Exit trade first profitable price over entry

first_profitable_exit.jl

###############################################################
# exit first profitable price over entry
# exit after fixed bars (max_hold) if no profitable trade
###############################################################
signal = [0, 1, 1, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0]
close = [10,10,8,3,14,5,6,2,4,22,2,1,1,1,10,3,3,3,3,3,3,30]

first_prof = zero(signal)
max_hold = 6
for i = 1:length(signal) # 1:length(signal)-1 if buying next bar at open
    if signal[i] == 1
        first_prof[i] == 1
        entry_price = close[i]  # note if buy next bar open, change to open[i+1] to represent buying 1x bar ahead at open
        j=i
        n_travel = 0
        while(close[j] <= entry_price)
            n_travel = n_travel + 1
            if n_travel == max_hold # set maximum bars to hold without a profitable trade
                break
            end
            if j >= length(signal) # Check if n is bigger than the length of signal, if true break
                break
            end
                first_prof[j] = 1
            j = j + 1
            if close[j] >= entry_price  # include the bar that is higher than entry price
                first_prof[j] = 1
            end
end
j=1
end
end

###############################################################
# Do not carry trades over last bar of trade ie into evening or next day session
# exit first profitable price over entry
# exit after fixed bars (max_hold) if no profitable trade
###############################################################
signal = [0, 1, 1, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0]
close = [10,10,8,3,14,5,6,2,4,22,2,1,1,1,10,3,3,3,3,3,3,30]
time = ["09:00","09:30","10:00","10:30","11:00","11:30","12:00","12:30","13:00","13:30","14:00","14:30","15:00","09:00","09:30","10:00","10:30","11:00","11:30","15:00","12:30","13:00"]

first_prof = zero(signal)
max_hold = 6
for i = 1:length(signal) # 1:length(signal)-1 if buying next bar at open
    if signal[i] == 1
        first_prof[i] == 1
        entry_price = close[i] # note if buy next bar open, change to open[i+1] to represent buying 1x bar ahead at open
        j=i
        n_travel = 0
        while(close[j] <= entry_price)
            n_travel = n_travel + 1
            if n_travel == max_hold # set maximum bars to hold without a profitable trade
                break
            end
            if j >= length(signal) # Check if n is bigger than the length of signal, if true break
                break
            end
            if time[j] == "15:00"
                break
            end
                first_prof[j] = 1
            j = j + 1
            if close[j] >= entry_price  # include the bar that is higher than entry price
                first_prof[j] = 1
            end
end
j=1
end
end