Hello Zilliq,

how can you get only one variable for all your money management ? i mean, there is many things to eventually optimise : Trailing steps, trailing start, ATR period, , SL, Take Profit.

The only possibility i see it’s you using ATR Trailing stop with defined period, start and step, without TP. You only optimise %SL. Am i wrong ?

Thank you for your awarness about strategies simplicity.

Hi Zilliq,

I like your approach, and I have been doing something similar over the last couple of weeks, with things seeming to work at this stage.

I have given up on the set and forget forever bot – tried to make, love to have, but I can’t see it happening.

If I have to revise parameters every couple of days, or at the end of the week – then so be it – I’ll do what I have to to stay in profit.

I do agree though, it is a fine line between making something that works in the future, and having an oh so splendid looking backtest that doesn’t give you anything when you trade it.

The 3 or so parameters seems to be the number that works for me too at this stage – 15min or so to set up something simple.

Just an idea though – voicing something that you’re probably already doing. Just another form of risk management, but on an account level. How much do you want to risk on your new set of numbers, and when do you decide that your new set of numbers isn’t working anymore after you’re in profit. Drop in at the end of a code.

Thanks for your posts, they are interesting reading, and food for thought.

dollars = 1000 //your account balance
account = dollars + StrategyProfit

ha = highest[max(1,barindex)](account)

if (account>dollars) and (account < ha*0.9) then   //what is your biggest drawdown from your highest account profit - how much drawdown of profit do you want to lose until you admit there is a problem? Keep the money you make.
sell at market
exitshort at market
quit
else
if (account<dollars) and (account < ha*0.95) then  //how much of your account do you want to try on your new set of numbers?? 5% of capital in this case - this number really should be 2%, meaning you should have the finances to be able to run this number @ 2%
sell at market
exitshort at market
quit
endif
endif

if date >= 20200912 and not onmarket then  //quit after this date after the last open position is closed - you don't want to force close a potential ongoing profit - forces you to reassess your numbers
quit
endif

Hi Zilliq,

“The How much do you want to risk on your new set of numbers” wasn’t necessarily a question to you, but I was trying to define a possible answer to that question with the supplied code. Yes i was just throwing an idea about – not a recommendation, as I’m sure you know what you’re doing, and you didn’t ask. It is just something that I use with a strategy when I’m not sure how long it’s going to last/be valid for, so I know where I stand in terms of account risk if the strategy decides to go bad.

When you say 10% risk, is that 10% of your capital for use as margin, or is that 10% of your capital as a stop loss risk? I use 2% normally for margin risk, and if a strategy lives with 10% margin risk it may possibly be a good sign that it’s robust.

I also try and stay with a 2% of account stop loss risk, though this always varies a little bit.

The idea behind my above post, as, since it’s strategyprofit based, was to 1:- limit account drawdown from the trading method, and, 2: – try to protect made profits. It doesn’t take into account the amount of margin that is used by the strategy.

I do have a question though, with your ATR money management:

Do you do something of the sorts like:

set target profit ATR*X
set stop loss ATR*X

keeping a 1:1 risk:reward ratio, or is it something more elaborate than that? I know you can’t give away too much, but any hints are appreciated.

I do fully agree that money management is a centrepiece of any strategy, and it’s something that I focus a lot on.

Also, I noted your use of ADX to help define the market – do you have any other things that you use for the same purpose/any other hints??

Thanks,

Finning