Hi,
I am currently writing a strategy where 50% of the position will be closed when the price hits the first target and remaining position at the 2nd target. I was able to code this, but the problem is, in some scenarios in the same candle it is getting entry and as well as hitting the first target. How to handle this kind of scenario. If buy condition is satisfied then Buy array will have 1 assigned, but when at the same data point if it hits the first target then we are supposed to assign sigScaleOut to the Buy array and that will erase 1 from Buy array. Due to this, the trade is getting ignored completely during backtesting, How to handle this scenario? Please help? Below is the code.
Buy = Sell = Short = Cover = BuyPrice = ShortPrice = SellPrice = CoverPrice = Null;
LONG_TARGET = LONG_STOPLOSS = SHORT_TARGET = SHORT_STOPLOSS = Null;
Long_Trade_Entry = Long_Trade_Stoploss = Long_Trade_Target = 0;
Short_Trade_Entry = Short_Trade_Stoploss = Short_Trade_Target = 0;
bflag = 0;
sflag = 0;
TSL_LONG = Null;
TSL_SHORT = 999999;
for( i = 4; i < BarCount; i++ )
{
//BUY CONDITION
if( BUY0[i] AND bflag == 0 AND sflag == 0)
{
longexit = shortexit = 0;
//Here is where we are getting into the buy trade.
Buy[i] = 1;
bflag = 1;
if(BUY1[i])
{
BuyPrice[i] = FirstRangeWithBufferHi[i];
Long_Trade_Stoploss = FirstRangeWithBufferLo[i];
} else {
BuyPrice[i] = SecondRangeWithBufferHi[i];
Long_Trade_Stoploss = SecondRangeWithBufferLo[i];
}
Long_Trade_Entry = BuyPrice[i];
Long_Trade_Risk = abs(Long_Trade_Entry - Long_Trade_Stoploss);
Long_Trade_Target = Long_Trade_Entry + (Long_Trade_Risk * TARGET_TIMES);
LONG_TARGET [i] = Long_Trade_Target;
LONG_STOPLOSS[i] = Long_Trade_Stoploss;
plotline( colorGreen, Long_Trade_Entry + (Long_Trade_Risk * 1), i, 1 );
plotline( colorGreen, Long_Trade_Entry + (Long_Trade_Risk * 2), i, 1 );
}
if( bflag )
{
first_target=Long_Trade_Entry + (Long_Trade_Risk * 1);
// Trailing stoploss for buy trades
if( Buy[i] ) {
TSL_LONG[i] = Long_Trade_Stoploss; //Max( TSL_LONG[i - 1], Long_Trade_Stoploss );
}
else
/*{
if(H[i] >= first_target) {
TSL_LONG[i] = Max( TSL_LONG[i - 1], Long_Trade_Stoploss + (Long_Trade_Risk - TickSize) + (H[i] - first_target) );
} else {
TSL_LONG[i] = Max( TSL_LONG[i - 1], Long_Trade_Stoploss );
}
}*/
if(H[i] >= first_target) {
TSL_LONG[i] = Max( TSL_LONG[i - 1], Long_Trade_Stoploss + (Long_Trade_Risk - TickSize) + (H[i] - first_target) );
} else {
TSL_LONG[i] = Max( TSL_LONG[i - 1], Long_Trade_Stoploss );
}
//SACLEOUT on acheive of first Target..
