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Trade Plan Question
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ThomasHelget
Posted 5/24/2013 9:27 PM (#4858)
Subject: Trade Plan Question



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Fellow TradeTight members:

I recently created a Trade Plan for the ConnorsRSI to be used on EOD charts and it is attached here. See this thread for all the details:

http://www.omnitrader.com/currentclients/proforum/thread-view.asp?t...

The basic idea is that we are looking to place a limit order to buy if the stock's price drops an additional 2% from the previous day's close for a Long position or a limit order to sell if the stock's price rises an additional 2% for a Short position. The Trade Plan is activated the night before the day we expect an additional 2% move so that the order is in place for the next day's trading - sort of like "going fishing".

But here's the rub. It would seem that the order only triggers if the close the next day is at or below the limit order price on a Long or at or above the limit order price for a Short. That is, the Trade Plan only activates if the close is above or below the limit order price and any other price action above or below this is ignored. My understanding of a limit order is that the order is taken if the limit price is equaled or exceeded anytime during the trading day. Below are show a couple of screen shots demonstating this phenomena.

Now there doesn't appear to be any way to modify the buy order other than what I have done. So the question is twofold:
1. Is the limit order in Trade Plan broken?
2. If not, is there some other way to skin this cat?

Thanks for your help!



(Slide 7 Trade That Should Have Been Taken.PNG)



(Slide 8 Here is Another Good Trade that Didn't Activate.PNG)



(Slide 9 An Entry Just at the Close.PNG)




Edited by ThomasHelget 5/24/2013 9:37 PM

Attachments
Attachments ConnorsRSI.ott (92KB - 13 downloads)
Attachments Slide 7 Trade That Should Have Been Taken.PNG (35KB - 5 downloads)
Attachments Slide 8 Here is Another Good Trade that Didn't Activate.PNG (54KB - 4 downloads)
Attachments Slide 9 An Entry Just at the Close.PNG (32KB - 6 downloads)
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MarcBekaert
Posted 5/30/2013 11:47 AM (#4866 - in reply to #4858)
Subject: Trade Plan Question



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Hi Tom

the minimum "time in force" you have to us for the limit order is 2
otherwise OT doesn't generate any signals

Marc
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ThomasHelget
Posted 5/30/2013 7:12 PM (#4867 - in reply to #4866)
Subject: Trade Plan Question



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Hey Marc:

Thanks for the information but here is where I get confused.

See the screen shot below.

The Periods in Force has a value of zero and a trade is most certainly taken today (this is one of those "just barely made it" ones shown above).

Now there is also another option for Time In Force (highlighted in blue) and this is set for GTC. Is this the option you are referring to? If so my only choices on a Limit Order are GTC (the current setting) and Day.

Thanks,

(Zero Periods In Force with Trade Taken.PNG)



Attachments
Attachments Zero Periods In Force with Trade Taken.PNG (57KB - 2 downloads)
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MarcBekaert
Posted 5/31/2013 10:28 AM (#4868 - in reply to #4858)
Subject: Trade Plan Question



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Tom
You'r right, it is "periods in force" the yellow highlight that's to be set on "2" (or higher)
( the signal date + the date for the limit order execution)

Marc
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ThomasHelget
Posted 5/31/2013 6:51 PM (#4874 - in reply to #4868)
Subject: Trade Plan Question



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Marc:

Thanks for the clarification.

I will give it a shot.
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ThomasHelget
Posted 6/4/2013 6:23 PM (#4881 - in reply to #4874)
Subject: Trade Plan Question



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Marc:

I tried your suggestion but still trades are not being taken - see the screen shot below:

(Trade Still Not Taken.PNG)



Attachments
Attachments Trade Still Not Taken.PNG (69KB - 2 downloads)
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FransArntzen
Posted 6/5/2013 4:01 AM (#4882 - in reply to #4858)
Subject: Trade Plan Question



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Hello,

I red this thread. Maybe I understand the problem wrong. But my first thought was: Is it not simple to put a filter in this strategy for long, Buy if price is 0.98 * C[1] and for short Sell if price is 1.02 * C[1]. And then a normal tradeplan.

