Code for bet size as Equity % using ATR

• 04/27/2021 at 10:10 AM #168163
  AugustusKing

  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:

  Needs Custom % Bet Sizing

  //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

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  //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

  

  AugustusKing

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  04/27/2021 at 12:13 PM #168168
  AugustusKing

  My Attempt

  //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

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  //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

  

  AugustusKing

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  04/27/2021 at 3:15 PM #168218
  robertogozzi

  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

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  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.

   

   

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  AugustusKing

  

  robertogozzi

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  04/28/2021 at 5:14 PM #168302
  AugustusKing

  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:

  Updated Code

  //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

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  //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.

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  robertogozzi

  

  AugustusKing

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  04/28/2021 at 6:02 PM #168306
  robertogozzi

  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

  1 2 3

  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/.

   

   

  

  robertogozzi

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  04/28/2021 at 6:41 PM #168308
  AugustusKing

  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.

  My Picaso Code

  //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 //************************************************************************

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  //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

  

  AugustusKing

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  04/28/2021 at 7:11 PM #168309
  robertogozzi

  It works for both Long and Short trades.

  If you use MyATR then you have to change line 65:

  trailingstart = myATR/PipSize

  1	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.

   

  

  robertogozzi

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