Hi All, I think I am having another silly question.

I am studying the script "Luxor.c" in the Strategy folder, and it seems that the "BuyLimit" and "SellLimit" variables do not take any effect. The results are exactly the same when I remove them in the script.

So am I missing something? Is there any subtle effect from these 2 variables that I didn't catch?

They are pending orders.
In order to see an effect, increase the PIP value distance for entry and exit.


BuyStop = priceHigh() + 10*PIP;
BuyLimit = priceHigh() + 50*PIP;


SellStop = priceLow() - 10*PIP;
SellLimit = priceLow() - 50*PIP;

https://zorro-trader.com/manual/en/stop.htm


A positive price level or positive distance constitutes an entry stop, a negative price level or negative distance constitutes an entry limit. An entry limit buys when the price moves against the trade direction and reaches or crosses the limit. It increases the profit because it buys at a price that went in opposite direction to the trade. An entry stop buys when the price moves in trade direction and reaches or crosses the limit; it reduces the profit, but enters only when the price is moving in favorable direction, and thus acts as an additional trade filter. For a long trade, an entry limit should be below and an entry stop should be above the current price. If the entry price is not reached within the allowed time period (set through EntryTime), the trade is cancelled and a "Missed Entry" message is printed to the log file.

Thanks danatrader, yes and you are right.

But what I meant is another issue: the "BuyLimit" and "SellLimit" variables seems redundant. For the enterLong conditions, for example, as long as "!NumOpenLong && Fast[0]>Slow[0]" is satisfied, "Closes[0]<BuyLimit" should be satisfied for sure.

I just don't understand why we include such a redundant condition check (Closes[0]<BuyLimit) here.

OK, this might be the answer: the conditions "Closes[0]<BuyLimit" and "Closes[0]>SellLimit" are relevant for the period just after the LookBack period, where they are not 100% true when "!NumOpenLong && Fast[0]>Slow[0]" or "!NumOpenShort && Fast[0]<Slow[0]" is true.

I run 2 tests with the following versions of Luxor.c scripts, and they produce exactly the same "Luxor_test.log" files. "LookBack" is set to 122 on purpose, at which Fast just crossed over Slow.

But more weird things happen, they produce different testtrades.csv files:
=========================
$diff testtrades.csv_1 testtrades.csv_2
296a297,298
> testluxor,Long,GBP/USD,823183,1,2004-09-06 07:30,2004-09-07 10:00,1.77760,1.78030,+2.70,0.00,Reverse
> testluxor,Short,GBP/USD,828483,1,2004-09-07 10:00,2004-09-08 00:00,1.78030,1.77530,+5.00,0.00,Reverse
301a304
> testluxor,Short,GBP/USD,837784,1,2004-09-09 08:30,2004-09-09 21:00,1.78530,1.78710,-1.80,0.00,Reverse
785d787
< testluxor,Short,GBP/USD,2148115,1,2005-10-07 05:30,2005-10-10 06:30,1.77550,1.76220,+13.30,0.00,Reverse
789d790
< testluxor,Short,GBP/USD,2165817,1,2005-10-13 01:00,2005-10-13 15:30,1.74920,1.74950,-0.30,0.00,Reverse
=========================



version #1
=========================
function run(){
// set(PLOTNOW,LOGFILE,PARAMETERS);
set(PLOTNOW,LOGFILE);

StartDate = 2004;
EndDate = 2010;
BarPeriod = 30;
LookBack = 122; // This is the point where the cross condition is just satisfied

asset("GBP/USD");

vars Closes = series(priceClose());
vars Fast = series(SMA(Closes,3));
vars Slow = series(SMA(Closes,30));

Spread = Slippage = Commission = RollLong = RollShort = 0;

static var BuyStop, SellStop, BuyLimit, SellLimit;

int threshold = 1;
if(crossOver(Fast,Slow)){
BuyStop = priceHigh()+threshold*PIP;
BuyLimit = priceHigh()+5*threshold*PIP;
}
if(crossUnder(Fast,Slow)){
SellStop = priceLow()-threshold*PIP;
SellLimit = priceLow()-5*threshold*PIP;
}

if(!NumOpenLong && Fast[0]>Slow[0] && Closes[0]<BuyLimit){
enterLong(1,BuyStop);
}
if(!NumOpenShort && Fast[0]<Slow[0] && Closes[0]>SellLimit){
enterShort(1,SellStop);
}
}
=========================

version #2 (remove "Closes[0]<BuyLimit" and "Closes[0]>SellLimit")
=========================
function run(){
// set(PLOTNOW,LOGFILE,PARAMETERS);
set(PLOTNOW,LOGFILE);

StartDate = 2004;
EndDate = 2010;
BarPeriod = 30;
LookBack = 122; // This is the point where the cross condition is just satisfied

asset("GBP/USD");

vars Closes = series(priceClose());
vars Fast = series(SMA(Closes,3));
vars Slow = series(SMA(Closes,30));

Spread = Slippage = Commission = RollLong = RollShort = 0;

static var BuyStop, SellStop, BuyLimit, SellLimit;

int threshold = 1;
if(crossOver(Fast,Slow)){
BuyStop = priceHigh()+threshold*PIP;
BuyLimit = priceHigh()+5*threshold*PIP;
}
if(crossUnder(Fast,Slow)){
SellStop = priceLow()-threshold*PIP;
SellLimit = priceLow()-5*threshold*PIP;
}

if(!NumOpenLong && Fast[0]>Slow[0]){
enterLong(1,BuyStop);
}
if(!NumOpenShort && Fast[0]<Slow[0]){
enterShort(1,SellStop);
}
}
=========================