(Power User Feature) Use the trading strategy parameters pyramiding tab to set up the ability to pyramid/scale into and out of trades with more than one entry or exit order.

1. Pyramid/Scale into Positions: activates position scaling on entries

Max number of entries per Position: Allows you to choose the maximum number of independent entries that are allowed for each trading position.

Entries change in Size: Allows you to specify by how much subsequent entries change in size as a percentage of the prior entry. So for instance if you specify 100%, all entries will be the same constant size. However if you specify 50%, then each subsequent entry will be half the size of the previous entry.

Restrict each entry condition to generating one entry per position: Use this option to cause each entry condition to generate only one entry scaling. Note that when using this option, you should also ensure that ‘1 of the following are true’ is setup on the long entry and short entry tabs of the main trading strategy wizard.

2. Pyramid/Scale out of Positions: Activates position scaling on exits.

Max number of exits per Position: Allows you to choose the maximum number of independent exits that are allowed for each trading position.

Exits change in Size: Allows you to specify by how much subsequent exits change in size as a percentage of the prior exit. So for instance if you specify 100%, all exits will be the same constant size. However if you specify 200%, then each subsequent exit will be double the size of the previous exit.

Restrict each exit condition to generating one exit per position: Use this option to cause each exit condition to generate only one exit scaling. Note that when using this option, you should also ensure that ‘1 of the following are true’ is setup on the long exit and short exit tabs of the main trading strategy wizard.

3. Find the best pyramiding/sizing parameters during optimization: Adds the ability to let the optimizer choose the optimal pyramiding/scaling parameters. When selected, changes to the default Position Scaling Parameter optimization ranges can be made in the Pyramiding/Scaling parameters above. If you want the optimizer to decide if position scaling should be used at all, simply make sure to set the minimum value for Max number of entries and exits to a value of 1.

The actual number of shares/contracts/lots traded on each entry and exit pyramid is determined by all the following NeuroShell Trader settings:

Position Sizing Method – The position sizing method determines the maximum position size reached after all entries for a position occur. It is calculated when the 1st entry of a position is signaled. So for instance if you specify a position sizing method of 1000 fixed shares, then the maximum position size would always be 1000, no matter the size of the individual entries. Likewise, if you specify a position sizing method of 25% of account balance, then the maximum size of each position would be calculated based upon the account balance at the start of each position.

Max number of entries/exits per Position – The max number setting determines how many times the maximum position size is split up. So for instance, if max number of entries is 4 and when the 1st entry of a position occurs, the position sizing method determines that a maximum of 600 shares should be traded, then the 4 entries would be sized at 150 each.

Entries/Exits change in Size – The change in size setting determines the relative size proportion of each subsequent entry/exit relative to the prior entry/exit. So for instance, if max number of entries is 4, Entries change in size by 50% and when the 1st entry of a position occurs, the position sizing method determines that a maximum of 600 shares should be traded, then the 4 entries would be sized at 320, 160, 80 and 40 respectively.

Buy shares in round lots of – Round lot trading determines how the size of the individual entry/exit pyramids are rounded. So for instance if trade in round lots of 50 is set, max number of entries is 4, entries change in size by 50% and when the 1st entry of a position occurs, the position sizing method determines that a maximum of 600 shares should be traded, then the 4 entries would be sized at 300, 150, 100 and 50 respectively.

Note that the maximum number of entries/exits per position won’t always occur depending upon the order in which the entry and exit condition(s) occur. For instance, if you specify a maximum of 4 entries per position, all 4 entries may not occur if the exit condition(s) fire before all 4 entries have occurred. Likewise, if you have specified 4 exits per position and selected Long/Short entries exit existing short/long positions, than if the opposite entry signal occurs before all 4 exits, the system will reverse to the opposite position before all 4 exitts have occurred.
In general, the order in which the entry and exit conditions are listed is not important nor is the number of entry and exits conditions listed. Entry and exit conditions can fire multiple times and in any order to generate entry and exit pyramids. You can have a system with a single entry condition fire over and over again to cause 20 entries per position or you could have a system with 100 entry conditions combining to generate a maximum of 3 entries per position. If you wish to prevent entry and exit conditions from causing multiple entries and exits, then use the Restrict each entry/exit condition to generating one entry/exit per position option.
Take as an example, a trading system with the single entry condition CrossAbove(Close,Open) and a Max number of entries per Position of 4. The trading system would generate up to three scale in entry orders each time the close crossed above the open.
However, if in the above example, you used the Restrict each entry condition to generating one entry per position to allow the CrossAbove(Close,Open) to generate only one entry scaling and then add additional entry conditions like CrossAbove(Close, Multiply(EntryPrice,1.1)), CrossAbove(Close, Multiply(EntryPrice,1.2)) and CrossAbove(Close, Multiply(EntryPrice,1.3)), the system would generate the first entry upon the Close crossings above the Open and additional entry scale ins when the price jumps 10 percent, 20 percent and 30 percent beyond the first entry.