The Useful MP

We all know how to use the reserved word/function MarketPosition – right?  Brief summary if not – use MarketPosition to see what your current position is: -1 for short, +1 for long and 0 for flat.  MarketPosition acts like a function because you can index it to see what you position was prior to the current position – all you need to do is pass a parameter for the number of positions ago.  If you pass it a one (MarketPosition(1)) then it will return the your prior position.  If you define a variable such as MP you can store each bars MarketPosition and this can come in handy.

mp = marketPosition;

If mp[1] <> 1 and mp = 1 then buysToday = buysToday + 1;
If mp[1] <> -1 and mp = -1 then sellsToday = sellsToday + 1;

The code compares prior bar’s MP value with the current bar’s.   If there is a change in the value, then the current market position has changed.   Going from not 1 to 1 indicates a new long position.  Going from not -1 to -1 implies a new short.  If the criteria is met, then the buysToday or sellsToday counters are incremented.  If you want to keep the number of buys or sells to a certain level, let’s say once or twice,  you can incorporate this into your code.

If  time >= startTradeTime and t < endTradeTime and 
	buysToday < 1 and 
	rsi(c,rsiLen) crosses above rsiBuyVal then buy this bar on close;
If  time >= startTradeTime and t < endTradeTime and 
	sellsToday < 1 and 
	rsi(c,rsiLen) crosses below rsiShortVal then sellShort this bar on close;

This logic will work most of the time, but it depends on the robustness of the builtin MarketPosition function.  Look how this logic fails in the following chart:

MarketPosition Failure

Failure in the sense that the algorithm shorted twice in the same day.  Notice on the first trade how the profit objective was hit on the very next bar.  The problem with MarketPosition is that it only updates at the end of the bar one bar after the entry.  So MarketPosition stays 0 during the duration of this trade.  If MarketPosition doesn’t change then my counter won’t work.  TradeStation should update MarketPosition at the end of the entry bar.  Alas it doesn’t work this way.  I figured a way around it though.  I will push the code out and explain it later in more detail.

Input: rsiLen(14),rsiBuyVal(30),rsiShortVal(70),profitObj$(250),protStop$(300),startTradeTime(940),endTradeTime(1430);

Vars: mp(0),buysToday(0),sellsToday(0),startOfDayNetProfit(0);

If d <> d[1] then
Begin
	buysToday = 0;
	sellsToday = 0;
	startOfDayNetProfit = netProfit;
end;

{mp = marketPosition;

If mp[1] <> 1 and mp = 1 then buysToday = buysToday + 1;
If mp[1] <> -1 and mp = -1 then sellsToday = sellsToday + 1;}

If entriesToday(date) > buysToday + sellsToday then 
Begin
	If marketPosition = 1 then buysToday = buysToday + 1;
	If marketPosition =-1 then sellsToday = sellsToday + 1;
	If marketPosition = 0 then
	Begin
		if netProfit > startOfDayNetProfit then
		begin
			if exitPrice(1) > entryPrice(1) then buysToday = buysToday + 1;
			If exitPrice(1) < entryPrice(1) then sellsToday = sellsToday + 1;
		end;;
		if netProfit < startOfDayNetProfit then
		Begin
			if exitPrice(1) < entryPrice(1) then buysToday = buysToday + 1;
			If exitPrice(1) > entryPrice(1) then sellsToday = sellsToday + 1;
		end;
	end;
	print(d," ",t," ",buysToday," ",sellsToday);
end;

If  time >= startTradeTime and t < endTradeTime and 
	buysToday < 1 and 
	rsi(c,rsiLen) crosses above rsiBuyVal then buy this bar on close;
If  time >= startTradeTime and t < endTradeTime and 
	sellsToday < 1 and 
	rsi(c,rsiLen) crosses below rsiShortVal then sellShort this bar on close;

SetProfittarget(profitObj$);
SetStopLoss(protStop$);

SetExitOnClose;

TradeStation does update EntriesToday at the end of the bar so you can use this keyword/function to help keep count of the different type of entries.  If MP is 0 and EntriesToday increments then you know an entry and an exit has occurred (takes care of the MarketPosition snafu) – all you need to do is determine if the entry was a buy or a sell.  NetProfit is also updated when a trade is closed.   I establish the StartOfDayNetProfit on the first bar of the day (line 9 in the code) and then examine EntriesToday and if NetProfit increased or decreased.  EntryPrice and ExitPrice are also updated at the end of the bar so I can also use them to extract the information I need.   Since MarketPosition is 0  I have to pass 1 to the EntryPrice and ExitPrice functions – prior position’s prices.  From there I can determine if a Long/Short entry occurred.  This seems like a lot of work for what you get out of it, but if you are controlling risk by limiting the number of trades (exposure) then an accurate count is so very important.

An alternative is to test on a higher resolution of data – say 1 minute bars.  In doing this you give a buffer to the MarketPosition function – more bars to catch up.