GTClimit entry

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GTClimit entry

Postby Kevin_in_GA » Mon Nov 05, 2012 7:20 pm

Just curious - if I get a signal from one of my systems, and I see that more often than not the price would be lower at some point over the next few days, how can I set up and test an entry based on a 1,2,3% pullback from the close on the day the signal was generated?

Thanks,

Kevin
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Re: GTClimit entry

Postby Overload » Tue Nov 06, 2012 10:08 am

If you want to test a limit order on the very next day after the signal, that's pretty easy. You can just change the Entry Order Type to "Limit", and then enter the desired Limit Price:

close * 0.98

The above Limit Price will create a limit based on a 2% pullback from the close on the day the signal was generated. You can, of course, create a Variable for the 0.98 value to test a range of values.

The Entry String and Order Type generally work in tandem, with the Entry String creating the signal, and a Limit Order being enforced for the very next day. On the following day, the Entry String will again be evaluated and a new Limit Price determined. Your request of having the pullback take place "at some point over the next few days" becomes a little more tricky, but I think it can still be done. To do this, you would just need to wrap your Entry String within a HadAlert() wrapper, and your Limit Price within a ValueWhen() wrapper. For example:

Original Entry String:
close > ref(close, -1) AND mov(volume, 20, simple) > 200000

New Entry String:
HadAlert(close > ref(close, -1) AND mov(volume, 20, simple) > 200000, 3) > 0

Original Limit Price:
close * 0.98

New Limit Price:
ValueWhen(close > ref(close, -1) AND mov(volume, 20, simple) > 200000, close * 0.98)

There are of course issues to be considered with this. Since an Entry String signal is valid for several days, you could theoretically enter a trade 3 days in a row with the same signal, assuming the Limit Price was reached each day. As well, if the Entry String has been valid for several days in a row, the ValueWhen() will select the most recent signal to determine the Limit Price.

In any case, that's how it would work. Hopefully this helps.

Pete
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Re: GTClimit entry

Postby Kevin_in_GA » Tue Nov 06, 2012 11:03 am

Thanks. This clearly has some pluses and minuses. In practice, one would like to be able to do th following:

On the day the signal is triggered, use that closing value (say it is $50.00) and set a GTC limit oder for entry if the price subsequently drops a certain percentage - e.g., 2% so the limit is set at $49.00 and will stay active until it is triggered.

Just a thought for something down the road. For now the current next day limit will work OK.
Kevin_in_GA
 
Posts: 171
Joined: Wed Aug 04, 2010 10:14 am


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