Stop Loss effective only for 1st 2 bar of order ..

Stop Loss effective only for 1st 2 bar of order ..

Kiran
2015-06-05 01:22:58

I added this MM script to my strategy, that disables the Stop Loss orders in the strategy after N bars. I set it to 2, because i have other Exit Rules that exit more profitably after 2 bars.
http://www.quantshare.com/item-1159-stop-mgmt-v-11

This MM script seems to disable all Stop Loss orders even on the first few days, as no Stop Orders are generated - i tested with N=10 or 20, but same issue.
Below is the code (quite small) - is there some bug in it?

OnStartSimulation
-------------------------
Functions.SetNumericInput("Number of Bars", 10, "Number of bars to keep the Stop Loss active");

OnEndPeriod
------------------
double nbdays = (double)Variables.GetVariable("Number of Bars");
MMPosition[] positions = Portfolio.GetOpenPositions();
for(int i=0;i<positions.Length;i++)
{
if(positions[i].BarsSinceEntry > nbdays)
{
positions[i].StopSettings.StopLossEnabled = false;
}
}

Stop Loss for the N-first Trading Bars only (by The trader, uploaded several months ago)

No notes

QuantShare
2015-06-06 00:09:17

I see no issue in the code. it should be working and disabling stop loss only after "nbdays".
How are you entering orders? Using the script editor (QS language) or money management script?

Kiran
2015-06-14 18:55:32

Orders are entered in the script editor - I have a Stop Loss order (sl*TickSize(), where sl is a parameter from 2->10) and a formula-based Sell Limit and Buy Limit orders.
The MM script seems to disable Stop Losses because none of the trades in my simulation are Stop Loss even if i have it enabled for multiple bars.
When i delete the MM script, i see Stop Loss executions with 1-2 bars (which should have triggered with the MM script).

-> I noticed that the StopLossEnabled flag is not prompted by the C# code-prompt when i click 'ctrl-space' , so i was wondering if the code is unsupported/legacy.

Pl try and advise ..

thanks
Kiran

QuantShare
2015-06-17 17:10:54

Sorry Kiran. "StopLossEnabled" and "NBarsStopOption" are global settings. If you change it for one symbol, all other symbols will be affected.

Instead of disabling a stop, you should put a very far value that will never be triggered.

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