How would I implement a TMF that:
  • Cancels other pending orders when one is hit
  • When a trade is stopped out, sets a new pending order at last week's close in the opposite direction to the stopped trade

The strategy is an implementation of something I read on the web. Its rules: At the market open after the weekend, the set pending orders 50 pips above and below last week's close. Set a stop loss of 30 pips, no profit target. If stopped out, enter a new pending order in the opposite direction at last week's close with a stop loss of 30 pips. Hold the position until late in Friday's trading.

Its a simple strategy and one that I don't expect to work, still I would like to get the TMF working as this is something that I have yet to grasp fully.

My code for the strategy is below. The issues that I see at the moment are that the opposite pending order isn't cancelled when it should and that new trades are not entered at the previous week's close. I'm wondering if I am using the TradeVars inappropriately? I've plagiarised code that I found in the manual and the forums for performing similar functions.

Any advice much appreciated!

Cheers

Code:
#define H1 (60/BarPeriod)
#define H24 (1440/BarPeriod)
#define W1 (7200/BarPeriod)
#define LastWeekClose TradeVar[0]
#define CancelOtherTrades TradeVar[1]

int myTMF() { //if stopped out, set pending at W1close in opp direction
	if (TradeIsLong and TradeIsStop) {
		//enter at last close
		Entry = LastWeekClose;
		Stop = 30*PIP;
		enterShort(myTMF);
	}
	if (TradeIsShort and TradeIsStop) {
		Entry = LastWeekClose;
		Stop = 30*PIP;
		enterLong(myTMF);
	}
	if(TradeIsPending and CancelOtherTrades == 1)
	return 1;
	if(TradeIsOpen) {
		CancelOtherTrades = 1;
		ThisTrade->manage = 0; // terminate the TMF
	}
	return 0;
}

function frameAlign(BOOL Event){ 
	TimeFrame = 1;
	vars Num = series(0); // use a series for storing Num between calls
	Num[0] = Num[1]+1;    // count Num up once per bar  
	if(!Event) 
	TimeFrame = 0;      // continue current time frame  
	else {
		TimeFrame = -Num[0]; // start a new time frame
		Num[0] = 0;          // reset the counter  
	}
}

function run() {
	set(TICKS);  // normally needed for TMF
	Weekend = 3; // don't run TMF at weekend
	StartDate = 20141201;
	EndDate = 20141231; //preserve 2015 data for OOS testing
	BarPeriod = 60;
	if (is(INITRUN)) CancelOtherTrades = 0;
	
	TimeFrame = W1;
	frameAlign(dow() == 7 and hour() == 23);
	vars closeW1 = series(priceClose());
	LastWeekClose = closeW1[0];
	
	TimeFrame = H1;
	int exitDay = 5;
	int exitHour = 16;
	

	if (!(dow() == exitDay and hour() >= exitHour)) {
		Entry = closeW1[0] + 50*PIP;
		Stop = 30*PIP; 
		if (NumOpenLong == 0) {	enterLong(myTMF, LastWeekClose); } 
		Entry = closeW1[0] - 50*PIP;
		if (NumOpenShort == 0) enterShort(myTMF, LastWeekClose);
	}
	
	if (dow() == exitDay and hour() == exitHour) {exitLong("*"); exitShort("*");}
	
	
	plot("closeW1", closeW1, MAIN, RED);
}

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