if(longexit == 0 AND H[i] >= first_target) {
longexit = 1;
Buy[i] = sigScaleOut;
BuyPrice[i] = first_target;
}
}
if( ( tn[i-1] == TradeEndTime OR L[i] <= Long_Trade_Stoploss OR L[i] <= TSL_LONG[i - 1] OR H[i] >= Long_Trade_Target) AND
bflag == 1 )
{
longexit = 3;
bflag = 0;sflag=0;
SellPrice[i] = C[i];
if(L[i] <= Long_Trade_Stoploss) {
SellPrice[i] = Long_Trade_Stoploss;
} else if(L[i] <= TSL_LONG[i - 1] ) {
SellPrice[i] = TSL_LONG[i - 1];
} else if(tn[i-1] == TradeEndTime) {
SellPrice[i] = O[i];
} else if(H[i] >= Long_Trade_Target ) {
longexit = 2;
SellPrice[i] = Long_Trade_Target;
}
Sell[i] = longexit + 1;
longexit = 0;
//if(SHORT0[i]) {
// i--;
// continue;
//}
}
//SHORT CONDITION
if( SHORT0[i] AND sflag == 0 AND bflag == 0 )
{
longexit = shortexit = 0;
Short[i] = 1;
sflag = 1;
if(SHORT1[i])
{
ShortPrice[i] = FirstRangeWithBufferLo[i];
Short_Trade_Stoploss = FirstRangeWithBufferHi[i];
} else {
ShortPrice[i] = SecondRangeWithBufferLo[i];
Short_Trade_Stoploss = SecondRangeWithBufferHi[i];
}
Short_Trade_Entry = ShortPrice[i];
Short_Trade_Risk = abs(Short_Trade_Entry - Short_Trade_Stoploss);
Short_Trade_Target = Short_Trade_Entry - (Short_Trade_Risk * TARGET_TIMES);
SHORT_TARGET[i] = Short_Trade_Target;
SHORT_STOPLOSS[i] = Short_Trade_Stoploss;
plotline( colorGreen, Short_Trade_Entry - (Short_Trade_Risk * 1), i, 1 );
plotline( colorGreen, Short_Trade_Entry - (Short_Trade_Risk * 2), i, 1 );
}
if( sflag )
{
first_target=Short_Trade_Entry - (Short_Trade_Risk * 1);
if( Short[i] ) {
TSL_SHORT[i] = Short_Trade_Stoploss; //Min( TSL_SHORT[i - 1], Short_Trade_Stoploss);
}
//else {
// if(L[i] <= first_target) {
// TSL_SHORT[i] = Min( TSL_SHORT[i - 1], Short_Trade_Stoploss - (Short_Trade_Risk + TickSize) - (first_target - L[i]));
// } else {
// TSL_SHORT[i] = Min( TSL_SHORT[i - 1], Short_Trade_Stoploss);
// }
//}
if(L[i] <= first_target) {
TSL_SHORT[i] = Min( TSL_SHORT[i - 1], Short_Trade_Stoploss - (Short_Trade_Risk + TickSize) - (first_target - L[i]));
} else {
TSL_SHORT[i] = Min( TSL_SHORT[i - 1], Short_Trade_Stoploss);
}
//SACLEOUT on acheive of first Target..
if(shortexit == 0 AND L[i] <= first_target) {
shortexit = 1;
Short[i] = sigScaleOut;
ShortPrice[i] = first_target;
}
}
if( ( tn[i-1] == TradeEndTime OR H[i] >= Short_Trade_Stoploss OR H[i] >= TSL_SHORT[i-1] OR L[i] <= Short_Trade_Target) AND
sflag == 1 )
{
shortexit = 3;
bflag = 0;sflag=0;
CoverPrice[i] = C[i];
if(H[i] >= Short_Trade_Stoploss) {
CoverPrice[i] = Short_Trade_Stoploss;
} else if(H[i] >= TSL_SHORT[i-1]) {
CoverPrice[i] = TSL_SHORT[i-1];
} else if(tn[i-1] == TradeEndTime) {
CoverPrice[i] = O[i];
} else if(L[i] <= Short_Trade_Target ) {
shortexit = 2;
CoverPrice[i] = Short_Trade_Target;
}
Cover[i] = shortexit + 1;
shortexit = 0;
//if(BUY0[i]) {
// i--;
// continue;
//}
}
}
TSL_SHORT = IIf( TSL_SHORT == 999999, Null, TSL_SHORT );
SetPositionSize(LOTSIZE, spsShares);
// scale out 50% of position when first trget is acheived...
SetPositionSize( 50, spsPercentOfPosition * ( Short == sigScaleOut OR Buy == sigScaleOut ) );
Plot( TSL_LONG, "TSL Buy", colorBlue, styleDashed );
Plot( TSL_SHORT, "TSL Short", colorBlue, styleDashed );
Thanks,
Vinay
