How can I add a stop loss and take profit for algorithmic trading in MATLAB?

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Alex Regner
Alex Regner 2022-2-17
回答： Shivam Lahoti 2023-12-22
s = zeros(size(S1Close1));
sl1 = cctbbo20L < BBosline;
ss1 = cctbbo20S > BBobline;
sl2 = MA2>=DEMA;
ss2 = MA2<=DEMA;
sl3 = S1Close1>DEMA;
ss3 = S1Close1<DEMA;
TF = (AST + BET) == 2;
sl = sl1 + sl2 + sl3 + TF;
ss = ss1 + ss2 + ss3 + TF;
sll = sl >= 4;
sss = ss >= 4;
s(sll) = 1;
s(sss) = -1;
S1Close2 = movprod(S1Close1,[1 0])./S1Close1;
g = S1High1+S1Low1;
h = abs(S1High1-S1Close2);
j = abs(S1Low1-S1Close2);
TR = max([g j h],[],2);
atr = movavg(TR,'custom',1./atrlength);
longEntryPrice = S1Close1;
longDiffSL = abs(longEntryPrice - (((S1High1+S1Low1+S1Close1)./3) - (factor * atr)));
longpositionValue = initialCapital * i_pctStop ./ (longDiffSL ./ longEntryPrice);
longpositionSize = longpositionValue ./ longEntryPrice;
longStop = ((S1High1+S1Low1+S1Close1)./3) - (factor * atr);
longTarget = (((S1Close1 - longStop) * RR) + S1Close1);
shortEntryPrice = S1Close1;
shortDiffSL = abs(shortEntryPrice - (((S1High1+S1Low1+S1Close1)./3) + (factor * atr)));
shortpositionValue = initialCapital * i_pctStop ./ (shortDiffSL ./ shortEntryPrice);
shortpositionSize = shortpositionValue ./ shortEntryPrice;
shortStop = ((S1High1+S1Low1+S1Close1)./3) + (factor * atr);
shortTarget = (S1Close1 - ((shortStop - S1Close1) * RR));
SC = [s S1Close1];
r = [0; abs(s(1:end)).*shortpositionSize];
r = r(2:end);
w = cumsum(r);
So I'm trying to create a trading strategy in MATLAB and having some trouble, essentially I'm trying to create a stoploss and take profit for my strategy. I have the signal vector s that =1 for long positions and =-1 for short positions and I need to find some way to apply my long/short stop and target (in bold) to this vector so that Ii can properly calculate my returns in vector r, but I honestly have no idea where to start. I concatenated the Closing price (S1Close1) of the stock and my signal (s) vector and pretty much need s to stay 1 or -1 until the price (S1Close) reaches my short\long stop or target. I would greatly appreciate any help at all.

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回答（1 个）

Shivam Lahoti
Shivam Lahoti 2023-12-22
Hi Alex Regner,
I can understand that you want to do Algorithmic trading using MATLAB and you have a strategy ready to calculate the Targets and Stop loss for any trade that you enter. You want to understand how you could maintain the open positions (1 being long and -1 being short) data and book your returns whenever they are triggered.
I have tried to break the approach into three steps. Please have a look to understand the Workflow then you can incorporate that into your detailed strategy.
1. Monitor Open Positions: As you iterate through each day's closing prices (`S1Close1`), check if any open long or short positions have reached the stop loss (`longStop`, `shortStop`) or take profit (`longTarget`, `shortTarget`) levels.
2. Close Trades: If the current price crosses the stop loss or target for an open position, close the trade. For long positions, if `S1Close1` is less than or equal to `longStop` or greater than or equal to `longTarget`, you book the loss or profit, respectively. Similarly, for short positions, if `S1Close1` is greater than or equal to `shortStop` or less than or equal to `shortTarget`, you book the profit or loss.
3. Record Results: When a trade (short or long) is closed due to stop loss or target being hit, calculate the result, and record it in your returns vector (`r`).
Along with this, I found this documentation useful to start Algorithmic trading using MATLAB. Please go through this documentation:
https://www.mathworks.com/discovery/algorithmic-trading.html
I hope this was helpful.
Regards,
Shivam Lahoti.

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