FXTradepro: Strategy using a “Semi-Martingale” Position Sizing

using System; 
using System.Drawing; 
using OpenQuant.API; 
using OpenQuant.API.Indicators; 
public class MyStrategy : Strategy 
{   
 [Parameter("High")] 
 public double High; 
    
 [Parameter("Low")] 
 public double Low; 
    
 [Parameter("Close positions on strategy stop")] 
 public bool CloseOnStop; 
    
 
 private double slippageAdjust = 1;
 private double Range = 10;
 private double delta = 10;    
 private int ocaCount = 0;    
 private double High_dyn = 0;
 private double Low_dyn = 0;
 
 private int nTrade = 0;
 private double tickSize = 0.01;
 private double profitmultiply = 1;
 private double filledprice = 0;
 private int Qty = 1; 
 private int longshortdecimals = 1;
 private int rangedecimals = 5;
 private int qtydecimals = 1;
 private int slippagedecimals = 1;
 private int smadecimals = 30;
 private double sma1length = 100;
 private int longshort = 1;
 private bool getDecimals = false;
 
 private int[] Lotfactor;
 private double[] TPfactor;
 
 Order order1;
 Order order2;
 Order limitOrder;
 Order stopOrder;
 
 private bool started; 
    
 public override void OnStrategyStart() 
 { 
  Lotfactor = new int[24];
  Lotfactor[0] = 1;
  Lotfactor[1] = 1;
  Lotfactor[2] = 2;
  Lotfactor[3] = 3;
  Lotfactor[4] = 4;
  Lotfactor[5] = 6;
  Lotfactor[6] = 8;
  Lotfactor[7] = 11;
  Lotfactor[8] = 15;
  Lotfactor[9] = 20;
  Lotfactor[10] = 27;
  Lotfactor[11] = 36;
  Lotfactor[12] = 47;
  Lotfactor[13] = 62;
  Lotfactor[14] = 80;
  Lotfactor[15] = 102;
  Lotfactor[16] = 130;
  Lotfactor[17] = 165;
  Lotfactor[18] = 208;
  Lotfactor[19] = 263;
  Lotfactor[20] = 331;
  Lotfactor[21] = 416;
  Lotfactor[22] = 522;
  Lotfactor[23] = 655;
  
  TPfactor = new double[24];
  TPfactor[0] = 1.0;
  TPfactor[1] = 2.0;
  TPfactor[2] = 2.0;
  TPfactor[3] = 2.0;
  TPfactor[4] = 2.5;
  TPfactor[5] = 2.5;
  TPfactor[6] = 3.0;
  TPfactor[7] = 3.0;
  TPfactor[8] = 3.0;
  TPfactor[9] = 3.0;
  TPfactor[10] = 3.0;
  TPfactor[11] = 3.0;
  TPfactor[12] = 3.5;
  TPfactor[13] = 3.5;
  TPfactor[14] = 3.5;
  TPfactor[15] = 3.5;
  TPfactor[16] = 3.5;
  TPfactor[17] = 3.5;
  TPfactor[18] = 4.0;
  TPfactor[19] = 4.0; 
  TPfactor[20] = 4.0;
  TPfactor[21] = 4.0;
  TPfactor[22] = 4.0;
  TPfactor[23] = 4.0;
    
   
  if (Instrument.TickSize != 0) 
   tickSize = Instrument.TickSize;   
    
  getDecimals = int.TryParse(Instrument.Description.Substring(0,1), out longshortdecimals); 
  if (getDecimals) 
  { 
   longshort = longshortdecimals;      // 1 is long, 0 is short
  }
  
  getDecimals = int.TryParse(Instrument.Description.Substring(2,2), out rangedecimals); 
  if (getDecimals) 
  { 
   Range = tickSize*rangedecimals;     
  }  
  High_dyn = High;
  Low_dyn = Low;
  High_dyn = Math.Round(High_dyn/tickSize) * tickSize;
  Low_dyn = Math.Round(Low_dyn/tickSize) * tickSize;   
  Range = High_dyn - Low_dyn; 
  Range = Math.Round(Range/tickSize) * tickSize;       
  delta = profitmultiply*Range;    
  delta = Math.Round(delta/tickSize) * tickSize;  
  
