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I tried two constructions:
first with exits and enters:
//exit: short
if (Portfolio[symbol].IsShort) {
if (price > (bb.UpperBand * (1+tolerance)) && rsi > 70) {
Liquidate(symbol);
}
}
//exit: long
if (Portfolio[symbol].IsLong) {
if (price < (bb.LowerBand * (1+tolerance)) && rsi < 30) {
Liquidate(symbol);
}
}
//long
if (!Portfolio.HoldStock) {
if (price < (bb.LowerBand * (1+tolerance)) && rsi < 30) {
LimitOrder(symbol, Math.Abs(holdings) + quantity, high);
}
}
//short
if (!Portfolio.HoldStock) {
if (price > (bb.UpperBand * (1+tolerance)) && rsi > 70) {
LimitOrder(symbol, -(Math.Abs(holdings) + quantity), low);
}
}and second:
if (holdings > 0 || holdings == 0) {
if (price > (bb.UpperBand * (1+tolerance)) && rsi > 70 ) {
LimitOrder(symbol, -(holdings + quantity), low);
}
} else if (holdings < 0 || holdings == 0) {
if (price < (bb.LowerBand * (1+tolerance)) && rsi < 30) {
LimitOrder(symbol, Math.Abs(holdings) + quantity, high);
}
}So, why do I get different results? Where is the problem with my logic? Is there any template for enters and exits? Thank you for attention.
JayJayD
Take for example the case in which you reach the OnDAta method with a short position and the condition
price > (bb.UpperBand * (1+tolerance)) && rsi > 70is True.
In the first case, the algorithm will liquidate all positions (first if line 62) and in the fourth if (line 89) the algorithm will send a Limit order to enter to the market.
In the second case, you only will send a Limit order to close the open short position.
As far I know, there isn’t a template for entries and exits. But there you can check in this example the CrossingMovingAveragesSignals class, maybe you can use the structure to implement your ideas.
Akira Maki
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