A more dynamic, refined, redundant exit algorithm

#1
First Post: Jun 5, 2015 2:27am Jun 5, 2015 2:27am

Pipologist
Joined May 2009 | Status: testing/trading/testing/trading... | 1,799 Posts

I've been working on more dynamic (or refined and redundant) exit algorithms for MT4 EAs.

For example, instead of getting out at predefined stop price levels and TP price levels, or entry signal reversals...instead using a percentage of price movement or combining it with an increase/decrease in AccountEquity() or an increase/decrease in AccountProfit() or other combinations that are not simply related static prices.

For example using percentage price movement:

Inserted Code

 if ((OrderMagicNumber() == Magic1) && (SafetyStop == true))
 
 {  
  if (OrderType() == OP_BUY && (iHigh(NULL,1,1) < NormalizeDouble(OrderOpenPrice()-(OrderOpenPrice()*SLX),5) && iHigh(NULL,1,1) < NormalizeDouble(OrderOpenPrice()-(OrderOpenPrice()*SLX),5)) )
  result = OrderClose( OrderTicket(), OrderLots(), Bid, 50, Red );  
 
  if (OrderType() == OP_SELL && (iLow(NULL,1,1) > NormalizeDouble(OrderOpenPrice()+(OrderOpenPrice()*SLX),5) && iHigh(NULL,1,1) > NormalizeDouble(OrderOpenPrice()+(OrderOpenPrice()*SLX),5)) )
  result = OrderClose( OrderTicket(), OrderLots(), Ask, 50, Red );  
  }

Or using a move in AccountEquity():

Inserted Code

 if ((OrderMagicNumber() == Magic1) && (UseAccountProfit == true))
 
 {  
  if (OrderType() == OP_BUY && (AccountProfit() > AccountBalance()*EQS) )
  result = OrderClose( OrderTicket(), OrderLots(), Bid, 50, Red );  
 
  if (OrderType() == OP_SELL && (AccountProfit() > AccountBalance()*EQS) )
  result = OrderClose( OrderTicket(), OrderLots(), Ask, 50, Red );  
  }

My question is this... How would I or anyone go about making the second example above into a "trailing profit"? For example, lets say the variable EQS is preset to 4.0, in other words if/when AccountProfit (lets say $2025) exceeds AccountBalance (lets say $500), then close. But I'd like to trail this in case the trade goes sour. So lets say, if AccountProfit exceeds AccountBalance by 40%, exit if the profit drops to 20%.

The concept of coding a price trailing stop with OrderModify is something that will not work in this case, since I don't want this shown as a pending order, but a hidden signal.

Has anyone have any experience implementing a similar concept? Any ideas and code examples would help tremendously.

#2
Jun 5, 2015 2:36am Jun 5, 2015 2:36am

FerruFx
Joined May 2007 | Status: MT4/MT5 EAs/Indicators/Alerts coder | 6,542 Posts

Quoting Pipologist

Disliked

So lets say, if AccountProfit exceeds AccountBalance by 40%, exit if the profit drops to 20%....Any ideas and code examples would help tremendously.

Ignored

Once your 40% is reached, start saving the profit as it goes higher and higher ... Then always compare this higher profit to the current one ... and if it retraced to your trailing size (20% in your example), close your trades ...

MT4/MT5 EAs/Indicators/Alerts coder

#3
Jun 5, 2015 2:46am Jun 5, 2015 2:46am

broketrader
Joined Oct 2012 | Status: Trader | 1,696 Posts

Hi Pipologist,

If I have understood your question correctly, it's seems simple, you have to watermark your maximum profit and then calculate your current profit and the difference.

I don't have the editor under the hand but more or less...

Inserted Code

CurrentProfit = AccountProfit();
 
if( CurrentProfit > MaxProfit ){
   MaxProfit = CurrentProfit;
}
else{
   // Here you can check against your minimum 20% as FerruFx suggested
   // but you can also check against some percentage drop it the profit itself
   ProfitDrawDown = MaxProfit - CurrentProfit;
   ProfitDrawDownPercentage = (ProfitDrawDown / MaxProfit ) * 100;
   if( ProfitDrawDownPercentage >= 30 ){
      // Close your trades here
   }
}

Simplicity is the Ultimate Sophistication.