  
  
  getDecimals = int.TryParse(Instrument.Description.Substring(5,5), out qtydecimals); 
  if (getDecimals) 
  { 
   Qty = qtydecimals;     
  }  
  
  getDecimals = int.TryParse(Instrument.Description.Substring(11,1), out slippagedecimals); 
  if (getDecimals) 
  { 
   slippageAdjust = slippagedecimals;    
  }  
  getDecimals = int.TryParse(Instrument.Description.Substring(13,3), out smadecimals); 
  if (getDecimals) 
  { 
   sma1length = smadecimals;    
  }    
  
  
  started = false; 
 } 
    
 public override void OnStrategyStop() 
 { 
  if (CloseOnStop) 
  { 
   if (HasPosition) 
   { 
    if (Position.Side == PositionSide.Long) 
     MarketOrder(OrderSide.Sell, Position.Qty).Send(); 
    else 
     MarketOrder(OrderSide.Buy, Position.Qty).Send(); 
   } 
  } 
 } 
 public override void OnBar(Bar bar) 
 { 
       
  if (!HasPosition && !started) 
  { 
   started = true; 
   nTrade = 0;
    
   order1 = StopOrder(OrderSide.Buy,  Qty*Lotfactor[nTrade], High_dyn); 
   order2 = StopOrder(OrderSide.Sell, Qty*Lotfactor[nTrade], Low_dyn); 
          
   ocaCount++; 
          
   string id  = Clock.Now.Ticks.ToString(); 
          
   order1.OCAGroup = id  + ": " + Instrument.Symbol + " " + ocaCount; 
   order2.OCAGroup = id  + ": " + Instrument.Symbol + " " + ocaCount; 
          
   order1.Send(); 
   order2.Send(); 
  } 
 } 
    
 
 
 public override void OnPositionChanged() 
 { 
  if (HasPosition) 
  {          
   if (nTrade == 0)
   {
    if (order1.AvgPrice > order2.AvgPrice)
    {
     filledprice = order1.AvgPrice;
     if (filledprice > High_dyn)
     {
      High_dyn = filledprice;     
     }       
    }
    else
    {
     filledprice = order2.AvgPrice;
     if (filledprice < Low_dyn)
     {
      Low_dyn = filledprice;
     }     
    }
   }
   else
   {
    if (limitOrder.AvgPrice > stopOrder.AvgPrice)
    {
     filledprice = limitOrder.AvgPrice;
     
     if (filledprice > High_dyn)
     {
      High_dyn = filledprice;     
     }         
     if (filledprice < Low_dyn)
     {
      Low_dyn = filledprice;
     }      
    }
    else
    {
     filledprice = stopOrder.AvgPrice;
     if (filledprice > High_dyn)
     {
      High_dyn = filledprice;     
     }           
     if (filledprice < Low_dyn)
     {
      Low_dyn = filledprice;
     }      
    }
   }
   
   High_dyn = Math.Round(High_dyn/tickSize) * tickSize;
   Low_dyn = Math.Round(Low_dyn/tickSize) * tickSize;   
   Range = High_dyn - Low_dyn; 
   Range = Math.Round(Range/tickSize) * tickSize;       
   delta = TPfactor[nTrade]*Range;    
   delta = Math.Round(delta/tickSize) * tickSize; 
   filledprice = Math.Round(filledprice/tickSize) * tickSize; 
   nTrade++; 
   Console.WriteLine("{0}     nTrade: {1}     Qty: {2}  filledprice = {3}    High: {4}     Low: {5}     Range: {6}     delta: {7}     Qty: {8}", DateTime.Now, nTrade, Qty*Lotfactor[nTrade], filledprice, High_dyn, Low_dyn, Range, delta, Position.Qty);
   
   if (Position.Side == PositionSide.Long) 
   { 
    ocaCount++; 
          
    limitOrder = LimitOrder(OrderSide.Sell, Position.Qty, High_dyn + delta); 
    stopOrder  = StopOrder (OrderSide.Sell, Position.Qty + (Qty*Lotfactor[nTrade]), Low_dyn); 
          
    string id  = Clock.Now.Ticks.ToString(); 
             
    limitOrder.OCAGroup = id  + ": " +  Instrument.Symbol + " " + ocaCount; 
    stopOrder.OCAGroup  = id  + ": " +  Instrument.Symbol + " " + ocaCount; 
          
    limitOrder.Send(); 
    stopOrder.Send();    
   } 
       
   else 
   { 
    ocaCount++; 
          
    stopOrder  = StopOrder (OrderSide.Buy,  Position.Qty + (Qty*Lotfactor[nTrade]), High_dyn); 
    limitOrder = LimitOrder(OrderSide.Buy, Position.Qty, Low_dyn - delta); 
    string id  = Clock.Now.Ticks.ToString(); 
    limitOrder.OCAGroup = id  + ": " + Instrument.Symbol + " " + ocaCount; 
    stopOrder.OCAGroup  = id  + ": " + Instrument.Symbol + " " + ocaCount; 
          
    limitOrder.Send(); 
    stopOrder.Send(); 
   } 
    
  }   
  else
  {
/*   
   if (limitOrder.AvgPrice > stopOrder.AvgPrice)
    filledprice = limitOrder.AvgPrice;
   else
    filledprice = stopOrder.AvgPrice;    
   filledprice = Math.Round(filledprice/tickSize) * tickSize;           
   Console.WriteLine("{0}     nTrade: {1}    Qty = {2}       filledprice = {3}    High: {4}     Low: {5}     Range: {6}     delta: {7}     STOP", DateTime.Now, nTrade, Qty*Lotfactor[nTrade], filledprice, High_dyn, Low_dyn, Range, delta, Position.Qty);
*/
  }
 } 
}