Best regards Frans


Edited by FransArntzen 6/5/2013 4:04 AM
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ThomasHelget
Posted 6/5/2013 8:39 AM (#4883 - in reply to #4882)
Subject: Trade Plan Question



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Frans:

What I am doing here is using an OmniScan to identify potential stocks that meet all the ConnorsRSI criteria except having gapped down or up 2% on the day of the trade. The idea of the TradePlan is to "go fishing" on stocks I like and to be set up the next day should that additional criteria be met.
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MarcBekaert
Posted 6/7/2013 3:16 AM (#4897 - in reply to #4858)
Subject: Trade Plan Question



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Tom,
In the picture above i can see the order is subimited to your broker, so I guess that’s not the problem
I use limit orders all the time with OT and TWS and it works perfect.

Another thing that can happen is that you can see on the chart the close is passing your limit, but your order is not executed
Well that happens a lot, especially when you trade for example stocks of the Russel 2000, stocks were the spread between bid and ask is rather big
You only can be sure for a certain degree you order will be executed if the “ask price” drops below your limit price en if there are not too many orders before you in the orderbook on that level before your order is executed.
Another phenomenon is that sometimes in the first few second ofther the opening bell you already see a red candle with a low price spike below your limit and a close well above you limit, for the rest of the session you will never see the price dropping to that lowlevel.

Best regards
Marc
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ThomasHelget
Posted 6/7/2013 8:50 AM (#4898 - in reply to #4897)
Subject: Trade Plan Question



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Marc:

We are just paper trading here to see if the Trade Plan will work. Thus there is no "broker" involved here to worry about bid or ask prices or exactly where we sit in the order que. My feeling is that the trade should have been executed "theoretically" even if in reality some of these other factors might have come into play in realtime.

And, in the most recent screen shot I presented, note that the chevron has not turned color and so indicates to me that the trade has not been taken in this End of Day profile (see screen shots presented earlier in the thread to see how the chevron appears when the trade is taken).
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MarcBekaert
Posted 7/9/2013 10:04 AM (#5006 - in reply to #4858)
Subject: Trade Plan Question



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Tom,

I investigated this problem further with Ryan Olson and it seems there is a bug in the limit order funtion of "any" strategy
When you set I limit order for instance at 1 ATR below last
The strategy wil calculate a limit price of the signal date "close" minus the ATR(14) of 2 days ago instead of the signals date ATR
Here’s an example with the symbol “INTC” (intel) , a signal date on Friday 5 july and the limit price entry date on Monday 8 july
On the Advisor trade details you can see clearly the limit price that the strategy calculates with the wrong ATR value ( portfolio simulation resuts are also infected)
Strangly when you pull down the trading chevron to actually place the limit, the limit order level is calculated correctly.

Regards
Marc


(wronglimits.png)



Attachments
Attachments wronglimits.png (63KB - 2 downloads)
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GregWinch
Posted 7/9/2013 10:15 AM (#5007 - in reply to #5006)
Subject: Trade Plan Question



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This Limit Order bug has been a frustrating problem for quite some time now. I believe it became a problem in OT2009 if I'm not mistaken. Nirvana has been aware of this and won't (or can't) seem to fix it (as Ryan as apparently confirmed).
Tom, I too am frustrated with not being able to properly code Larry Connors' work for backtesting.
Greg
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ThomasHelget
Posted 7/9/2013 10:21 AM (#5008 - in reply to #5007)
Subject: Trade Plan Question



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Guys:

Thanks for investigating this.

It is always nice to know one isn't completely crazy.
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JimDean
Posted 7/9/2013 11:49 AM (#5009 - in reply to #5006)
Subject: Trade Plan Question



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It's even weirder if you use OLang to set virtual limit levels.
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