Help on optimizing my script

[yades]

Hi Guys,

I was wondering if somebody could be kind enough to advise on how I can optimize the script of my trailing stop loss, maybe using some sort of iteration or indexing:

double stopLoss = 20 * TickSize;
if(Close[0] > Position.AvgPrice + stopLoss && Close[0] < Position.AvgPrice + 2 * stopLoss)
{
double newStop = Position.AvgPrice + stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 2 * stopLoss && Close[0] < Position.AvgPrice + 3 * stopLoss)
{
double newStop = Position.AvgPrice + 2 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 3 * stopLoss && Close[0] < Position.AvgPrice + 4 * stopLoss)
{
double newStop = Position.AvgPrice + 3 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 4 * stopLoss && Close[0] < Position.AvgPrice + 5 * stopLoss)
{
double newStop = Position.AvgPrice + 4 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}

[yades]

would this work? could somebody advise if the script presents some errors? I am planning in having this in the OnBarUpdate() method:

double stopLoss = 20 * TickSize;

for ( int i = 1; i <10; i++ )
{ 
	if(Close[0] > Position.AvgPrice + i * stopLoss && Close[0] < Position.AvgPrice + (i+1) * stopLoss)
		{
			double newStop = Position.AvgPrice + i * stopLoss;
			stopOrder = ExitLongStop(0,true,newStop,"stop","long");
		}
}

Hi Guys,

I was wondering if somebody could be kind enough to advise on how I can optimize the script of my trailing stop loss, maybe using some sort of iteration or indexing:

double stopLoss = 20 * TickSize;
if(Close[0] > Position.AvgPrice + stopLoss && Close[0] < Position.AvgPrice + 2 * stopLoss)
{
double newStop = Position.AvgPrice + stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 2 * stopLoss && Close[0] < Position.AvgPrice + 3 * stopLoss)
{
double newStop = Position.AvgPrice + 2 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 3 * stopLoss && Close[0] < Position.AvgPrice + 4 * stopLoss)
{
double newStop = Position.AvgPrice + 3 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 4 * stopLoss && Close[0] < Position.AvgPrice + 5 * stopLoss)
{
double newStop = Position.AvgPrice + 4 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}

[sledge]

With out testing your code and just reading it:

Do it in reverse order with else if statements.

If you use your for loop in reverse order, you will need to break out or exit when the first condition hits. You will hve to look up that command in c#.

Hi Guys,

I was wondering if somebody could be kind enough to advise on how I can optimize the script of my trailing stop loss, maybe using some sort of iteration or indexing:

double stopLoss = 20 * TickSize;
if(Close[0] > Position.AvgPrice + stopLoss && Close[0] < Position.AvgPrice + 2 * stopLoss)
{
double newStop = Position.AvgPrice + stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 2 * stopLoss && Close[0] < Position.AvgPrice + 3 * stopLoss)
{
double newStop = Position.AvgPrice + 2 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 3 * stopLoss && Close[0] < Position.AvgPrice + 4 * stopLoss)
{
double newStop = Position.AvgPrice + 3 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}
if(Close[0] > Position.AvgPrice + 4 * stopLoss && Close[0] < Position.AvgPrice + 5 * stopLoss)
{
double newStop = Position.AvgPrice + 4 * stopLoss;
stopOrder = ExitLongStop(0,true,newStop,"stop","long");
}

[Baruch]

or:
int StopStep = (close-AP)/SL
double newStop = Position.AvgPrice + stopLoss * StopStep ;

[NinjaTrader_JC]

Hello yades,

It is mainly going to depend on how you are going to want your code to be processed, in how you would optimize it. "if else" statements would be a good option for this like sledge has suggested since they appear to be the same exit order.

With that said, most scripts unless very complex you would not notice much of a difference in optimizing, but is a good practice.

[yades]

or:
int StopStep = (close-AP)/SL
double newStop = Position.AvgPrice + stopLoss * StopStep ;

not sure how to use that.. whould this make sense?

void OnBarUpdate()
{
for ( int i = 1; i <10; i++ )
{ 
	if(Close[0] > Position.AvgPrice + i * stopLoss && Close[0] < Position.AvgPrice + (i+1) * stopLoss)
		{
			double newStop = Position.AvgPrice + i * stopLoss;
			stopOrder = ExitLongStop(0,true,newStop,"stop","long");
		}
}
}

[Baruch]

You don't need loops, just what I wrote. (Just make correct syntax)
You wanted to optimize.

