Pyramid Entry Delay

[kallie]

I have a system that enters at next days open.
Additional pyramid trades are entered at next days open, using % profit rule.
However, if the price gaps over the % profit level, the trade is enterd at that days open , & not the next days open.
I am using delay entry by one bar but the pyramid entry seems to ignore this.
Is this correct or is there another way around it?

[David Samborsky]

With trade pyramidding currently it is not possible to delay re-entry by one bar.

However starting with version 5.2.2 of the plugin we introduced the SetPyramidProfitThresholdDetection function.

ExtFml(“TradeSim. SetPyramidProfitThresholdDetection”,PROFIT_THRES HOLD_TYPE);


This function is used to determine the way that the profit threshold detection is measured when any profit threshold trigger type is used to re-enter a pyramid trade. The PROFIT_THRESHOLD_TYPE can have one of the following three values: -

1. ExitPrice The Profit threshold detection is made by comparing the exit price specified by the ExitPrice array to the previous re-entry price of the pyramid trade. Note that the base pyramid or level ‘0’ trade always enters at the price specified by EntryPrice array. Note: By default a pyramid trade re-enters at the price specified by the EntryPrice array considerable slippage may be incurred and the profit gain specified by profit threshold may not be achieved.

2. EntryPrice The Profit threshold detection is made by comparing the entry price specified by the EntryPrice array to the previous re-entry price of the pyramid trade. Note that the base pyramid or level ‘0’ trade always enters at the price specified by EntryPrice array.

3. DailyRange The Profit threshold detection is made by comparing the daily price range to the previous re-entry price and if the profit threshold is exceeded the trade is re-entered exactly at the profit threshold point thus eliminating any slippage. Note that the base pyramid or level ‘0’ trade always enters at the price specified by EntryPrice array.


If you use EntryPrice as the Profit Threshold Type and your entry price is the opening price then no slippage will occur except what occurs when the actual order is put through. Alternatively if you are willing to trade intraday then the DailyRange threshold detection may be more appropriate. We don't recommend using the ExitPrice threshold detection type due to the large amount of slippage that may result.

Using these threshold detection types means that you don't need to delay entry by one bar when re-entering the pyramid.