Compounding interest – increase position size automatically

• 05/06/2018 at 1:50 PM #69891
  AlgoAlex

  Everyone sooner or later everyone get in touch with the “holy grail” of trading, the compound interest.

  Far from a philosophical discussion, I would like to share and discuss available codes in PRT to develope it in automatic trading.

  At the moment I only know this:

  n= 1+(ROUND((strategyprofit)/2500)) //every 2500 add a contract //where buy n contracts at market

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  n= 1+(ROUND((strategyprofit)/2500))  //every 2500 add a contract   //where buy n contracts at market

  Is it possible to make a percentage version? When equity reaches 3% profit it adds n contracts? Do you know other alternatives?

  

  AlgoAlex

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  05/06/2018 at 3:17 PM #69892
  robertogozzi

  First you have to set up your initial equity and number of lots, later, when NOT OnMarket check if strategyprofit is > 3% of your equity and act accordingly:

  ONCE MyEquity = 10000 ONCE nLots = 1 IF Not OnMarket THEN IF Strategyprofit >= (MyEquiti * 1.03) THEN MyEquity = Strategyprofit nLots = nLots + 1 ENDIF ENDIF

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  ONCE MyEquity = 10000 ONCE nLots    = 1 IF Not OnMarket THEN    IF Strategyprofit >= (MyEquiti * 1.03) THEN       MyEquity = Strategyprofit       nLots = nLots + 1    ENDIF ENDIF

  You must be aware that after increasing 3%, your equity could fall by 5% and you might want to decrease  the number of lots you are trading.

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  AlgoAlex

  

  robertogozzi

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  05/06/2018 at 5:43 PM #69901
  AlgoAlex

  Thanks a lot Roberto.

  You must be aware that after increasing 3%, your equity could fall by 5% and you might want to decrease  the number of lots you are trading.

  Is it possible to code?

   

  

  AlgoAlex

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  05/06/2018 at 11:26 PM #69905
  robertogozzi

  There you go

  ONCE MyEquity = 10000 ONCE nLots = 1 IF Not OnMarket THEN IF Strategyprofit >= (MyEquity * 1.03) THEN MyEquity = Strategyprofit nLots = nLots + 1 ELSIF Strategyprofit <= (MyEquity * 0.97) THEN MyEquity = Strategyprofit nLots = nLots - 1 nLots = max(1, nLots) //do not allow nLots to fall below 1 ENDIF ENDIF

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  ONCE MyEquity = 10000 ONCE nLots    = 1 IF Not OnMarket THEN    IF Strategyprofit >= (MyEquity * 1.03) THEN       MyEquity = Strategyprofit       nLots = nLots + 1    ELSIF Strategyprofit <= (MyEquity * 0.97) THEN       MyEquity = Strategyprofit       nLots = nLots - 1       nLots = max(1, nLots)    //do not allow nLots to fall below 1    ENDIF ENDIF

   

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  robertogozzi

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  05/07/2018 at 9:35 AM #69913
  GraHal

  Above added to

  Snippet Link Library

  Thank You Roberto

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  robertogozzi

  

  GraHal

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  05/07/2018 at 5:45 PM #69954
  Leo

  I use this

  // RISK CONTROL IF THINGS ARE GOING WONDERFULL n = 1 + (strategyprofit / (17*pipvalue)) n=SQRT(n) n = round(n * 100) n = n / 100 n = max(1,n)

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  // RISK CONTROL IF THINGS ARE GOING WONDERFULL n = 1 + (strategyprofit / (17*pipvalue)) n=SQRT(n) n = round(n * 100) n = n / 100 n = max(1,n)

  When the code wins 17*4=68 pips then it duplicate the size of lot.

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  robertogozzi

  

  Leo

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  05/07/2018 at 7:09 PM #69963
  GraHal

  Above added to 

  Snippet Link Library.

  I can’t see where the *4 comes from, but maybe I need to think about it more do I? 🙂

  

  GraHal

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  05/07/2018 at 7:47 PM #69968
  robertogozzi

  I tried to figure out what 4 stands for, as well, since I’m not a fan of maths.

  I guess it has to do with the square root. If you are trading 4 contracts and want to double that number, if you take the square root if, which is two, then you’ll have to multiply it by 4 to get the correct number. Maybe GRAPH (or Leo) could help!

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  robertogozzi

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  05/08/2018 at 7:34 AM #69981
  Leo

  Hi all,

  welll actually is not a 4, haha sorry.

  Look, the code is based in the strategy profit. Therefore I do not want something linear because when it wins the next trade is quite high. Which I choose and works well is the root fuction. Normally a trade quite small amount and very short period of times.

  Lets say, in this example (with strategyprift/17), when the code wins 17 pips then the next trade is 1+17/7=2 then root of 2 is 1.41… the next trade opens 1.41 lots

  next trade win another 17 pips, then 1+34/17=3, root of 3 equal 1.73. Next trade will open with 1.73 lots

  next trade win another 17 pips, it means that the strategy profit is 3 times 17 so, 1+51/17=4, root of 4 is 2 then

  when the strategy is 3 times the 17 then it opens 2 lots.

  in summary if the initial n=1 and you want to duplicate the number of lot after certain number of pips winning, then take the number of pips you desire divided by 3 and remplace the 17 in the code. For example. My initial lot is 1, after 100 winning pips I want to duplicate the number of lot by 2 then, the fist line of the code will be

  N=1+(strategyprofit/(33*pipvalue))

  hope I clarify the code.

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  Leo

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