Trade size based on PnL and scaling out

[RodS7]

My strategy determines the order size based on the profit earned to that point in the day. If it is above a threshold, it trades 2, then 3, etc. That part of the logic is functional as confirmed by printing the 'TradeSize' variable to the output window.

Unfortunately, my strategy is not entering the proper quantity.

I checked the sample of scaling out from the forum, and believe that I have correctly applied the salient points.

I have the following in my Initialize section:

EntriesPerDirection =1;
EntryHandling = EntryHandling.UniqueEntries;
TradeSize = MinTradeSize;
SetStopLoss("", CalculationMode.Ticks, Stop, false);
SetProfitTarget("ZLRe1", CalculationMode.Ticks, Target1);
SetProfitTarget("ZLRe2", CalculationMode.Ticks, Target2);

I then have the following logic in my long entries section

if(Position.MarketPosition == MarketPosition.Flat)
{
EnterLongLimit(1,KeltnerEMAChannelTrend(4, 1.5, 21).Midline[0], "ZLRe1");
if(TradeSize >= 2) EnterLongLimit(1, KeltnerEMAChannelTrend(4, 1.5, 21).Midline[0], "ZLRe2");
if(TradeSize == 3) EnterLongLimit(1, KeltnerEMAChannelTrend(4, 1.5, 21).Midline[0], "ZLRe3");
}


I figure I am missing something simple... Can anyone spot it?

Rod

[NinjaTrader_Matthew]

Hello,

From your EnterLongLimits, it appears you are always using a qty of 1.

You should be setting the quantity dynamically to the TradeSize variable

if(TradeSize == 3) EnterLongLimit(TradeSize, KeltnerEMAChannelTrend(4, 1.5, 21).Midline[0], "ZLRe3");

edit: Excuse me, I understand you're scaling in then... so that wouldn't be correct.

Have you enabled the TraceOrders property to trace if these orders are being ignored, and if so, for what reason? More information on TraceOrders can be found below:

http://www.ninjatrader.com/support/forum/showthread.php?t=3627

[NinjaTrader_Matthew]

Also, under what condition is TradeSize set to another value?

You are currently checking this only when the Position == Flat, so if you're looking to scale in using these additional order quantities, you would need to do this outside of the flat position condition.

[RodS7]

TradeSize is determined prior to the long or short entry sections of the code. As I mentioned, the TradeSize code appears to be working properly

Here is the entire code:

/// Trade Size
double PnL = GetAccountValue(AccountItem.RealizedProfitLoss);
int SizeMultiplier = (int)Math.Floor(PnL / pnL2incrSize); //revise
Print("PnL " + PnL.ToString());
Print("SizeMult " + SizeMultiplier.ToString());


if (PnL2incrSize == 0)
TradeSize = MinTradeSize;
else if (PnL > 0)
TradeSize = Math.Min(MinTradeSize + SizeMultiplier,MaxTradeSize);
else if (PnL > PnL2STOP)
TradeSize = MinTradeSize;

[NinjaTrader_Matthew]

Can you please try adding a Print() statement within the Conditional statement you are placing the orders?

if(Position.MarketPosition == MarketPosition.Flat)
{
Print(TradeSize);
}

It would be important to know what the trade size variable is at at the condition you are expecting it to place trades at the new trade size.

[RodS7]

I have confirmed that the value of TradeSize is correct.

[RodS7]

I have no idea what happened, as I have not changed any of the logic since opening this thread, but the strategy logic is working now in replay mode.

Go figure