System-Failure Control

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  • 11/07/2017 at 12:43 PM #51801 quote
    TempusFugit
    Participant
    Veteran

    I was considering to trade some systems in real and for that I would like to have some kind of system-failure control, some rules that stop a system when it´s not profitable, temporary or permanently.

    Something like: stop operating in real when the total result of the last 10 trades is negative, an restart when it goes back to green. A roughly analisys of this filter shows a decrease in DD but also a decrease of benefits, when there are benefits of course, if the system goes south this filter would avoid bigger losses.

    My question: Do you use some failure-control? If so how it works?

    11/07/2017 at 9:17 PM #51866 quote
    Leo
    Participant
    Veteran

    This is what I use if things are going wrong, even if things were good at the beginning and then start to be wrong

    //QUIT THEN ROBOT
//totalrisk=100 //money maximum to risk  

Q=MAX(Q,STRATEGYPROFIT)
R=Q-STRATEGYPROFIT
IF R > totalrisk THEN
QUIT
ENDIF

IF STRATEGYPROFIT < (-1* totalrisk) THEN
QUIT
ENDIF
    TempusFugit thanked this post
    11/08/2017 at 10:00 AM #51901 quote
    Vonasi
    Moderator
    Master

    Great ‘Fuse’ coding Leo. I’ll add that to my armoury.

    Another idea is trading an average of the strategy profit curve:

    https://www.prorealcode.com/blog/trading-strategy-profit-curve/

    TempusFugit thanked this post
    11/08/2017 at 7:32 PM #52005 quote
    TempusFugit
    Participant
    Veteran

    Leo, if understand the code well it stops the system when a fixed DrawDown is reached (“totalrisk”), isn´t it?. Thanks for sharing, I like the idea. Do you restart the system at some point?

    Vonasi, thanks, that´s also another good way

    11/09/2017 at 12:32 AM #52016 quote
    Despair
    Blocked
    Master

    Trading an average of the equity curve or similar will only yield good results if there is serial correlation between the trades. This is true for only very few strategies.

    11/09/2017 at 8:10 AM #52024 quote
    Leo
    Participant
    Veteran

    Hi Tempus, if an strategy quits by using this code, then something is wrong… then I rewrite, backtest, etc, etc, etc… until I improve the system.

    Cheers

    11/09/2017 at 10:07 AM #52064 quote
    Nicolas
    Keymaster
    Master
    Despair wrote:

    Trading an average of the equity curve or similar will only yield good results if there is serial correlation between the trades. This is true for only very few strategies.

    Right, I wrote an interesting article about this last year: https://www.prorealcode.com/blog/trading-strategy-profit-curve/

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System-Failure Control


General Trading: Market Analysis & Manual Trading

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TempusFugit @tempusfugit Participant
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This topic contains 6 replies,
has 5 voices, and was last updated by Nicolas
8 years, 3 months ago.

Topic Details
Forum: General Trading: Market Analysis & Manual Trading
Language: English
Started: 11/07/2017
Status: Active
Attachments: No files
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