Dear Traders and Coders,
I’ve coded a system that takes very short term entries using a simple moving average cross over, but also looks at the higher time frame to filter the direction it takes.
I also use the ATR as the value for a trailing stop loss.
My question is this:
Is there a way to adjust bet size so that it’s 0.5% of account equity for each trade?
This would need to take the ATR value and account equity into account and then adjust the bet size accordingly for each trade.
Here is what I’ve cobbled together so far:
//Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
//Check for trend on higher timeframe
timeframe(1 day,updateonclose)
emaHTF100 = ExponentialAverage[100]
emaHTF200 = ExponentialAverage[200]
C1= (close > emaHTF100)
C3= (close < emaHTF100)
C5= (close < emaHTF200)
C6= (close > emaHTF200)
// Conditions to enter long positions
timeframe(default)
indicator1 = ExponentialAverage[5]
indicator2 = ExponentialAverage[20]
C2= (indicator1 CROSSES OVER Indicator2)
IF CountOfPosition < 2 AND C1 AND C2 THEN
BUY 1 PERPOINT AT MARKET
ENDIF
// Conditions to enter short positions
timeframe(default)
C4= (indicator1 CROSSES UNDER Indicator2)
IF CountOfPosition < 2 AND C3 AND C4 THEN
SELLSHORT 1 PERPOINT AT MARKET
ENDIF
// TRAILING STOP
myATR = 5* averagetruerange[14](close)
//trailing stop
SET STOP TRAILING myATR
Many Thanks
Matt
//Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
//Check for trend on higher timeframe
timeframe(1 day,updateonclose)
emaHTF100 = ExponentialAverage[100]
emaHTF200 = ExponentialAverage[200]
C1= (close > emaHTF100)
C3= (close < emaHTF100)
C5= (close < emaHTF200)
C6= (close > emaHTF200)
// Conditions to enter long positions
timeframe(default)
indicator1 = ExponentialAverage[5]
indicator2 = ExponentialAverage[20]
C2= (indicator1 CROSSES OVER Indicator2)
IF CountOfPosition < 2 AND C1 AND C2 THEN
BUY PositionSize CONTRACTS AT MARKET
ENDIF
// Conditions to enter short positions
timeframe(default)
C4= (indicator1 CROSSES UNDER Indicator2)
IF CountOfPosition < 2 AND C3 AND C4 THEN
SELLSHORT PositionSize CONTRACTS AT MARKET
ENDIF
REM Money Management
Capital = 50000
Risk = 0.005
StopLoss = myATR
REM Calculate contracts
equity = Capital + StrategyProfit
maxrisk = round(equity*Risk)
PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)
// TRAILING STOP
myATR = 5* averagetruerange[14](close)
//trailing stop
SET STOP TRAILING myATR
This was my attempt, it seems to work, but the worst trade is always larger than 5% of 50,000. So that makes me think that at some point it’s not always doing it right. Because with a trailing SL the absolute maximum starting risk should be at £250 (5% of £50k) and often when booking a losing trade it would have moved into profit at least a bit and this would then have trailed the stop up meaning the ‘Loss of Worst Trade’ should always be under £250 regardless of the number of points the trailing stop loss used (taking 5x ATR as the max/start point).
Anybody have any other suggestions or alternatives methods?
Cheers
Try adding this snippet between lines 14 and 15 of your first code:
ONCE Capital = 10000
ONCE PerCent = 0.5 //0.5%
Equity = Capital + StrategyProfit
Risk = -(Equity * PerCent / 100)
CurrentGain = PositionPerf * PositionPrice * PipValue
IF CurrentGain <= Risk THEN
SELL AT Market
EXITSHORT AT Market
ENDIF
it exits as soon as the current loss reaches your RISK level. Of course on a low TF this will be quite accurate, while on a higher TF (such as 1+ hour) the loss can easily exceed your planned risk (MTF might help much in this case).
Change your Capital as needed.
0,5% is quite low, it may turn your code into a hugely losing strategy.
