Time in the market is an important factor – often it is good to give a trade time to achieve what you expect but increased time on the market can also be increased risk exposure. I got thinking about this and decided to write some code to vary the exposure to risk as a strategy trades and came up with the following that I post here just in case it is of interest to anyone. It is not a complete strategy – you have to enter your own long and short entry conditions to make it work! I created it around an end of day strategy idea but it should work on other time frames. In the following description I refer to ‘days’ but you might want to think in candles for other time frames.

The idea is that you can set a maximum number of days that you want a trade to stay open (minD) and then get out as soon as a candle closes in profit or time runs out as you reach the maximum number of days. If it is a profitable trade then the exposure time for the next trade is increased by one day. This continues up to a maximum number of days which is maxD. If a trade is a losing trade then the number of days is reset back to minD.

There is also an averaging down part of the code which can be turned on or off by setting ‘AverageDown’ to 1 or 0. With this turned on if we are in a trade already and it is losing and entry conditions are true again then an extra position is opened. Normally this would be a dangerous game but our maximum days allowed in the market allows us to reduce our potential risk as we can only lose as much as a market would normally move from our average price in our maximum allowed number of days (we hope!).

There is also ‘PositionSizing’ that can be turned on or off too. With it on the first position is opened at whatever we set ‘StartPositionSize’ at and then if we average down the size of the next trade is increased based on however many days is our current maximum allowed. Be warned that turning PositionSizing on can be very scary for your bank account!

With a very simple set of price action entry conditions and position sizing turned off I was able to get the attached equity curve in the first image on EURUSD Daily with minD of 2 and maxD of 6.

Please be aware that this was just an interesting experiment in the effects of adjusted market exposure based on trading performance and not a suggested way of going about trading – especially the averaging down with adjusted position sizing turned on – please see the very scary draw down in the second image as a warning!

Enter your own long and short conditions in lines 7 and 8.

AverageDown = 1 //0=Off 1=On Turn on or off averaging down
PositionSizing = 0 //0=Off 1=On Turn on or off position sizing
StartPositionSize = 1 //Starting Position Size
mind = 2 //Minimum candles on market
maxd = 6 //Maximum candles on market

LongConditions = (Your Long Conditions)
ShortConditions = (Your Short Conditions)

once d = mind

//exit if in profit
if longonmarket and close > positionprice then
sell at market
d = min(d + 1,maxd)//extend time allowed in market after a win
endif

if shortonmarket and close < positionprice then
exitshort at market
d = min(d + 1,maxd)//extend time allowed in market after a win
endif

//exit if time is up
if longonmarket and barindex - startindex = d then
sell at market
endif

if shortonmarket and barindex - startindex = d then
exitshort at market
endif

//Reset time allowed on market to minimum after a loss
if strategyprofit < strategyprofit[1] then
d = mind
endif

//Buy first long position
if not longonmarket and LongConditions then
positionsize = StartPositionSize
buy positionsize contract at market
startindex = barindex
endif

//Buy extra long position if in a loss and conditions met again
if longonmarket and LongConditions and close < positionprice and averagedown then
if positionsizing then
positionsize = positionsize + (startpositionsize * d)
endif
buy positionsize contract at market
endif

//Buy first short position
if not shortonmarket and ShortConditions then
positionsize = StartPositionSize
sellshort positionsize contract at market
startindex = barindex
endif

//Buy extra short position if in a loss and conditions met again
if shortonmarket and ShortConditions and close > positionprice and averagedown then
if positionsizing then
positionsize = positionsize + (startpositionsize * d)
endif
sellshort positionsize contract at market
endif

graph positionsize

Screenshot_2.png Screenshot_3.png