#4
Jun 5, 2015 2:58am Jun 5, 2015 2:58am

Pipologist
Joined May 2009 | Status: testing/trading/testing/trading... | 1,799 Posts

Thanks. My question wasn't so clear but your answers and suggestions are very clear.

My next question which I think has also been answered is

How would I "save" the profit in code? I think it's been answered here as "watermark" the profit.

I'm going to try the examples and test it.

Will keep you posted.

#5
Jun 5, 2015 3:47am Jun 5, 2015 3:47am

Pipologist
Joined May 2009 | Status: testing/trading/testing/trading... | 1,799 Posts

This is what I tried but it doesn't work, it compiles, but the logic is off and not sure if the variable is being stored?

Inserted Code

extern double PP = 0.8; // percentage profit over account balance trigger
extern double LP = 0.3; // min to close out if trigger above is reached
 
///////////
 
if ((OrderMagicNumber() == Magic1) && (ProfitProtect == true))
{
double ProfitToProtect;
double ProfitTrigger = (AccountBalance() + (AccountBalance()*PP)); // Percentage of AcctBal trigger to monitor profit
{
if (AccountProfit() > ProfitTrigger) ProfitToProtect = ProfitTrigger;
 {   
  if (OrderType() == OP_BUY && (AccountProfit() < ProfitToProtect*LP))
  result = OrderClose( OrderTicket(), OrderLots(), Bid, 50, Green );
 
  if (OrderType() == OP_SELL && (AccountProfit() < ProfitToProtect*LP))
  result = OrderClose( OrderTicket(), OrderLots(), Ask, 50, Red );
  }
}

#6
Jun 5, 2015 4:33am Jun 5, 2015 4:33am

broketrader
Joined Oct 2012 | Status: Trader | 1,696 Posts

Pleeaaase,

1. Declare your variables out of code even if used locally, this makes code more readable.
2. Control and correct your brackets (see moved from/to).
3. Add brackets even for one line of code after if/for statements

overall write clean and readable code. First for yourself, then for others...

Inserted Code

 
extern double PP = 0.8; // percentage profit over account balance trigger
extern double LP = 0.3; // min to close out if trigger above is reached
 
double ProfitToProtect, ProfitTrigger;
///////////
 
if ((OrderMagicNumber() == Magic1) && (ProfitProtect == true)) {
 
   ProfitTrigger = (AccountBalance() + (AccountBalance()*PP)); // Percentage of AcctBal trigger to monitor profit
//{ Removed bracket
   if( AccountProfit() > ProfitTrigger) {
      ProfitToProtect = ProfitTrigger;
      if( OrderType() == OP_BUY && (AccountProfit() < ProfitToProtect*LP)) {
         result = OrderClose( OrderTicket(), OrderLots(), Bid, 50, Green );
      }
 
      if (OrderType() == OP_SELL && (AccountProfit() < ProfitToProtect*LP)) {
         result = OrderClose( OrderTicket(),       OrderLots(), Ask, 50, Red );
      }
   }
}

Edit: Corrected

or maybe you wanted to say this :

Inserted Code

 
extern double PP = 0.8; // percentage profit over account balance trigger
extern double LP = 0.3; // min to close out if trigger above is reached
 
double ProfitToProtect, ProfitTrigger;
///////////
 
if ((OrderMagicNumber() == Magic1) && (ProfitProtect == true)) {
 
   ProfitTrigger = (AccountBalance() + (AccountBalance()*PP)); // Percentage of AcctBal trigger to monitor profit
 
 
   if( AccountProfit() > ProfitTrigger) {
      ProfitToProtect = ProfitTrigger;
   }
 
   if( OrderType() == OP_BUY && (AccountProfit() < ProfitToProtect*LP)) {
      result = OrderClose( OrderTicket(), OrderLots(), Bid, 50, Green );
   }
 
   if (OrderType() == OP_SELL && (AccountProfit() < ProfitToProtect*LP)) {
      result = OrderClose( OrderTicket(),       OrderLots(), Ask, 50, Red );
   }
   
}

Simplicity is the Ultimate Sophistication.