Thank you for the reply Roberto. I’ve added that snippet to the existing code, and added a few time restrictions. So now the code looks like this:
//Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
// Prevents the system from creating new orders to enter the market or increase position size before the specified time
noEntryBeforeTime = 080000
timeEnterBefore = time >= noEntryBeforeTime
// Prevents the system from placing new orders to enter the market or increase position size after the specified time
noEntryAfterTime = 190000
timeEnterAfter = time < noEntryAfterTime
//Check for trend on higher timeframe
timeframe(1 day,updateonclose)
emaHTF100 = ExponentialAverage[100]
emaHTF200 = ExponentialAverage[200]
C1= (close > emaHTF100)
C3= (close < emaHTF100)
C5= (close < emaHTF200)
C6= (close > emaHTF200)
// Conditions to enter long positions
timeframe(default)
ONCE Capital = 50000
ONCE PerCent = 0.5 //0.5%
Equity = Capital + StrategyProfit
Risk = -(Equity * PerCent / 100)
CurrentGain = PositionPerf * PositionPrice * PipValue
IF CurrentGain <= Risk THEN
SELL AT Market
EXITSHORT AT Market
ENDIF
indicator1 = ExponentialAverage[5]
indicator2 = ExponentialAverage[20]
C2= (indicator1 CROSSES OVER Indicator2)
IF CountOfPosition < 2 AND (timeEnterBefore AND timeEnterAfter) AND C1 AND C2 THEN
BUY PositionSize CONTRACTS AT MARKET
ENDIF
// Conditions to enter short positions
timeframe(default)
C4= (indicator1 CROSSES UNDER Indicator2)
IF CountOfPosition < 2 AND (timeEnterBefore AND timeEnterAfter) AND C3 AND C4 THEN
SELLSHORT PositionSize CONTRACTS AT MARKET
ENDIF
REM Money Management
Capital = 50000
Risk = 0.005
StopLoss = myATR
REM Calculate contracts
equity = Capital + StrategyProfit
maxrisk = round(equity*Risk)
PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)
// TRAILING STOP
myATR = 5* averagetruerange[1000](close)
//trailing stop
SET STOP TRAILING myATR
It appears to be working, but it’s hard to tell as the backtest results at present on PRT seem to be giving some suspicious data back, occasionally only returning like 5 trades over 2 years, when clearly it should have easily placed hundreds. However, for the time being these are the results I’m seeing when run on the 5minute charts on the DOW.
One issue is line 61, since it is executed every bar, it changes while a trade is open, affecting the trailing stop each time. It should be left unchanged when OnMarket:
IF Not OnMarket THEN
myATR = 5* averagetruerange[1000](close)
ENDIF
another issue is line 64, since SET STOP TRAILING only sets a pace, not a start. Most people (and myself as well) use the redy-to-run snippet by Nicolas from lines 17 to 56 at https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/.
Do I also need to repeat this snippet to apply to the short trades too? Or does adding it in between lines 14 and 15 work for both long and short orders?
I’m afraid my novice skills are being tested here and I’m probably making more of a mess of it.
Using Nicholas’ trailing SL code and your snippet above, this is what I have. It’s incredibly profitable, but it’s not right haha.
//Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
// Prevents the system from creating new orders to enter the market or increase position size before the specified time
noEntryBeforeTime = 080000
timeEnterBefore = time >= noEntryBeforeTime
// Prevents the system from placing new orders to enter the market or increase position size after the specified time
noEntryAfterTime = 190000
timeEnterAfter = time < noEntryAfterTime
//Check for trend on higher timeframe
timeframe(1 day,updateonclose)
emaHTF100 = ExponentialAverage[100]
emaHTF200 = ExponentialAverage[200]
C1= (close > emaHTF100)
C3= (close < emaHTF100)
C5= (close < emaHTF200)
C6= (close > emaHTF200)
// Conditions to enter long positions
timeframe(default)
ONCE Capital = 50000
ONCE PerCent = 0.5 //0.5%
Equity = Capital + StrategyProfit
Risk = -(Equity * PerCent / 100)
CurrentGain = PositionPerf * PositionPrice * PipValue
IF CurrentGain <= Risk THEN
SELL AT Market
EXITSHORT AT Market
ENDIF
indicator1 = ExponentialAverage[5]
indicator2 = ExponentialAverage[20]
C2= (indicator1 CROSSES OVER Indicator2)
IF CountOfPosition < 2 AND (timeEnterBefore AND timeEnterAfter) AND C1 AND C2 THEN
BUY PositionSize CONTRACTS AT MARKET
ENDIF
// Conditions to enter short positions
timeframe(default)
C4= (indicator1 CROSSES UNDER Indicator2)
IF CountOfPosition < 2 AND (timeEnterBefore AND timeEnterAfter) AND C3 AND C4 THEN
SELLSHORT PositionSize CONTRACTS AT MARKET
ENDIF
REM Money Management
Capital = 50000
Risk = 0.005
StopLoss = myATR
REM Calculate contracts
equity = Capital + StrategyProfit
maxrisk = round(equity*Risk)
PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)
// TRAILING STOP
myATR = 5* averagetruerange[1000](close)
//************************************************************************
//trailing stop function
trailingstart = myATR //trailing will start @trailinstart points profit
trailingstep = 1 //trailing step to move the "stoploss"
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
//************************************************************************
There may well be some redundant code in there now, I really appreciate your help and patience here.
Cheers
It works for both Long and Short trades.
If you use MyATR then you have to change line 65:
trailingstart = myATR/PipSize
because MyATR is a (difference in) price, while that code requires pips.
It works fine as it is now with Nasdaq, Dax and other indices, but not with other instruments such as fx currency pairs.
