Comments (4)
The motivation is that we never want to decascade the initial position. It is closed when the PNL condition is satisfied.
from code.
Do you know whether the PNL takes into account the transaction costs before reaching the target? For example, if commission was $7 plus there was swap fees of $4 would it take these into account if the profit target was $10 ie the total would need to be $21 gross profit to have a net profit for the EA target of $10?
Otherwise if a position is held onto for a long period (under the model some runners could be held onto for months or years) the swap could cause the profit to be eroded or go into negative.
Thanks
from code.
So this is a toy model where the only transaction fees are the spread you pay. But yes, if you hook this up to a specific exchange that charges fees, you would need to factor that in.
Note however that in the "limit orders" version of the algo you don't pay any spread fees:
https://github.com/AntonVonGolub/Code/tree/master/LimitOrders
from code.
from code.
Related Issues (19)
- ch.olsen? HOT 4
- This code is actually a Martingale betting system HOT 7
- code.java: unsafe removal from a collection during for loop
- Liquidity indicator HOT 3
- Testing on XAUUSD (Gold)? HOT 3
- Node.js porting HOT 2
- Why multiple agents of same order type? HOT 2
- Confusion about code.java not supporting trading model HOT 2
- Question about order closing HOT 2
- Price change delta - linear vs. log HOT 1
- Contrarian grid system with averaging?
- Runner.run() return values HOT 1
- The response rate is extremely low HOT 3
- Do we keep positions overnight?? HOT 1
- Threshold when position units > 30 HOT 2
- The Code.java is not worrking HOT 1
- AntonVonGolub/Code The code is not working HOT 4
- Unused code HOT 1
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from code.