Quoting jones247

Disliked

The only two issues ("downsides") are: (1) if a breakout occurs within the first 7 progressions, there's not a lot of money to be made... as compared to other systems and strategies for a night's effort; (2) this system forces one to contemplate the probability of a drawndown of 50% of your capital reserves (i.e. Margin Requirement). Although the odds are that it will not happen with proper entry, and one could have 24 consecutive losses with other systems (which would create a similar cummulative drawdown impact), this system forces one to acknowledge this fact up front.

Ignored

Quoting Xaron

Disliked

Even with a one pip spread you will get stopped out very, very often (Take a look at a tick chart and you see it). Even using a 10 pips spread is sometimes dangerous. A lesser spread doesn't mean a lesser drawdown! Others here made the math and came to the conclusion that a 20 pips spread is often safer using this strategy.

Regards - Xaron

Ignored

Quoting tdion

Disliked

Did you think about sitting out during the first several bounces on the pair, and then starting?

As Dan said earlier, there won't be nearly as many signals, but you could have your EA waiting for these bounces on several pairs.

Ignored

Quoting tdion

Disliked

Did you think about sitting out during the first several bounces on the pair, and then starting?

As Dan said earlier, there won't be nearly as many signals, but you could have your EA waiting for these bounces on several pairs.

Ignored

Quoting jones247

Disliked

I tried that... the problem was that I was winning early. I even tried 0.01 pips instead of 0.1 pips; however, I was reaching my TP by the 3rd ro 4th progession, which isn't much money for a night's trading effort.

For those who would consider trading GBPJPY, I have found much success with my SL=25 & TP=100. As long as you keep the ratio 1:4, you're fine. Personally, as a rule of thumb my SL s/b at least 2.5 times more than my spread. For example, if the currency has a 4 pip spread, then my SL s/b 10 pips.

Thanks,
Walt

Ignored

Quoting haubentaucher

Disliked

Hello Dan (FXTradePro),

first i want to say: Thank you very much!


secondly i have a question: Would it be possible to built in a function like:

if you have 40 pips in your pockets then set stoploss to breakeven(in this case 40 pips) and start trailing stop. Hibernation function should be possible, too.

I have started testing Time Entry (7 am GMT ).

all the best

haubentaucher

Ignored

Quoting jimbo61

Disliked

Not losing interest...just being quite...
Had a winner on the GBP/USD last night. Started the EA up around 10 pm last night and it closed out at the 5th level ($90+), after the London market opened up. Did not really look too close at it before I left for work, but it just checked to se if it closed over night.

Pretty steady program that works out for me each day.

Ignored

Quoting FXTradepro

Disliked

Hi Walt.......You are still TOO successful?....LOL. Steady profits are fine, when you are comfortable just trade with a Larger Account and the money will follow. Also, looks to me like 25/100 on GBPJPY could be very good.

Dan

Ignored

Quoting jones247

Disliked

The problem is "Murphy's Law"... I imagine the moment I increase by lot size (for example, instead of 0.1 for the 1st progression, I increase it to 1.0 - 10 times), that's when it'll run to the 20th progression.

Nonetheless, whether it's $100 per night or $1,000 per night, the ROI is still the same. For example the standard lot account requires a capital balance of $47,525 (based upon SL-10 & TP-40). This is a ROI of about 44%, based on 210 trading opportunities per year. A ROI OF 44% IS EXCEPTIONAL IN ANY OTHER INVESTMENT ARENA; however, considering the time, effort & risk, the forex market has a higher expectation. If I increase my lot sizes, then I would need to proportionately increase by capital reserves. Therefore, my ROI will remain at 44%.

Sorry for the ramble...

Walt

Ignored

Quoting mer071898

Disliked

Hey guys, I just wanted to ask a simple question regarding time entry. When you choose Time Entry, do you put in the time as GMT time? Also, when the Time entry is initiated and you have Hibernation set to True does it stay in the progression until it completes and if the progression is still running will the EA open another position at the prescribed time the next day?

Ignored

Quoting joselb

Disliked

I tested eur/usd but I did it with my laptop and I had to disconnect it. What I found when I entered again is that EA was working again: good!, I didn't know it, but I saw that the next lot was different, I mean that if the next lot should have been for example the third progression's lot then it began with the fourth progression...

Perhaps I must try again but I would like to know what happens exactly if you turn off your computer and then you switch on again.

I will continue testing this great EA.

Ignored