Re: scaling contracts in and out???

["ChasW" <cwwaring@xxxxxxxxxxxxxx>]

better gif

 ----- Original Message ----- 
From: "Abhijit Dey" <omegalist@xxxxxxxxxx>
To: "OmegaList" <omega-list@xxxxxxxxxx>
Sent: Wednesday, October 13, 2004 15:20
Subject: Array input to a strategy?

> I am modifying a strategy to scale out it's position. I want to enter
> a) number of contracts to enter the trade with, and
> b) scale out n1 contracts as target t1, {n2, t2} and so on.
>
> a) is easy. How to do b? Even if not possible directly, there must be a
> workaround like so many other stuff with TS.


here's my experiment with bollinger bands, can get the first order and the
exit but not the scale in

Input:  Price(Close), Length(21),
  StdDev#1(1), StdDev#2(2),
  Outside(.03){decimal form of percent};

Variables:  BBTop1(0), BBBot1(0),
   BBTop2(0), BBBot2(0),
   MP(marketposition);

BBTop1 = BollingerBand(Price, Length*.618, StdDev#1);
BBBot1 = BollingerBand(Price, Length*.618, -StdDev#1);

BBTop2 = BollingerBand(Price, Length, StdDev#2);
BBBot2 = BollingerBand(Price, Length, -StdDev#2);


{Begin Long scale; buy x contracts as the price moves below the bottom line
"BBBot2"}

If  MP=0 and Close <= (1-outside)*BBBot2 then
   Buy ("BB2")1 contract next bar at market;


{Buy one more contract as we close over the next level, line "BBbot1", and
bring the stop up to the bottom line "BBBot2"}

If   MP=1 and Close crosses over BBBot1 then
  begin
   Buy ("BB1")1 contract at market;
   Exitlong ("XBBs2")2 contract at BBbot2 stop;
  end;


If  MP=2 and Close crosses over BBtop1 then Exitlong ("XBB1")1 contract at
BBbot1 stop;


If Close >= BBtop2 then Exitlong("XBBall") at market;

Attachment: bbtest.gif
Description: GIF image