Quick Question - Stop and Reverse Order

Discussion in 'Strategy Development' started by ericadam, Aug 29, 2008.

  1. ericadam


    Hey all,

    Currently working on a black box and was wondering if a stop and reverse order is viable if I have to trigger the trades manually at the time being. The Buy and Sell points in the strategy depend on either a buy to cover and go long at the same time or sell and go short at the same time. I have attached an excel sheet with the output from the test -- from the Thinkorswim platform. Thanks!

    EDIT: forgot to add, 1 MIN time frame and that result output is 20 days if you are curious. Thanks.
    • test.xls
      File size:
      104.5 KB
  2. Interesting. You planning on using ThinkScript to perform the automation ?
    All you need to worry about is whether the current market price is above or below your reversal trigger price.
    So if you are long 10 contracts and the market is at 1290 and your signal is at 1280, then Sell 20 contracts at 1280 Stop.
    Likewise if the signal price is at 1300 with the market at 1290, then Sell 20 contracts 1300 Limit.
    Reverse the logic if you are short.
    As always, the huge problem with black boxes is partial fills.
    Good luck with that one.
  3. Not sure about how to use TOS, but why not program the stop to execute 2x as much as the initial position?

    In other words: long 1 unit @ 55
    sell 2 units @ 50

    now your position is short 1 unit at 50. Is this what you are looking for?
  4. ericadam


    syswizard, good point. I suppose its dependant on the stop and reverse order, whether the price is above or below at the market at the time of the buy to cover and go long or the sell and go short timing. Unfortunately TOS doesn't autotrigger the orders from the system, yet so it will have to be done manually (which introduces latency and timing issues unto itself.) I'm still trying to figure out the stop level integration.