Modify Trading Style Dialog: Entry/Exit Strategy
The Modify Trading Style Dialog allows you to specify the settings associated with a particular trading style. The Entry/Exit Strategy page allows you to set limits, stops, and slippage values of the trading style.
& For help with trading styles, see Using Trading Styles.
Limits and Stops
¨ Entry Limits
· Delay Entry for Better Price
This setting indicates to delay the trade until the price is better than the Basis for Limit Order by the specified percent or units. The trade will not be entered if the price does not reach the limit price.
: Example: An enter long for the next bar is generated when the closing price is 100. Using a 1% limit to delay entry, the trade will only occur if an entry price of 99 can be gotten during the next bar. (If the price opens below 99, the opening price will be used.)
· Prevent Entry against Slippage
This setting indicates to only enter the trade if it does not gap by a large amount in the desired direction of the trade and stay at that level.
: Example: An enter long for the next bar is generated when the closing price is 100. Using a 1% limit against gaps, the trade will only occur if an entry price of 101 or less can be achieved during the next bar.
Ä Note: For the FOREX market, the limit price is set based on the pending entry price (long: ask, short: bid).
¨ Loss Protection (Stop Loss)
· Fixed Stop Based on Entry Price
This setting indicates to exit the trade if the trading range reaches the specified percent or units difference from the entry price.
: Example: An enter long is opened at 100. Using a 5% stop loss, the trade will exit if the low of any bar reaches 95.
· Trailing Stop Based on Best Price
This setting indicates to exit the trade if the trading range reaches the specified percent or units difference from the best price achieved by the trade. The best price is determined by the entry price, followed by the best Basis for Trailing Stop price.
: Example: An enter long is opened at 100. Using a 5% stop loss, the trade will exit if the low of any bar reaches 95. If the price closes at 102 the next bar, the stop price is increased to 96.9.
Ä Note: For the FOREX market, the stop loss price is set based on the exit price at the time of entry (long: bid, short: ask). In other words, if the stop is reached, the total loss includes the bid/ask spread and the loss amount entered.
¨ Profit Taking (Stop Profit)
· Fixed Stop Based on Entry Price
This setting indicates to exit the trade if the trading range reaches the specified percent or units difference from the entry price.
: Example: An enter long is opened at 100. Using a 5% stop profit, the trade will exit if the high of any bar reaches 105.
Ä Note: For the FOREX market, the stop profit price is set based on the entry price (long: ask, short: bid). In other words, if the stop is reached, the total profit is the profit amount entered, but the price has moved to cover the bid/ask spread and the profit.
¨ Length Restriction (Stop Length)
· Fixed Stop Based on Entry
This setting indicates to exit the trade if it reaches the specified number of bars.
· Trailing Stop Based on Best Price
This setting indicates to exit the trade if it reaches the specified number of bars after the last best price.
Ä Note: Length stops are always traded with a Stop Execution type of "As Exit Signal".
¨ Stop Execution
· Immediate
This setting indicates that stops should be executed as soon as the condition occurs. This is used for simulating stops that are placed directly with your broker.
· As Exit Signal
This setting indicates that stops should change the trading signal to an exit signal when the condition occurs. This is used for simulating stops that are handled manually without the help of your broker.
¨ Stop Re-Entry
This setting indicates when to enter the same position after a trade is exited due to a stop. This is useful for staying out of situations where a constant signal is contrary to the current direction of the market.
· Always
This setting indicates to always enter the market on a new entry signal.
· After Any Other Signal
This setting indicates to delay re-entering the position until after any other signal is encountered.
: Example: An enter long will not be executed until after a signal other than an enter long is encountered.
· After Hold or Exit
This setting indicates to delay re-entering the position until after a hold or exit signal is encountered. This includes opposing entry signals, but not opposing exit signals.
: Example: An enter long will not be executed after an exit short.
· After Exit
This setting indicates to delay re-entering the position until after an exit signal is encountered. This includes opposing entry signals, but not opposing exit signals or hold signals.
: Example: An enter long will be executed only after it would have been exited normally.
· After Opposing Entry
This setting indicates to delay re-entering the position until after an opposing entry signal is encountered.
: Example: An enter long will be executed only after an enter short is encountered.
¨ Express As
This setting indicates whether to express limit, stop, and slippage values as percentages or as units.
Ä Note: Percentages values for futures and FOREX markets reflect a percent change in the value of the purchase, which equates to a percent change in the price.
Intraday Time Restrictions
Additional settings are available for when the trading style is used for trading intraday data. Specifically, these settings allow the trading style to automatically exit from the market before the end of the trading session. They can also be used to avoid trading during an opening time period. These values are ignored for end-of-day data series.
þ Limit Times When Trades Entered
This setting causes the simulated trading of intraday entry/exit signals to ignore entry signals prior to the starting time and after the ending time. This is useful for avoiding the opening and closing of the market, which may be less predictable or have different characteristics from the midday market.
Ä Note: This setting does not modify the value of entry/exit systems or predicted signals. It is only used to simulate the behavior of not entering new trades during certain hours.
þ Exit All Open Trades at End of Day
This setting causes the simulated trading of intraday entry/exit signals to exit at the specified time. This is useful for limiting the effects of intraday trading to when the market is open. This protects intraday trades from the sometimes large changes that occur during after market trading.
Ä Note: This setting does not modify the value of entry/exit systems or predicted signals. It is only used to simulate the exiting of positions that you would do manually.
Ä Note: If this setting is used, no new trades will be entered after the specified time. Entry into new trades can be further limited using Limit Times When Trades Entered.
Ä Note: Optimal signals generated using these settings for intraday data will not generate entry signals outside of the specified times. Because of this, models of these optimal signals should include some type of time information as inputs so that the neural network has an opportunity to learn that time is a factor in the signal value.
Timing Penalty
¨ Slippage on Trades
These settings allow you to simulate the prices moving before a trade can be executed. When the slippage is not set to 0, the actual entry and exit prices used for each trade are adjusted to less favorable values by the specified amount. For example, long entry prices are increased and long exit prices are decreased. These values can be limited to the trading range for the given day by selecting Restrict slippage to trading range.
Ä Note: Slippage is not applied to entries using limit orders.
Ä Note: Slippage is not used when generating optimal signals.
What Do I Do Next?
If you are finished modifying the settings associated with the trading style, press the OK button to save your changes or select another property page. If you would like to exit from this dialog without performing any changes, press the Cancel button.
Additional Property Pages
The Modify Trading Style Dialog has the following property pages.
This page allows you to set the name, broker settings, and position sizing.
This page allows you to set limits, stops, and slippage values.
This page allows you to specify the characteristics to take into account when optimizing an entry/exit signal.
This page allows you to specify which trading style settings are available for optimization.
This page allows you to specify the fields to use for values during signal analysis.
& For help using property pages, see the help for Property Pages.
How Did I Get Here?
The Modify Trading Style Dialog is displayed when you press the Add New… button or the Edit… button on the Define Trading Styles Dialog.