Pyramiding Orders w/unique stops & current acct balance

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DukeNukem
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Pyramiding Orders w/unique stops & current acct balance

Postby DukeNukem » 26 Oct 2011

Hello all, is it possible to pyramid orders w/unique stops in MC (not all exiting at once), and if so, how do you recommend to do so?

Also, my stops are based on Acct equity (ie while portfolio testing a result of my trades at the time), volatility (ATR), and are a % of overall equity. My question is: can I access Acct equity while portfolio testing (to calculate my stops), and is there any other way to implement a stop loss other than the actual dollar value ie Stop Loss ($500)? Thanks

imoneyfish
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Re: Pyramiding Orders w/unique stops & current acct balance

Postby imoneyfish » 26 Oct 2011

Very good questions, I wanted to ask the same.

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johnmok
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Re: Pyramiding Orders w/unique stops & current acct balance

Postby johnmok » 26 Oct 2011

i am also working on how to make the positions exit separately, i have browse some website, and found that a way to do that is making use of counters, the code is come from markplex.

Code: Select all

var: ce(0),twoctr(0),threectr(0),startcounttwo(false),startcountthree(False);

CE = CurrentEntries;

If CE = 2 and CE[1] <>2 then
begin
TwoCtr = 0;
StartCountTwo = True;
end;

if ce = 3 and ce[1] <>3 then
begin
threectr = 0;
startcountthree = true;
end;

if startcounttwo then twoctr = twoctr + 1;
if startcountthree then threectr = twoctr + 1;

if barssinceentry = 10 then sell from entry ("one") next bar at market;

if twoctr = 11 then
begin
sell from entry ("two") next bar at market;
startcounttwo = false;
end;

if threectr = 11 then
begin
sell from entry ("three") next bar at market;
startcountthree = false;
end;
it works, but it's a bit cumbersome.
i wonder is there any other simpler method can do the same job.
any keywords that helps would be welcome. thanks all.

DukeNukem
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Re: Pyramiding Orders w/unique stops & current acct balance

Postby DukeNukem » 27 Oct 2011

MC is in its 7th iteration and still is severely lacking in order execution and order management. In theory with auto-trading software I should be able to (at least emulate) any sequence of manual orders with a broker (simply and robustly), and ideally automate those orders seamlessly through a broker. I simply cannot do that with this software.

And the testing software is useless if you can't access your acct equity.

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furytrader
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Re: Pyramiding Orders w/unique stops & current acct balance

Postby furytrader » 28 Oct 2011

"MC is in its 7th iteration and still is severely lacking in order execution and order management. In theory with auto-trading software I should be able to (at least emulate) any sequence of manual orders with a broker (simply and robustly), and ideally automate those orders seamlessly through a broker. I simply cannot do that with this software. "
Really? Why not?

If you want to exit a position on an incremental basis, then use the following command structure (assuming you're long) to partially exit a position using a stop:

Code: Select all

SELL <AMOUNT> CONTRACT TOTAL FROM <"ENTRY LABEL"> NEXT BAR AT <PRICE LEVEL> STOP;
Why is that so hard?

Also, to say "And the testing software is useless if you can't access your acct equity" is goofy because (1) It's not true, since not everyone uses account equity as part of their backtesting process and (2) You can simulate account equity quite easily for an account that only trades that strategy. For accounts that trade mutliple strategies, you can simulate portfolio equity using the Portfolio Backtester (command "Portfolio_NetProfit").

vking
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Re: Pyramiding Orders w/unique stops & current acct balance

Postby vking » 28 Oct 2011

For me - multi targets exits doesn't work as expected.

If the first target is filled - it would cancel the other orders in queue and would re-submit again at the same price ( as the conditions are still valid ). This is very important aspect for me - and there is no work around at this time unfortunately.

https://www.multicharts.com/pm/viewissu ... _no=MC-454 - pm request

DukeNukem
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Re: Pyramiding Orders w/unique stops & current acct balance

Postby DukeNukem » 29 Oct 2011

Thanks for the info. viking, looks like MC does not support the functionality I described in terms of multiple pyramid entries / and a unique stop loss for each one.

DukeNukem
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Re: Pyramiding Orders w/unique stops & current acct balance

Postby DukeNukem » 29 Oct 2011

SELL <AMOUNT> CONTRACT TOTAL FROM <"ENTRY LABEL"> NEXT BAR AT <PRICE LEVEL> STOP;

Actually placing a price with each order where it would exit would be much easier than manually telling it to exit this many contracts as was done above, because with the implementation above I will have to recognize in the strategy where I want the stop to occur, which means I have to cycle through order history and current trade information, and hope that MC implements it correctly in the testing. In other words, that is messy, especially when your strategy uses robust risk management. Also, I want the stops to happen AT a specific price level, not at the next bar, and this often is difficult to do with MC, at least for me.

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TJ
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Re: Pyramiding Orders w/unique stops & current acct balance

Postby TJ » 29 Oct 2011

Hello all, is it possible to pyramid orders w/unique stops in MC (not all exiting at once), and if so, how do you recommend to do so?

Also, my stops are based on Acct equity (ie while portfolio testing a result of my trades at the time), volatility (ATR), and are a % of overall equity. My question is: can I access Acct equity while portfolio testing (to calculate my stops), and is there any other way to implement a stop loss other than the actual dollar value ie Stop Loss ($500)? Thanks
This can be done, I have seen people do it.

Bear in mind, what you have described is a very high level concept.
It sounds simple, but in reality is a complicated undertaking that requires detailed planning.
This is like telling people you are going to Florida for vacation; but how you are you going to get there? which highway to take? when to stop for lunch, where to stay overnight? The possibility of the decision tree is enormous.

I would suggest you to start with a flowchart.
You must map out all the IF-THEN-ElSE decisions along the way, then code your instructions accordingly.

example of a flowchart:

Image

Remember, you are asking the computer to work for you.
The computer is dumb, it cannot read your mind, it can only do what you tell it to do.


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