Spike Straddle Strategy

[KevinH]

HI, been going round in circles trying to code up a strategy in lua. Perhaps you could help me so I get back to good foundation of code. Thanks!
1) Setup Parameters:

a. Timeframe: Default 1H
b. CandleSize: a percentage, default 150%
c. StradleSize: a percentage, default 10%
d. Stoploss: a percentage, default 50%
e. TakeProfit: a percentage, default 50%

2) Signal Trigger Condition: Body of last candle > ‘CandleSize’ * ATR(11)

3) Two Entry orders placed on trigger to straddle the candle close,

a. one long placed ‘StradleSize’ * ATR above the candle close;
b. one short placed ‘StradleSize’ * ATR below the candle close.
c. Stop loss set at ‘Stoploss’ * ATR (for both orders)
d. Limit Order set at ‘TakeProfit’ * ATR (for both orders)

4) Activated trade cancels the other trade. So if the Long kicks in, the short is cancelled. If the short activates, the long is removed.

5) No need for multiple trade checking. No trade expiry needed; no other indicators except ATR.

Please see the attached image that hopefully will show what I mean.

Once I have got some good code for the above then I can modify it into what want.
Thanks

[Apprentice]

Your request is added to the development list.
Development reference 1681.

[Apprentice]

Try this version.
viewtopic.php?f=31&t=70169

[KevinH]

Thanks for doing that so quick.

Seems to have an issue with the ATR though:
ERROR " attempt to index global 'source' (a nil value)" in file "C:/Gehtsoft/IndicoreSDK3/strategies/Spike Straddle Strategy.lua" at line #310
Debug session is finished

(Thats from the Indicore IDE)

[Apprentice]

What this in backtesting or on Live/Demo?

[KevinH]

Initially I tried it on the simulator and then the IDE (the message I gave is from the IDE).

Changed lines 310 & 312 to the following seemed to fix it, so typo in the stream name?

valuemap.Rate = main_source.close[NOW] + atr.DATA[NOW] * StradleSize / 100.0;

[KevinH]

Another issue is that it seems to be placing the entry orders during the formation of the candle, not at the close of the candle. It is the latter that I want please.

This is what I saw in the TS2 Simulator. In the attached screen grab, the simulator is at 3:27 and the trade was placed (Entry order was a little before that, but I was not quick enough to capture it).

As this is the hourly chart, the EOs should only be placed on the hour at candle change.

Thanks

[KevinH]

Oh, and I figured out the end of candle trade issue, needed to set entry_execution_type to "EndOfTurn" instead of Live.

So Strat is working for me now. Many thanks.

[Apprentice]

Yes, You need to shift the period to -1 for use end of turn.