Hedging Profit Target

[Chris001]

I am designing a simple hedging strategy but I am having trouble creating the exit strategy.


Under the initialize shows the Data Series added


protected override void Initialize()
{

CalculateOnBarClose = true;

EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;

Add("M6E 09-14", PeriodType.Minute, 5);
Add("M6B 09-14", PeriodType.Day, 1);
Add("M6B 09-14", PeriodType.Minute, 5);
Add(PeriodType.Minute, 1);


}


My exit strategy attempts are shown below. What I am trying to do is when the cumulative value of my positions between the instruments used (accounting for position size) is greater than a target value then close both positions. Thanks.




if (BarsInProgress == 0
&& ((((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity * TickSize) + ((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity * TickSize)) > 5
|| Positions[1].MarketPosition == MarketPosition.Flat)
)

{

ExitLong("PoundLong");

}


if (BarsInProgress == 1

&& ((((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity * TickSize) + ((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity * TickSize)) > 5
|| Positions[3].MarketPosition == MarketPosition.Flat)
)

{

ExitShort("EuroShort");
}

[Chris001]

I have made some changes to the exits, it now includes contract multipliers. Please refer to the image. I don't understand what is happening here, almost all exit names are "exit on close", the chart shows that almost all trades exit on close, yet the exit time on the trades table says otherwise (note I am in Mountain Time). Going by what is displayed on the chart my exits strategy is apparently ignored as the spread between the instruments at the end of the session well exceed the script.



if (BarsInProgress == 0
&& (((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity / TickSize * 1.25) + ((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity / TickSize * 0.625)) > 10
&& (((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity / TickSize * 1.25) + ((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity / TickSize * 0.625)) < 20
//|| Positions[1].MarketPosition == MarketPosition.Flat
|| Positions[1].Quantity == 0
)

{
ExitShort("PoundShort");
}






if (BarsInProgress == 1

&& (((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity / TickSize * 1.25) + ((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity / TickSize * 0.625)) > 10
&& (((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity / TickSize * 1.25) + ((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity / TickSize * 0.625)) < 20
//|| Positions[3].MarketPosition == MarketPosition.Flat
|| Positions[3].Quantity == 0
)

{
ExitLong("EuroLong");
}


}

[Chris001]

in the script where it says "<20", I have corrected this to <-20. Still I get the same results

[Chris001]

Sorry about all the updates. For the most part I got it working now, I caught my mistake. The code for the exits is shown below. however the condition to exit when MarketPosition.Flat at times can be delayed by numerous bars, even though the other positions are flat. Any idea what may cause this.



if (BarsInProgress == 0
&& ((((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity / TickSize * 1.25) + ((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity / TickSize * 0.625)) > 20
|| (((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity / TickSize * 1.25) + ((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity / TickSize * 0.625)) < -10)
|| Positions[1].MarketPosition == MarketPosition.Flat
//|| Positions[1].Quantity == 0
)

{
ExitShort("PoundShort");
}


if (BarsInProgress == 1

&& ((((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity / TickSize * 1.25) + ((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity / TickSize * 0.625)) > 20
|| (((Closes[1][0] - Positions[1].AvgPrice) * Positions[1].Quantity / TickSize * 1.25) + ((Positions[3].AvgPrice - Closes[3][0]) * Positions[3].Quantity / TickSize * 0.625)) < -10)
|| Positions[3].MarketPosition == MarketPosition.Flat
//|| Positions[3].Quantity == 0
)

{
ExitLong("EuroLong");
}

[NinjaTrader_PatrickH]

Hello Chris001,

Thank you for your post.

What are the bar series/instruments for each barsInProgress Index? i.e. 0, 1, 2, and 3