Scale Out of a Position

[NinjaTrader_Ray]

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[dgregor5]

Ray - thx. easy when you know how!
Josh - have been thinking about this. As written I believe the strategy is doing the following:

1/ price hits first target - stop loss moved to -5. No problem here.
2/ price hits second target - stop loss doesn't know where to go since 2x conditions are true, i.e. Close[0] > Position.AvgPrice + 5 AND Close[0] > Position.AvgPrice + 10 ARE BOTH TRUE.
3/ if price then starts to retrace to a point where Close[0] > Position.AvgPrice + 5 ONLY is true, then then stop loss moved to -5.
4/ if price retraces further, final contract closed out at -5.

The above sounds logical.........but I am no expert in logic.
Have included the Output from the Output window below.
Long trade entered at 12270. -5 stop loss = 12265.

Hope it helps !
thx
David


19/01/2008 21:12:37 Entered internal PlaceOrder() method at 19/01/2008 21:12:37: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Long 1a' FromEntrySignal=''
19/01/2008 21:12:37 Entered internal PlaceOrder() method at 19/01/2008 21:12:37: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Long 1b' FromEntrySignal=''
19/01/2008 21:12:37 Entered internal PlaceOrder() method at 19/01/2008 21:12:37: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Long 1c' FromEntrySignal=''
19/01/2008 21:12:37 Entered internal PlaceOrder() method at 19/01/2008 21:12:37: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Long 1d' FromEntrySignal=''
19/01/2008 21:13:07 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=12265.75 Currency=0 Simulated=False
19/01/2008 21:13:07 Amended stop order: Order='c7b4004e9e5a43ec884fcf29c81df117/Sim101' Name='Stop loss' State=Accepted Instrument='YM ##-##' Action=Sell Limit price=0 Stop price=12266 Quantity=1 Strategy='JMACrossContinuationMod' Type=Stop Tif=Gtc Oco='45a4ebd375514276a031e250427b3e59' Filled=0 Fill price=0 Token='c7b4004e9e5a43ec884fcf29c81df117' Gtd='01/12/2099 00:00:00'
19/01/2008 21:13:07 Raise: 12265.75
19/01/2008 21:13:07 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=12270.75 Currency=0 Simulated=False
19/01/2008 21:13:07 Amended stop order: Order='c7b4004e9e5a43ec884fcf29c81df117/Sim101' Name='Stop loss' State=PendingChange Instrument='YM ##-##' Action=Sell Limit price=0 Stop price=12271 Quantity=1 Strategy='JMACrossContinuationMod' Type=Stop Tif=Gtc Oco='45a4ebd375514276a031e250427b3e59' Filled=0 Fill price=0 Token='c7b4004e9e5a43ec884fcf29c81df117' Gtd='01/12/2099 00:00:00'
19/01/2008 21:13:07 Breakeven: 12270.75
19/01/2008 21:13:17 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=12265.75 Currency=0 Simulated=False
19/01/2008 21:13:17 Raise: 12265.75
19/01/2008 21:13:17 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=12270.75 Currency=0 Simulated=False
19/01/2008 21:13:17 Amended stop order: Order='c7b4004e9e5a43ec884fcf29c81df117/Sim101' Name='Stop loss' State=Accepted Instrument='YM ##-##' Action=Sell Limit price=0 Stop price=12271 Quantity=1 Strategy='JMACrossContinuationMod' Type=Stop Tif=Gtc Oco='45a4ebd375514276a031e250427b3e59' Filled=0 Fill price=0 Token='c7b4004e9e5a43ec884fcf29c81df117' Gtd='01/12/2099 00:00:00'
19/01/2008 21:13:17 Breakeven: 12270.75
19/01/2008 21:13:27 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=12265.75 Currency=0 Simulated=False
19/01/2008 21:13:27 Amended stop order: Order='c7b4004e9e5a43ec884fcf29c81df117/Sim101' Name='Stop loss' State=Accepted Instrument='YM ##-##' Action=Sell Limit price=0 Stop price=12266 Quantity=1 Strategy='JMACrossContinuationMod' Type=Stop Tif=Gtc Oco='45a4ebd375514276a031e250427b3e59' Filled=0 Fill price=0 Token='c7b4004e9e5a43ec884fcf29c81df117' Gtd='01/12/2099 00:00:00'
19/01/2008 21:13:27 Raise: 12265.75
19/01/2008 21:13:47 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Ticks Value=20 Currency=0 Simulated=False

[NinjaTrader_JoshP]

Good assessment. When both conditions are true it will take the last modification to your stop loss. It will do the +5 mod and then come to the code where it will then do the +10 mod. What we want to do for both of our stop loss mod conditions is probably add a bool to them. This will allow us only to modify the stop loss once per condition evaluated to true. Does this make sense?

