
ptarray[i] = (1 + profitTarget * 0.01) * priceatbuy;
if( High[ i ] >= ( 1 + profitTarget * 0.01 ) * priceatbuy )
{
Sell[i] = 1;
SellPrice[i] = Max(Open[i], ( 1 + profitTarget * 0.01 ) * priceatbuy);
trailstop = 0;
priceatbuy = 0;
highsincebuy = 0;
}
if( trailstop == 0 AND Buy[ i ] )
{
trailstop = BuyPrice[i] * (1- stopLoss/100);
}
else Buy[i] = 0; // remove excess buy signals - having this here also ensures max stop loss can be hit, was avoiding entries otherwise.
if( trailstop > 0 AND Low[ i ] < trailstop AND Buy[i] != True) // adding Buy check ensures you don't stop out on the breakout candle when the stop is within it
{
Sell[ i ] = 1;
SellPrice[ i ] = Min( Open[ i ], trailstop );
trailstop = 0;
priceatbuy = 0;
highsincebuy = 0;
}
if( trailstop > 0 )
{
//trailStop = Max(DonchianLower[i], trailStop); // Unide to turn on trailing stop option
trailARRAY[ i ] = trailstop;
}
}
}
Plot(trailArray, "Trailing Stop Level", colorRed, styleThick);
Plot(ptarray, "profit target", colorLightBlue);
// Plot arrows indicating trades
PlotShapes(IIf(Buy, shapeUpTriangle, shapeNone),color = colorLime, 0, L, Offset=-50);
PlotShapes(IIf(Sell, shapeDownTriangle, shapeNone),color = colorRed, 0, H, Offset=-50);
// ==========================================================================================
// === EXPLORATION / SCANNING COLUMNS ===
// ==========================================================================================
Filter = 1;
AddTextColumn(FullName(), "Name");
AddColumn(Buy, "Buy Array");
