System-Failure Control

• 11/07/2017 at 12:43 PM #51801
  TempusFugit

  I was considering to trade some systems in real and for that I would like to have some kind of system-failure control, some rules that stop a system when it´s not profitable, temporary or permanently.

  Something like: stop operating in real when the total result of the last 10 trades is negative, an restart when it goes back to green. A roughly analisys of this filter shows a decrease in DD but also a decrease of benefits, when there are benefits of course, if the system goes south this filter would avoid bigger losses.

  My question: Do you use some failure-control? If so how it works?

  

  TempusFugit

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  11/07/2017 at 9:17 PM #51866
  Leo

  This is what I use if things are going wrong, even if things were good at the beginning and then start to be wrong

  Quit the program

  //QUIT THEN ROBOT //totalrisk=100 //money maximum to risk Q=MAX(Q,STRATEGYPROFIT) R=Q-STRATEGYPROFIT IF R > totalrisk THEN QUIT ENDIF IF STRATEGYPROFIT < (-1* totalrisk) THEN QUIT ENDIF

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  //QUIT THEN ROBOT //totalrisk=100 //money maximum to risk     Q=MAX(Q,STRATEGYPROFIT) R=Q-STRATEGYPROFIT IF R > totalrisk THEN QUIT ENDIF   IF STRATEGYPROFIT < (-1* totalrisk) THEN QUIT ENDIF

   

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  Leo

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  11/08/2017 at 10:00 AM #51901
  Vonasi

  Great ‘Fuse’ coding Leo. I’ll add that to my armoury.

  Another idea is trading an average of the strategy profit curve:

  https://www.prorealcode.com/blog/trading-strategy-profit-curve/

   

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  11/08/2017 at 7:32 PM #52005
  TempusFugit

  Leo, if understand the code well it stops the system when a fixed DrawDown is reached (“totalrisk”), isn´t it?. Thanks for sharing, I like the idea. Do you restart the system at some point?

  Vonasi, thanks, that´s also another good way

  

  TempusFugit

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  11/09/2017 at 12:32 AM #52016
  Despair

  Trading an average of the equity curve or similar will only yield good results if there is serial correlation between the trades. This is true for only very few strategies.

  

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  11/09/2017 at 8:10 AM #52024
  Leo

  Hi Tempus, if an strategy quits by using this code, then something is wrong… then I rewrite, backtest, etc, etc, etc… until I improve the system.

  Cheers

  

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  11/09/2017 at 10:07 AM #52064
  Nicolas

  Despair wrote:

  Trading an average of the equity curve or similar will only yield good results if there is serial correlation between the trades. This is true for only very few strategies.

  Right, I wrote an interesting article about this last year: https://www.prorealcode.com/blog/trading-strategy-profit-curve/

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