If our Close[0] raised to above price by 10 ticks we want our stop loss to be raised to breakeven. Adding the bool will prevent the strategy from ever lowering the stop loss.

[dgregor5]

the logic part was the easy bit, pls point me in the right direction regarding the boolean expression. Apologise, but I am no coder.....

thx
David

[NinjaTrader_JoshP]

if (Close[0] > Position.AvgPrice + 10 * TickSize && breakevenSet == false)
{
SetStopLoss(CalculationMode.Price, Position.AvgPrice);
breakevenSet = true;
}

if (breakevenSet && Position.MarketPosition == MarketPosition.Flat)
{
breakevenSet = false;
}

Create breakevenSet in the Variables section up top.
private bool breakevenSet = false;

[dgregor5]

Josh
this works OK on the way up. i.e. when at price > + 10 from Position.AvgPrice StopLoss = Breakeven, but as soon as price drops below +5 from Position.AvgPrice, StopLoss = -5.

any ideas how to stop this change on the way down?
thx
DG

[dgregor5]

forget my last post.
inserting the code below, does not correct the issue even on the way up, i.e. at +10, stop loss reverts to -5 100% of the time one tick after stating that it was at breakeven.

DG

[dgregor5]

Adding the text in bold fixes the issue.
Josh - help greatly appreciated. it is 11:30pm here in Europe.............now off to bed !!!!!!

thx
David



if (Close[0] > Position.AvgPrice + 5 * TickSize
&& breakevenSet == false)
{
SetStopLoss(CalculationMode.Price, Position.AvgPrice - 5 * TickSize);
Print(Time[0] + " Raise: " + (Position.AvgPrice - 5 * TickSize));
}

if (Close[0] > Position.AvgPrice + 10 * TickSize
&& breakevenSet == false)
{
SetStopLoss(CalculationMode.Price, Position.AvgPrice);
Print(Time[0] + " Breakeven: " + Position.AvgPrice);
breakevenSet = true;

[dgregor5]

Josh

One more comment

It may be worth updating your sample strategy code that you placed in the forum (that I used as the baseline for this code) with what I have learnt here based on scaling out of a position with more than two contracts. People like me rely a lot on thise sample codes you place in that part of the forum.

many thx
David

[NinjaTrader_JoshP]

I was originally suggesting using 2 bools (one for each condition). I only posted code for one of condition set. Sorry if that caused confusion. Your current implementation uses 1 bool for both conditions. That could work, but it would still allow for unnecessary resubmissions of the Position.AvgPrice + 5 *TickSize stop loss modification.

If you use two bools you will only allow for the strategy to modify the stop loss once for each condition set.

if[FONT=Courier New] (Close[[/FONT][FONT=Courier New][COLOR=#800080]0[/COLOR][/FONT][FONT=Courier New]] > Position.AvgPrice + [/FONT][FONT=Courier New][COLOR=#800080]5[/COLOR][/FONT][FONT=Courier New] * TickSize [/FONT][FONT=Courier New]&& raiseSet == [/FONT][FONT=Courier New][COLOR=#0000ff]false[/COLOR][/FONT][FONT=Courier New])[/FONT][FONT=Courier New]
{[/FONT]
      [FONT=Courier New]SetStopLoss(CalculationMode.Price, Position.AvgPrice - [/FONT][FONT=Courier New][COLOR=#800080]5[/COLOR][/FONT][FONT=Courier New] * TickSize);[/FONT][FONT=Courier New]
      raiseSet = true;[/FONT][FONT=Courier New]
}[/FONT]
 
[FONT=Courier New][COLOR=#0000ff]if[/COLOR][/FONT][FONT=Courier New] (Close[[/FONT][FONT=Courier New][COLOR=#800080]0[/COLOR][/FONT][FONT=Courier New]] > Position.AvgPrice + [/FONT][FONT=Courier New][COLOR=#800080]10[/COLOR][/FONT][FONT=Courier New] * TickSize [/FONT][FONT=Courier New]&& breakevenSet == [/FONT][FONT=Courier New][COLOR=#0000ff]false[/COLOR][/FONT][FONT=Courier New])[/FONT]
[FONT=Courier New]{[/FONT]
      [FONT=Courier New]SetStopLoss(CalculationMode.Price, Position.AvgPrice);[/FONT]
      [FONT=Courier New]breakevenSet = [/FONT][FONT=Courier New][COLOR=#0000ff]true[/COLOR][/FONT][FONT=Courier New];[/FONT]
}

if ((breakevenSet && Position.MarketPosition == MarketPosition.Flat) || (raiseSet && Position.MarketPosition == MarketPosition.Flat))
{
     breakevenSet = false;
     raiseSet = false;
}

(I have not tested this code, but you get the idea.)

[dgregor5]

thx Josh with your patience with me on this one. I have revised the strategy as per your comments below & validated today on the simulated data feed. Works as expected !!

thx
David