This setting defines the method using which the Target or Stoploss for Individual legs is calculated. This setting works only in the case where Wait & Trade, Range Breakout and any of their combinations are enabled. This setting is not with applicable for plain Re-Execute, but will work if W&T Re-Execute is selected (as W&T gets applied on top of Re-Execute)
This setting can be found under the Advanced Settings on the algo configuration page.
This setting is applicable only for individual leg target and stoploss price/level calculation only, and NOT applicable for any MTM Target or Stoploss. MTM (Combined Premium) Target or Stoploss will be calculated from average entry price only.
This setting has 2 options:
- Average entry Price: This is the default option. With this option the Individual Leg Target price and Individual Leg Stoploss price will be calculated from the average entry price of the leg.
- Entry At: With this option the Individual Leg Target price and Individual Leg Stoploss price will be calculated from the “Entry at” price which is the price at which the entry has to trigger, (And NOT the price at which the entry order got filled).
Example 1: Wait & Trade
1. With Average Entry Price (default setting):
In this Wait & Trade example, SL/TGT Calculation base setting is set to Average Entry Price. Hence the individual leg Target (with setting 5%) and Stoploss (with setting 5%) is calculated from the Average Entry Price for the BUY positions.
Average Entry price: 85.5
Target (+5%):
85.5 + (85.5 x 5%) = 89.77
= rounded to 89.75
Stoploss (-5%):
85.5 - (85.5 x 5%) = 81.22
= rounded to 81.25
2. With Entry At:
In this Wait & Trade example, SL/TGT Calculation base setting is set to Entry At. Hence the individual leg Target (with setting 5%) and Stoploss (with setting 5%) is calculated from the Entry at price for the BUY positions.
Entry at price: 85.45
Target (+5%):
85.45 + (85.45 x 5%) = 89.72
= rounded to 89.70
Stoploss (-5%):
85.45 - (85.45 x 5%) = 81.17
= rounded to 81.20
Example 2: Range Breakout (ORB)
1. With Average Entry Price (default setting):
In this Range Breakout example where the entry is set to trigger at Range High, the SL/TGT Calculation base setting is set to Average Entry Price. Hence the individual leg Target (with setting 5%) and Stoploss (with setting 5%) is calculated from the Average Entry Price for the BUY positions.
Average Entry price: 116.4
Target (+5%):
116.4 + (116.4 x 5%) = 122.22
= rounded to 122.20
Stoploss (-5%):
116.4 - (116.4 x 5%) = 110.58
= rounded to 110.60
2. With Entry At:
In this Range Breakout example where the entry is set to trigger at Range High, the SL/TGT Calculation base setting is set to Entry at. Hence the individual leg Target (with setting 5%) and Stoploss (with setting 5%) is calculated from the Entry at price for the BUY positions.
Entry at price: 116.3
Target (+5%):
116.3 + (116.3 x 5%) = 122.11
= rounded to 122.10
Stoploss (-5%):
116.3 - (116.3 x 5%) = 110.48
= rounded to 110.50
Other features or combination of features where this setting is applicable:
1. ORB & Wait & Trade configured together.
2. Any re-entry type combination that has Wait & Trade, ie. W&T RE COST, W&T RE ENTRY, W&T RE EXECUTE, and many other combinations that include Wait & Trade.
3. Wait & Trade configured in legs configured using the JOURNEY Feature.
USE CASE:
By using the "Entry at" setting, in the case of Wait & Trade and Range Breakout strategies which are momentum based strategies, the calculated Targets and Stoploss levels may be much more closer and almost matching to the target and stoploss levels seen in the backtest. This means that there a higher chances that the entries and exits happening as per the backtest may also happen in the actual trades reducing the deviation in actual trades compared to the backtests.
Example scenario:
Price at start time: 100
Wait & Trade entry setting: Sell 2 points ↓ (down)
Hence, calculated 'Entry at' price: 98
Stoploss: 20 points
In this case, the SL as per backtest is 98+20 = 118. In real time execution average entry price may be 97 hence the stoploss would be 117. Now the price may make a high of 117.50 taking out the stoploss in actual execution but the Stoploss is not hit in the backtest. A similar scenario can also play out for Targets. In majority of the cases this deviation can never be favorable, and may create negative divergences from the backtest results in the longer run.