#7
Jun 5, 2015 4:53am Jun 5, 2015 4:53am

Pipologist
Joined May 2009 | Status: testing/trading/testing/trading... | 1,799 Posts

You are referring to aesthetically pleasing code and I'm sorry that my coding is so miserable and difficult to read. There may be a convention however my priority is execution, correct logic and compilation over cleanliness and readability.

I also format my code so that it's easier for me to read. Ironically, since I'm not used to writing properly formatted code, your example and cleaning is more difficult for me to read and decipher. Ridiculous. I know.

I appreciate your input. I really do, but it doesn't help me solve my original question. The examples I tried above do not make any difference when the extern variables are changed and tested, in other words no change in test results with different input variable, thus, the logic is amiss.

Perhaps I need to store the variable "ProfitToProtect" amount once reached in an array? Since it's tied to AccountProfit() which constantly changes. Or somehow declare that the ProfitToProtect amount has been reached once it is hit? I also tried using a bool variable and declaring it true when hit, but it didn't work either.

#8
Jun 5, 2015 4:56am Jun 5, 2015 4:56am

Pipologist
Joined May 2009 | Status: testing/trading/testing/trading... | 1,799 Posts

I'll try your code by pasting it over what I originally did in mt4 and let you know how it goes, not sure it will make a difference, but if it does I will let you know. Right now, I'm running a massive test that's going to run overnight on a different EA. Thank you though. Appreciate it.

#9
Jun 5, 2015 5:29am Jun 5, 2015 5:29am

broketrader
Joined Oct 2012 | Status: Trader | 1,696 Posts

I don't know what's your experience, programming is my job, done that since 20+ years and I can tell you aesthetics is not only to please but also to write good quality code.

What do you have to say about this (your original) line of code ?

Inserted Code

if (AccountProfit() > ProfitTrigger) ProfitToProtect = ProfitTrigger;
 {

The ProfitToProtect = ProfitTrigger; terminates the if statement so why do you put a bracket under it ?

Did you wrote the if statement for the assignment or for the code below, or both ?

You see what I mean ? At the end, anyone has the freedom to write what he wants in the manner he wants but I assure you, if you make the effort you will be rewarded.

This is just a friendly advice, in no way I want to offence.
BT

Simplicity is the Ultimate Sophistication.

#10
Jun 5, 2015 6:02am Jun 5, 2015 6:02am

Pipologist
Joined May 2009 | Status: testing/trading/testing/trading... | 1,799 Posts

Experience is working with programmers and getting them to do what needs to be done in regards to applications, but leaving the actual programming to them.

For mt4, I do it myself. I would sub it out, but I don't trust others with proprietary trading concepts that are potentially worth lots of $ ( or worth nothing ).

Thanks for pointing out my erroneous code.

#11
Last Post: Edited 8:29am Jun 5, 2015 6:11am | Edited 8:29am

rockit
Joined Oct 2013 | Status: Trader | 1,025 Posts

Quoting Pipologist

Disliked

So lets say, if AccountProfit exceeds AccountBalance by 40%, exit if the profit drops to 20%.

Ignored

Without addressing all the possible quirks hidden in your request, the plain trailing code I think be:

Inserted Code

// extern scope
  input double excess = 0.4;
  input double drawdown = 0.2;
 
// global scope
  double accountbalance = 0.0;
  double trailaccountprofit = 0.0;
  bool trail = false;
 
// init scope
{
  accountbalance = AccountBalance();
}
 
// per tick scope
{
  double accountprofit = AccountProfit();
  if(accountprofit > accountbalance*(1.0+excess)) {
    trailaccountprofit = accountbalance*(1.0+excess);
    trail = true;
  }
  if(trail && (accountprofit < trailaccountprofit*(1.0-drawdown))) {
    /*
      close here
    */
    accountbalance = AccountBalance();
    trailaccountprofit = 0.0;
    trail = false;
  }
  if(trail && (accountprofit > trailaccountprofit)) {
    trailaccountprofit = accountprofit;
  }
}

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A more *dynamic, refined, redundant* exit algorithm
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