No trades in Trade mode

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No trades in Trade mode #438024 03/05/14 04:58 03/05/14 04:58
Joined: Sep 2013 Posts: 504 California G GPEngine OP User
GPEngine OP User G Joined: Sep 2013 Posts: 504 California	I have a strategy which places about 1 trade per day according to [Test] mode. But when I deploy it in [Trade] mode, it never makes a trade. I see messages like this: Quote: Loading HKD/JPY prices.. 2865 h Loading USD/DKK prices.. 2863 h Loading USD/NOK prices.. 2865 h Loading USD/SEK prices.. 2865 h [AUD/NZD::S] Skipped: Lots/Margin = 0 [HKD/JPY::L] Skipped: Lots/Margin = 0 [584: Tue 04.03. 20:00] 90.359 [AUD/NZD::S] Skipped: Lots/Margin = 0 [HKD/JPY::L] Skipped: Lots/Margin = 0 [585: Wed 05.03. 01:00] 91.462 [AUD/NZD::S] Skipped: Lots/Margin = 0 [HKD/JPY::L] Skipped: Lots/Margin = 0 I have Lots left at default, and I have Margin set like this Margin = OptimalF * Capital * sqrt(1 + (WinTotal-LossTotal)/Capital); following a suggestion in one of the workshops. Where should I look next to diagnose this?

Re: No trades in Trade mode [Re: GPEngine] #438026 03/05/14 06:53 03/05/14 06:53
Joined: May 2013 Posts: 245 S swingtraderkk Member
swingtraderkk Member S Joined: May 2013 Posts: 245	GPEngine, Given your previous posts this may be a little too simple, so forgive me. You have allocated sufficient capital, and your optfs are non zero?

Re: No trades in Trade mode [Re: swingtraderkk] #438038 03/05/14 11:17 03/05/14 11:17
Joined: Jul 2013 Posts: 522 D dusktrader User
dusktrader User D Joined: Jul 2013 Posts: 522	I believe Capital is only used for simulation purposes. I believe the counterpart in live trading would be Balance or Equity. See this page. I've found it also helps to include debug statements like this, right near where you set the Margin: Code: if(is(TRADEMODE) && Lots>=1) printf("\n%s %s; OptF %.3f; Margin $%.2f; Lots %i",Asset,direction,OptimalFShort,(OptimalFShort*riskCapital),Lots);

Re: No trades in Trade mode [Re: dusktrader] #438084 03/06/14 16:13 03/06/14 16:13
Joined: Sep 2013 Posts: 504 California G GPEngine OP User
GPEngine OP User G Joined: Sep 2013 Posts: 504 California	Thank you for the tips. Duh, OptF = .000 for some of the instruments. This matches the .fac file. For others, Margin is not zero. I looked at the trade log file. I am not hitting my entry criteria. That's still a little surprising compared to Test mode, but I'll let it run in Trade mode for a while longer.

Re: No trades in Trade mode [Re: GPEngine] #438094 03/06/14 18:05 03/06/14 18:05
Joined: May 2013 Posts: 245 S swingtraderkk Member
swingtraderkk Member S Joined: May 2013 Posts: 245	GPEngine, Maybe have a look at RISKLIMIT, MARGINLIMIT, ACCUMULATE, and MARGINCOST in the manual. Possibly you need to set accumulate?

Re: No trades in Trade mode [Re: swingtraderkk] #438103
03/07/14 04:05 03/07/14 04:05

Joined: Sep 2013
Posts: 504
California

GPEngine

OP
User

GPEngine

OP
User

Joined: Sep 2013
Posts: 504
California

Yeah, I need to study that page some more. It's hard, to be honest.
Anyway, my current strategy does have a positive value for Margin some times, and it place trades. But apparently the entry criteria are never met.

Code:

[588: Fri 07.03. 01:00]  93.744
USD/SEK Margin=2997.000 OptimalFLong=0.999 Lots=0
USD/SEK WinTotal=0.000 LossTotal=0.000 Capital=3000
{USD/SEK::s} Short 150@6.452 Entry limit
{AUD/NZD::s} Missed entry 1.0816 after 1 bar
{GBP/USD::l} Missed entry 1.6797 after 1 bar
{GBP/USD::s} Missed entry 1.6848 after 1 bar
{USD/DKK::l} Missed entry 5.402 after 1 bar
{USD/NOK::l} Missed entry 6.009 after 1 bar
{USD/SEK::l} Missed entry 6.424 after 1 bar
{USD/SEK::s} Missed entry 6.453 after 1 bar

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