Fixed profit target with intraday data
Author: 07nioe
Creation Date: 11/28/2016 4:08 PM
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07nioe

#1
Hi Eugene,

I use a mix of daily and intraday data for my strategy. Almost all indicators are based on daily calculation. To determine the profit target, calculation doesn't work as it should do. The idea is to calculate the profit taget on the Close of the last day and leave it there for the whole trade - no adjustments. Due to intraday data I use the following code to determine the relevant bar:

CODE:
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Unfortunately, the profit target level changes from day to day. It is not fix.
If i use
CODE:
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the profit target changes even from bar to bar.
What do I have to do?
Thank you very much.

Best
Niels
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Eugene

#2
Hi Niels,

Not sure if I understood you on what "the Close of the last day" is. If it's the bar preceding the bar of entry and the idea is to fix it throughout the trade, then isn't it something like this?

CODE:
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07nioe

#3
Eugene,

maybe I haven't made myself clear. An example may help:

you use 5 minute intraday data and the strategy goes long at 10.05 am. To calculate the take profit, I would like to use the close of the preceding DAY. The preceding bar of entry would be the one at 10.00 at the SAME day.
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Eugene

#4
Got it. You have to save the profit target level somehow, for instance in a DataSeries (and propagate the value on bars where it's not being set):

CODE:
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07nioe

#5
okay! But why don't you use
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in
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?

Meanwhile I tried the following variety:

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It seems to work.
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Eugene

#6
QUOTE:
But why don't you use

This was just an illustration. I leave the actual implementation up to you.

QUOTE:
It seems to work.

Good solution.