Calculate Position Size based on fixed risk (ie. $100)

Sascha · 2020-09-20T22:10:36+00:00

Hi, In the attached code I tried to calculate the position size based on a fixed risk of $100 with a profit target of $200. But for some reason it sometimes does it correctly and sometimes it doubles the position size which then for a losing trade causes twice as the defined loss (-$200) and also gets twice the profit (+$400) in case of a winning trade. This happens for long and short trades. I tested it on AUDUSD. I thought the code is correct (see line 105-132 and line 216-254) but there must be a mistake that I can’t see it. The second problem is, that when there is a long position and then a new short position is triggered, the long position will be closed. How can I avoid that? Thank you. Sascha

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09/20/2020 at 11:10 PM #144839 quote

Sascha
Participant

Average

Hi,

In the attached code I tried to calculate the position size based on a fixed risk of $100 with a profit target of $200. But for some reason it sometimes does it correctly and sometimes it doubles the position size which then for a losing trade causes twice as the defined loss (-$200) and also gets twice the profit (+$400) in case of a winning trade. This happens for long and short trades. I tested it on AUDUSD.

I thought the code is correct (see line 105-132 and line 216-254) but there must be a mistake that I can’t see it.

The second problem is, that when there is a long position and then a new short position is triggered, the long position will be closed. How can I avoid that?

Thank you.

Sascha

Decision.itf

09/21/2020 at 12:44 PM #144884 quote
Sascha
Participant

Average
```
//--------------LONG:

if (LongSetups AND LFiveDayCond55 AND NOT LongNoEntry AND NOT Events AND NOT Sun AND NOT Fri AND NOT LongOnMarket) then
ISL = 10000*(close-lowest[2](low) + LBuffer)
TradeRisk = pipvalue*ISL
ContractSize = 100/TradeRisk
BUY ContractSize SHARES AT market

// Stops and targets
SET STOP LOSS (close-lowest[2](low) + LBuffer)
SET TARGET PROFIT (close-lowest[2](low) + LBuffer)*2

ENDIF

//--------------SHORT:
if (ShortSetups AND SFiveDayCond55 AND NOT ShortNoEntry AND NOT Events AND NOT Sun AND NOT ShortOnMarket) then
ISL = 10000*(highest[2](high)-close + SBuffer)
TradeRisk = pipvalue*ISL
ContractSize = 100/TradeRisk
SELLSHORT ContractSize SHARES AT market

// Stops and targets
SET STOP LOSS (highest[2](high)-close + SBuffer)
SET TARGET PROFIT (highest[2](high)-close + SBuffer)*2

ENDIF
```
Hi,

This is the part of the code that should calculate the position size.

If anyone can find the mistake, I would be very grateful.

What it should do, is simply use the current close and the lowest low of the last two days as the initial stop loss (for a long trade) and use twice that risk as a profit target.

Thanks.
09/21/2020 at 12:55 PM #144886 quote

Nicolas
Keymaster

Legend

I don’t see any reason why it doubles the contract size. Are you sure you have set the cumulating orders to false?

In order to not order a contrarian order while you are already at market, just add “AND NOT ONMARKET” in your conditions lines 3 and 16.

Sascha thanked this post

09/21/2020 at 1:12 PM #144888 quote

Sascha
Participant

Average

Thank you Nicolas for your quick reply. You’re a genius. I indeed still had set the cumulating orders to True. It’s now not doubling anymore the position size.

Regarding a contrarian order: How can I allow a contrarian order to be placed without closing the existing order?

09/21/2020 at 2:00 PM #144893 quote

Nicolas
Keymaster

Legend

It is not possible to hedge position with ProOrder sorry. The only possibility is to divide your strategy into 2 separated ones, 1 for buy orders and 1 for sellshort orders.

Sascha thanked this post

02/26/2021 at 5:25 AM #162650 quote

s00071609
Participant

Senior

I have max risk set to $300, but this is giving me position size of 61 contract on NASDAQ. The order list shows 1 position with 2100$ loss. It has correct size in other orders. Why would it do this?

I have attached the image. The risk graph is flat meaning the risk is always $300, position size has spiked around the area. The largest spike in the image on 4th bar from where my cursor is 189 contracts size

02/26/2021 at 5:30 AM #162651 quote
s00071609
Participant

Senior
This is the code being used with accumulating order set to false
```
Timeframe (daily)
REM Money Management
Capital = 30000
Risk = 0.01

REM Calculate contracts
equity = Capital //+ StrategyProfit
maxrisk = round(equity*Risk)
PositionSize1 = (abs(((maxrisk/SL)/PointValue)*pipsize))
IF PositionSize1>10 then
PositionSize=Round(abs(((maxrisk/SL)/PointValue)*pipsize))
Else
Positionsize=Positionsize1
Endif
```
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ProOrder: Automated Strategies & Backtesting

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This topic contains 6 replies,
has 3 voices, and was last updated by s00071609
5 years, 7 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	09/20/2020
Status:	Active
Attachments:	1 files