Smart Grid Aggregated / Average TP

CraigH

Hi there. I hope youre well.
I wanted to post a query I have noticed with regards to the Average TP on the Smart Grid.
While running a back test, I have set the bot to only open longs, DISABLED all trading rules as in HMA, DiNapoli, ATR etc.

https://clickalgo.com/grid-hedge-robot

I wanted to see how it deals with Average TP's while watching it in visual mode in back test. What i notices is it opens up a whole lot of long positions as expected and seems to start closing some aggregated long positions when reaching an average TP. But what I also notice is it seems to leave some " groups" of long positions behind and does not include them in some of the Average TP closures.

EUR/USD
09/06/2021 - 09/06/2022

Am I missing a paramater setting?
Screen Shot and cbotset attached.

Thanks very much.

clickalgo-smart-grid-trial-eurusd-h1.cbotset

3kB

Mike

Hi, Craig, there is an internal formula that decides which trades should close using the average take profit, it is not a fixed value and could range many pips. I see you have an average TP of 5, this may not work if the spread widens. I am sure if you had extended the backtest date, the positions would have closed if they were in profit, but not if they are at a loss.

CraigH

Hi Mike.
Thanks for your reply. I am using ICMarkets RAW , where as you know the spread is almost always 0 - 0.2 ish.

However I don't understand the logic behind separating groups of positions and aggregating an average TP for some, and then only dealing with other group TP's later. If I had an infinite capital balance and set position sizes to 0.01 with no volume exponent - and the price dropped say 1000 pips on a nuclear event, it appears to me that there might be grouped positions that are left behind and not dealt with with the Average TP. Infact it might take years if ever for the price to come round and clear the "forgotten" positions if they are not included in the global or collective grouping TP's.

And with grid type trading, using a SL can sometimes be disruptive to an aggregated TP approach.

Am I missing something here.

Thanks again for your response. I have my fingers on the purchase button for this bot, but I need to make sure I understand the logic on this approach.

Mike

The logic for the automatic take profit is below in code, it will only manage positions opened by itself and not manually or by another cBot, also it will only manage positions opened with the cBot instance for the smart grid and not another cBot instance of the smart grid.

public double CalculateNewTakeProfit(TradeType TrdTp)
{
    double Result = 0;
    double AveragePrice = 0;
    double Count = 0;

    foreach (var position in _robot.Positions)
    {
        if (position.Label == _botName && position.SymbolName == _robot.SymbolName)
        {
            if (position.TradeType == TrdTp)
            {
                AveragePrice += position.EntryPrice * position.VolumeInUnits;
                Count += position.VolumeInUnits;
            }
        }
    }

    if (AveragePrice > 0 && Count > 0)
        Result = Math.Round(AveragePrice / Count, _robot.Symbol.Digits);

    return Result;
}

As you can see the formula is a little complex and not all positions will be managed the same, the average price is increased with each position's entry price * volume.

Instead, you can also set a fixed take profit and not use the smart grid dynamic take profit formula.