What do you mean by “I get a return of 12000 for my system”?

If the STRATEGYPROFIT is equal to 2000, your equity variable is equal to 10.000 + 2000 = 12.000

This is the Money Management i use. It’s based on the margin cost and is fully adjustable as to how much profit you want to reinvest. This is set up for the DOW and it works up to the IG 2nd margin tier, should you be so lucky as to ever get up there.

If you set your startpositionsize based on how much of your working capital you want to use, then this will handle the strategyprofit part. You could conceivably reinvest 100% of strategyprofit but if your margin is 100% of total equity, you’ll get a margin call as soon as it moves against you.  ‘Factor’ is the variable that controls the percentage of strategyprofit. It actually works as a divisor, so it’s an inverse relation — higher the factor, lower percentage reinvested.

You will also need to check what leverage is offered for the instrument you are trading and the max position for each tier.

//Money Management DOW
MM = 1 // = 0 for optimization
if MM = 0 then
positionsize=1
ENDIF
if MM = 1 then
ONCE startpositionsize = .4
ONCE factor = f // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc
ONCE factor2 = 20 // tier 2 factor
ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE tier1 = 55 // DOW €1 IG first tier margin limit
ONCE maxpositionsize = 550 // DOW €1 IG tier 2 margin limit
ONCE minpositionsize = .2 // enter minimum position allowed
IF Not OnMarket THEN
positionsize = startpositionsize + Strategyprofit/(factor*margin)
ENDIF
IF Not OnMarket THEN
IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then
positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor2*margin2)) + tier1 //incorporating tier 2 margin
ENDIF
IF Not OnMarket THEN
if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN
positionsize = minpositionsize //keeps positionsize from going below allowed minimum
ENDIF
IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor2*margin2)) + tier1 > maxpositionsize then
positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit
ENDIF
ENDIF
ENDIF
ENDIF

GraHal wrote:

Whose code is above

It is – surprise surprise – of my very own device. Happy to take snippet credit, but even better if some True Coding Wiz could double check that it’s not doing anything grievously unintended.

I find that ‘doubting my ability’ is a very safe starting point. I’m so rarely disappointed!

SkippyTrader wrote:

why have you multiplied factor by margin?

because it wasn’t my intention to put all of the strategyprofit towards the new margin cost; factor of 20 means you are only reinvesting 1/20 of your gain. The factor value can be anything, depending on how aggressively you want to reinvest your profits. If you really want to use all of it then you could have a factor of 1 … but I think you’ll find that will blow up your account. Try optimising f with MM switched on, see what happens.

I am not using that MM any more, but when I was using it I found that anything less than 10 was trouble (in real world trading). A lot will depend on your particular strategy, the WIN%, Risk/Reward ratio and the general distribution of losses.

Rounding is definitely a good idea but I round to 2 decimal places and IG seem okay with it.

I think that IG Oz (and most other places) have leverage of 0.05 for both tier 1 and 2 so you could simplify it by removing margin2, factor2 etc…