SteveHopwood wrote:garyfritz wrote:A simpler way to control these runaway trades is to enter only on a state change instead of a state.
E.g. if you say "buy if I'm currently flat and bid > X," that opens the trade OK. But if some condition causes your EA to close it and bid is still > X, boom it's going to buy again. And sell again and buy again and sell again and ...
"bid > X" is a state. It's true for a long time. You probably want to enter only when that state CHANGES from <= X to >X.
So if instead you say something like "buy if I'm currently flat, and bid > X, and the LAST bid was <= X" -- then that only happens when the condition is first satisfied. When your exit code closes the trade, it doesn't open it again.
Gary, I learn from you nearly every time you post. I love this idea.
In this context, I haven't a clue what thingies state to examine, so I shall devote some bath-time to it. 
Gary is correct, that is the better way to go. If you are examining the trading conditions in a discrete fashion (opening of every bar) you just need to keep track of the results of your evaluation. Below is some code I used when I coded my first EA using your framework. No doubt I put things in the wrong place, but it still illustrates the points. In this code I am looking for the direction of an MA cross and the GANN Hi-Lo to be in agreement. The code starts by saving the results of this evaluation from the last time I called the function into PreviousDirection. Then I do my check and save it into CurrentDirection. I only trigger the trade (setting LookingForBuy or LookingForSell to true) if CurrentDirection != PreviousDirection.
Code: Select all void ReadIndicatorValues()
{
static int TotalBars=0;
//only read these once a minute
if (Bars == TotalBars)
return;
TotalBars=Bars;
//store the previous direction state
PreviousDirection = CurrentDirection;
GANN_Direction = GetGANN(180);
if (GetMa(0,13,0,MODE_EMA,PRICE_CLOSE,i+1) > GetMa(0,34,0,MODE_EMA,PRICE_OPEN,i+1))
MA_Direction = up;
else
MA_Direction = down;
if (GANN_Direction == MA_Direction)
CurrentDirection = GANN_Direction;
else
CurrentDirection = none;
if (CurrentDirection == up && PreviousDirection != up)
LookingForBuy=true;
if (CurrentDirection == down && PreviousDirection != down)
LookingForSell=true;
if (CurrentDirection != up) LookingForBuy = false;
if (CurrentDirection != down) LookingForSell = false;
}//void ReadIndicatorValues()
If you are evaluating the trading conditions continuously (every tick) you'll have to impose some sort of waiting period between trades. Since many indicators use the close of the bar, there is a chance that your state will change back and forth with every tick.
George |
