ProRealAlgos
ProBacktest/probacktest · proorder

COUNTOFLONGSHARES

COUNTOFLONGSHARES returns the number of units held long by a ProBacktest or ProOrder strategy, used to cap position size when accumulating multiple orders.

Syntax

probuilder
COUNTOFLONGSHARES

How it works

The function reads the open position and returns an integer: the quantity of units held on the long side at the moment of evaluation. It requires no parameters and no parentheses. When the strategy is flat or short, it returns 0.

The count is expressed in units, not in trades. A single order of 3 contracts and three cumulated orders of 1 contract both return 3. To reason about individual entries, combine it with TRADEINDEX and TRADEPRICE, which address orders by their index.

The typical context is a strategy with DEFPARAM CumulateOrders = true, where several entry orders can stack into one position. Comparing COUNTOFLONGSHARES against a ceiling before each additional BUY keeps total exposure within a planned limit. The short-side equivalent is COUNTOFSHORTSHARES, and COUNTOFPOSITION reports the signed size of whatever position is open.

Examples

Example 1, Pyramiding capped at three units (ProBacktest)

probuilder
DEFPARAM CumulateOrders = true

myMACD = MACD[12,26,9](close)
long = myMACD crosses over 0

// First entry when flat
IF NOT LongOnMarket AND long THEN
    BUY 1 CONTRACTS AT MARKET
ENDIF

// Allow additions only while holding three units or fewer
MAXSHARES = COUNTOFLONGSHARES <= 3

// Add a unit if the last entry is seasoned and in profit
IF TRADEINDEX(1) > 5 AND Close - TRADEPRICE(1) > 10 AND LongOnMarket AND MAXSHARES THEN
    BUY 1 CONTRACTS AT MARKET
ENDIF
SET STOP TRAILING 50

The strategy opens on a MACD cross, then adds one contract at a time while the running count stays at three or fewer, the last entry is at least five bars old, and price has moved 10 points beyond it.

Example 2, Hard exposure ceiling before every addition (ProOrder)

probuilder
DEFPARAM CumulateOrders = true

trendUp = close > Average[100](close)
pullback = RSI[7](close) < 35

// Never hold more than 5 units long
IF trendUp AND pullback AND COUNTOFLONGSHARES < 5 THEN
    BUY 1 CONTRACT AT MARKET
ENDIF
SET STOP %TRAILING 2

Each pullback in an uptrend adds one unit, but the condition on COUNTOFLONGSHARES guarantees the stacked position never exceeds five units.

Example 3, Scaling out once the position is large (ProOrder)

probuilder
DEFPARAM CumulateOrders = true

IF close crosses over Average[50](close) AND COUNTOFLONGSHARES < 4 THEN
    BUY 1 CONTRACT AT MARKET
ENDIF

// When fully loaded and momentum fades, shed one unit
IF COUNTOFLONGSHARES >= 4 AND RSI[14](close) crosses under 70 THEN
    SELL 1 CONTRACT AT MARKET
ENDIF
SET STOP %LOSS 3

The count drives both directions: it gates new entries below four units and triggers a partial exit once the position is fully built and momentum turns.

Common errors and gotchas

  • Units, not trades. The return value counts shares, contracts or lots, not the number of entry orders. A strategy buying 2 contracts per signal reaches a cap of 6 after three signals, not after six.
  • Pointless without cumulated orders. With the default CumulateOrders = false, a strategy holds at most one entry at a time, so the function only ever returns that single order's quantity or 0. Pyramiding logic needs DEFPARAM CumulateOrders = true to matter.
  • Zero when short or flat. The function ignores short exposure entirely and returns 0. Testing COUNTOFLONGSHARES = 0 does not mean the strategy is flat; combine with ONMARKET or COUNTOFSHORTSHARES for the full picture.
  • Evaluated at bar time. The count reflects filled orders as of the current bar. An order sent this bar but not yet executed is not included, so back-to-back additions in one bar can overshoot a cap checked earlier in the code.