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How to limit the number of buys per day when operating on short time frames?


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How to limit the number of buys per day when operating on short time frames?

  #1 (permalink)
TornadoES
Madrid, Spain
 
Posts: 7 since Feb 2016
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Hi everyone!

I am developing a system for the E-mini S&P and I am having some troubles limiting the number of trades per day. I have searched in the forum and i have found that there are some functions and reserved words such as entriestoday or entrydate which could be useful to limit the number of trades per day. However, they are limited to 10 positions ago and I would like to set the maximum number of buys to 25 or 30 per day.

Has anyone made a script that sets a limit on how many buys or trades can be traded per day? Anyone could give me some advice on how I could do it?

Thanks in advance.

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  #3 (permalink)
 ABCTG   is a Vendor
 
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TornadoES,

use a simple counter. Each time your signal enters a new position, you increment the counter. When you evaluate your entry conditions you use this counter to check that it's smaller than the number of trades per day that you allow.
On the first tick of the new day you reset the counter. This should get you what you want while being more flexible.

Regards,

ABCTG

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  #4 (permalink)
TornadoES
Madrid, Spain
 
Posts: 7 since Feb 2016
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I have tried to code a counter following your instructions but it seems like it doesn't limit the buys. Here is my code, maybe i have committed some mistakes and that is why it doesn't work well.

Inputs: length(20),Distance(2);

Vars: HigherBand(0),LowerBand(0),av(0),cont(0), apertura(0), cierre(0);

HigherBand = Average(c,length) + Distance*stdDev(c,length);
LowerBand = Average(c,length) - Distance*stdDev(c,length);
av = average(c,length);

cont = 0;
apertura = 1530;
cierre = 2200;

If higherband > lowerband and apertura <= time and time <= cierre then begin

if marketposition = 0 and cont <= 25 then begin
Buy ("compra") next bar at LowerBand limit;
cont = cont + 1;
end;

if marketposition = 1 and H >= av then begin
Sell next bar at Higherband limit;
end;
end;

If cierre > time then cont = 0;

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  #5 (permalink)
 ABCTG   is a Vendor
 
Posts: 2,434 since Apr 2013
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TornadoES,

you reset the counter on every code cycle and not just on the first tick of the day. The second thing I noticed is that you increment the counter when you send the order, but as you use a limit order you will run into situations where you increment the counter although the signal didn't enter.

Regards,
ABCTG

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Last Updated on March 22, 2016


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