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Buy stop and buy limit
Hi Hangtuah,
Unfortunately, I still don't understand the trading logic. However, I will try to implement here what I think you want to do. In plain English: enter a long trade when the price gets higher than the high of yesterday, enter a short trade when the price gets lower than the low of yesterday, and have a stop loss at the corresponding high and low. The Lite-C code is very simple:
function run()
{
BarPeriod = 1440;
MaxLong = MaxShort = 1; // we only want to be in one trade at a timeif(price(0) > priceHigh(1)) enterLong(Stop = priceHigh(1));
if (price(0) < priceLow(1)) enterShort(Stop = priceLow(1));
}
As you can see, if you want different stop losses for different trades, you pass the stop loss as an argument to the enterLong() or enterShort() functions. In Zorro Trader, price(0) is the price today, price(1) is the price yesterday etc.
If you wanted a "global" stop loss, this will do the trick:
function run()
{
BarPeriod = 1440;
MaxLong = MaxShort = 1; // we only want to be in one trade at a timeStop = 0.01 * priceClose(); // we are taking a 1% risk
if(price(0) > priceHigh(1)) enterLong();
if (price(0) < priceLow(1)) enterShort();
}
Please note that the Stop passed as an argument overrides the global stop loss. Unfortunately, this is a terrible strategy, which only means that I really didn't understand what you wanted. Here's the performance on AAPL:
Annual return -38%
Profit factor 0.74 (PRR 0.50)
Sharpe ratio -0.64 (Sortino -0.69)
As for your last question, we're working on it! Meanwhile, here's an introduction: Trading with Neural Networks in Zorro Trader - YouTube
Hope this helps, and let me know if you have any other questions!
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