[yades]

Hi JC, thanks for your reply. I probably didn't express myself in the proper manner. Rather than optimize, I meant shorten my code, as this is part of an extensive code and I am looking to shorten the number of lines. What I am doing is trailing my stop loss in order to lock in profit on each bar update when I gain a multiple of my original stop loss, I was wondering if something like this would work:

void OnBarUpdate()
{
for ( int i = 1; i <10; i++ )
{ 
	if(Close[0] > Position.AvgPrice + i * stopLoss && Close[0] < Position.AvgPrice + (i+1) * stopLoss)
		{
			double newStop = Position.AvgPrice + i * stopLoss;
			stopOrder = ExitLongStop(0,true,newStop,"stop","long");
		}
}
}

Hello yades,

It is mainly going to depend on how you are going to want your code to be processed, in how you would optimize it. "if else" statements would be a good option for this like sledge has suggested since they appear to be the same exit order.

With that said, most scripts unless very complex you would not notice much of a difference in optimizing, but is a good practice.

[yades]

Baruch, I am not sure we are talking the same language. What are you refering to with AP? is this the AvgPrice? and is SL the stopLoss? If the answer is yes to both this code returns exactly the close value:

int StopStep = (close-AP)/SL
double newStop = Position.AvgPrice + stopLoss * StopStep ;

example:
AvgPrice 1.30
Close 1.3060
stopLoss 0.005
(initial stop loss = 1.2950)

What I need is to trail the stop to 1.3050, whilst using StopStep = (close-AP)/SL = (1.3060-1.30)/0.005 =1.2 , therefore newStop = Position.AvgPrice + stopLoss * StopStep = 1.305+0.005*1.2 = 1.3060

Please correct me if I am misreading you

You don't need loops, just what I wrote. (Just make correct syntax)
You wanted to optimize.

[NinjaTrader_JC]

Hello yades,

Thanks for the clarification.

Yes, using a "for" loop will be the least amount of lines used and it does look like it will work.

[Baruch]

Baruch, I am not sure we are talking the same language. What are you refering to with AP? is this the AvgPrice? and is SL the stopLoss? If the answer is yes to both this code returns exactly the close value:


example:
AvgPrice 1.30
Close 1.3060
stopLoss 0.005
(initial stop loss = 1.2950)

What I need is to trail the stop to 1.3050, whilst using StopStep = (close-AP)/SL = (1.3060-1.30)/0.005 =1.2 , therefore newStop = Position.AvgPrice + stopLoss * StopStep = 1.305+0.005*1.2 = 1.3060
Please correct me if I am misreading you

You are absolutely correct. The only mistake you made is that StopStep is not an integer as I requested.

[yades]

Hmmm v v smart! I must say thanks, as this simplifies my logic massivly

You are absolutely correct. The only mistake you made is that StopStep is not an integer as I requested.

[yades]

HI sledge, I opted for a shorter route, however I want to make sure I understand what you mean. Assuming I would use the for loop. Do you recon there would be any change in the output by using reverse order compared to not using it, below the 2 cases:

[B]for ( int i = 1; i <10; i++ )[/B]
{ 
	if(Close[0] > Position.AvgPrice + i * stopLoss && Close[0] < Position.AvgPrice + (i+1) * stopLoss)
		{
			double newStop = Position.AvgPrice + i * stopLoss;
		}
}

OR 
REVERSE for LOOP
[B]for ( int i = 10; i >0; i-- )[/B]
{ 
	if(Close[0] > Position.AvgPrice + i * stopLoss && Close[0] < Position.AvgPrice + (i+1) * stopLoss)
		{
			double newStop = Position.AvgPrice + i * stopLoss;
		}
}

With out testing your code and just reading it:

Do it in reverse order with else if statements.

If you use your for loop in reverse order, you will need to break out or exit when the first condition hits. You will hve to look up that command in c#.