Coding a stop-loss into a strategy?

joetimismith

New member
I want the strategy to sell at the open[0] IF the open[0] is less than 75% of (close[1]-open[1]), ALSO if the intraday price of candle[0] crosses below that 75% of (close[1]-open[1]) level, sell (at the close of that HOURLY candle). If the open[0] is greater than that level, sell at the close[0]. Thanks!
 
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I want the strategy to sell at the open[0] IF the open[0] is less than 75% of (close[1]-open[1]), ALSO if the intraday price of candle[0] crosses below that 75% of (close[1]-open[1]) level, sell (at the close of that HOURLY candle). If the open[0] is greater than that level, sell at the close[0]. Thanks!

I'm assuming you're aware TOS strategies don't create any real orders and are only used for testing.

I'm guessing you meant close[1] - (close[1]-open[1]) rather than just close[1]-open[1]. If open[1] is 100 and close[1] is 110 then close[1]-open[1] is 10. 75% of that is 7.50. I don't think you want to wait for price to get below $7.50 before you exit.

Additionally, unless other rules in your strategy eliminate this case, you need to consider that not every candle is either green or an exit. close[1] may not be greater than open[1] and therefore you'd be subtracting a negative number which is equivalent to addition. If open[1] is 110 and close[1] is 100 then close[1]-open[1] is -10. 75% of that is -7.50. Subtracted from close[1], your stop loss would become 107.50, which is above close[1] of 100. You can use the Max and Min functions to solve this.

It's good you've considered what these rules would look like in code. As a next step, I'd encourage you to try getting a plot working to show where your stop loss should be. It's always easier to build and test these things with a plot first and then use AddOrder functionality once the plot works correctly.

A hint... to have intraday charts know the open and close of the daily chart you need to specify the period when referencing open/high/low/close, such as open(period=AggregationPeriod.DAY).
 

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