Hi all,
I have a AFL freelancer helping me with coding. The rules I have provided for LONG trades as follows:
| 2.1 | Rule 1 – Entry Long |
|---|---|
| 1. | If yesterday’s Close is Higher than today’s Low then |
| 1.1. | use 1/xth of PortEquity to buy |
| 1.2. | at today’s Close. |
| 1.3. | Yesterday (“Ref -1”) should be a parameter (1,1,5,1) |
| 2. | X is a parameter between 5 and 30 with default of 20 |
| 3. | For example: |
| 3.1. | If Equity is $100,000, |
| 3.2. | X = 20 |
| 3.3. | buy trigger is activated (yesterday’s close is higher than today’s low) |
| 3.4. | today’s close is $10 |
| 3.5. | then buy $5000 at $10 = Qty: 500 |
| 4. | repeat this buy process every time Rule#1 is triggered until there is no available $ |
| 5. | Only trigger the exit rule (below) once there is no available $ |
| 2.2 | Rule 2 – Exit long |
| 1. | Exit at HHV Close (parameter 200, 10,300,10) |
Here is the code:
SetTradeDelays( 0, 0, 0, 0 ); // Trade happens on the same day
PortEquity = Foreign( "~~~EQUITY", "C" );
GfxSelectFont( "Tahoma", 11, 110 );
GfxSetBkMode( 1 );
GfxSetTextColor( colorWhite );
// user input
initial_equity = Param( "Initial Equity", 100000, 1, 10000000, 1 );
X = Param( "X port of equity", 20, 10, 100, 10 );
lookback = Param( "Lookback (ref-1)", 1, 1, 5, 1 );
HHV_length = Param( "Lookback HHV close Exit", 200, 100, 300, 20 ); ;
// Initial equity
SetOption( "InitialEquity", initial_equity );
//GfxTextOut("check: "+((1/20)*100000),30,50);
//HHV
Highest_close = HHV( close, HHV_length );
abs_amount = ( ( 1 / x ) * initial_equity );
_buy = Ref( Close, -lookback ) > low;
_Sell = Close > Ref( Highest_close, -1 );
Plot( Ref( Highest_close, -1 ), "Highest close", colorWhite );
Buy = Sell = Null;
LongFlag = 0;
_BuyPrice = null;
bp = 0;
LF = 0;
capital = initial_equity;
CP = 0;
trade_counter = tc = 0;
entry_qty = EQTY = 0;
entry_value = Ev = 0;
check = 0;
exit_qty = XQTY = 0;
buyamount = BA = initial_equity;
BB = 0;
for( i = 1; i < BarCount; i++ )
{
if( _Buy[ i ] AND buyamount[i] > C[i] AND capital[i] > C[i] ) //bal capital should be more then current price
{
if( trade_counter == 0 )
{
Buy[ i ] = 1;
buyamount = ( ( 1 / X ) * capital[i] );
}
else
{
Buy[i] = sigScaleIn;
}
BuyPrice = Close[i];
_BuyPrice = Close[i];
LongFlag = 1;
capital -= buyamount[i] ;
entry_qty += buyamount[i] / _BuyPrice[i];
entry_value = Min( buyamount[i], capital[i] );
//Min(abs_amount[i],capital[i]); //( ( 1 / X ) * initial_equity );
trade_counter += 1;
exit_qty = 0;
BB[i]=1;
}
check[i] = entry_qty[i];
//buyamount = ( ( 1 / X ) * capital[i] );
BA[i] = buyamount[i];
if( _sell[i] AND capital[i] < C[i] AND LongFlag[i] == 1 AND BB[i]==0)
{
Sell[i] = 1;
SellPrice[i] = Close[i];
capital = Close[i] * entry_qty[i] + capital[i];
longflag = 0;
trade_counter = 0;
exit_qty = entry_qty[i];
entry_qty = 0;
buyamount = capital[i];
}
CP[i] = capital[i];
LF[i] = longflag[i];;
EV[i] = entry_value[i];
XQTY[i] = exit_qty[i];
EQTY[i] = entry_qty[i];
TC[i] = trade_counter[i];
}
GfxTextOut( "Entry Qty: " + check, 30, 50 );
GfxTextOut( "Capital: " + cp, 30, 100 );
GfxTextOut( "TC: " + TC, 30, 150 );
GfxTextOut( "Buy Amount: " + BA, 30, 200 );
GfxTextOut( "Entry Value: " + EV, 30, 250 );
//dist = 1.3*ATR(10);
//for( i = 0; i < BarCount; i++ )
//{
//if( Buy[i] ) PlotText( "Buy @ " + C[ i ] + " :: "+EV[i] + " :: "+EQTY, i, L[ i ], colorGreen );
//if( Sell[i] ) PlotText( "Sell @ " + C[ i ] + " :: "+CP[i]+" :: "+XQTY, i, H[ i ]+dist[i], colorRed );
//}
PlotShapes( IIf( Buy, shapeSquare, shapeNone ), colorGreen, 0, L, Offset = -40 );
PlotShapes( IIf( Buy, shapeSquare, shapeNone ), colorLime, 0, L, Offset = -50 );
PlotShapes( IIf( Buy, shapeUpArrow, shapeNone ), colorWhite, 0, L, Offset = -45 );
PlotShapes( IIf( Sell , shapeStar, shapeNone ), colorRed , 0, H, Offset = 45 );
SetPositionSize( BA, spsValue ); // for first entry
SetPositionSize( BA, IIf( Buy == sigScaleIn, spsValue, spsNoChange ) ); // scale in 25% after initial position
_SECTION_BEGIN( "New Chart" );
SetOption( "WarningLevel", True );
barcolor = ( ( IIf( C > O, colorGreen, colorRed ) ) );
SetBarFillColor( barcolor );
Plot( C, "Price", barcolor, styleCandle );
SetChartOptions( 0, chartShowArrows | chartShowDates );
SetBarsRequired( sbrAll, sbrAll );
GraphXSpace = 10;
dec = ( 2 / 10 ) + 1;
Title = EncodeColor( 55 ) + Title = Name() + " " + EncodeColor( 32 ) + Date() +
" " + EncodeColor( 5 ) + "{{INTERVAL}} " +
EncodeColor( 55 ) + " Open = " + EncodeColor( 52 ) + WriteVal( O, dec ) +
EncodeColor( 55 ) + " High = " + EncodeColor( 5 ) + WriteVal( H, dec ) +
EncodeColor( 55 ) + " Low = " + EncodeColor( 32 ) + WriteVal( L, dec ) +
EncodeColor( 55 ) + " Close = " + EncodeColor( 7 ) + WriteVal( C, dec ) +
EncodeColor( 55 ) + " Volume = " + EncodeColor( 11 ) + WriteVal( V, 1 ) +
EncodeColor( 55 ) + " ROC = " + EncodeColor( colorOrange ) + WriteVal( SelectedValue( ROC( C, 1 ) ) );
EncodeColor( colorBlack );
EnableTextOutput( False );
_SECTION_END();
The problem I have is that whilst the backtest trade list starts with 20 scale in (0-19), after some time the number of scale ins drop. We have tested this with TQQQ (NASDAQ). Can someone help with defining why the number of scale-ins are decreasing in time?
Thanks,
Arpad