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                                                   Place a profit stop through Money management strategy

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Obuli Govindaraju
2011-10-24 22:05:03


I am facing a challenge where I need to place a profit stop limit order.

Here is the logic.

At the close of the day if a 90-10 High continuation (day closes at the top 10% of days range) scenario exists
then place a market order to buy at open (for tomorrow)
Once the order is filled place a profit stop order limit at 1.272 extension of Signal Dayrange (that is yesterdays range)

I can get the buy part working either through the strategy using wizard or Money management scripts,
but I not able to write a strategy nor MM script for the sell part?

Help!!!!



QuantShare
2011-10-25 05:43:25

  0

Best Answer
You can for example use the following MM script (OnEndPeriod):

MMPosition[] positions = Portfolio.GetOpenPositions();
for(int i=0;i < positions.Length;i++)
{
MMPosition pos = positions[i];
TimeSeries close = Data.GetPriceSeries(pos.Symbol, "close");
TimeSeries ts = Data.ParseFormula("a = high * 1.272;").GetTimeSeries(pos.Symbol, "a");
if(close[0] > ts[(int)pos.BarsSinceEntry])
{
pos.ClosePosition();
}
}



Obuli Govindaraju
2011-10-25 08:15:17

  0

Thank you.

I see that you are using OnEndPeriod.

I am using onEndPeriod to validate the buy condition and issue a market open order for next day. Should I include your script on the same MM script OnEndPeriod as buy or a separate MM Script?

Also your sell script is also based on the bars close. My sell limit price can reach sometime during the day even before the bar close.

So here is the logic flow as I see

onEndPeriod

Evaluate for buy condition and if true place a market open order

<Your sell script here> - Now this will not get executed since there are no new positions

next bar onEndPeriod (daily chart)

Evaluate for buy condition and if true place a market open order

<Your sell script here> - Now this will be true and gets executed

The problem I see here is that the close script gets executed only at the end of the day but then the sell price can happen any time during the day after I buy from the open.

So I need an event that when a order is filled my profit stop should kick in.

Let me know if my understanding is incorrect.

Thanks for the great work.




QuantShare
2011-10-26 05:46:27

  0

1- You can use it on the same script

2- You can also do the following:

- Remove the previously added MM Script
- Set "Activate stop immediately" in "Simulator -> Settings -> Capital"
- Set the following line in QuantShare formula:

SetSimStop(_StopProfit, _Point, (high * 1.272) - close, 0);




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