Following on from a conversation about how to know when to stop an auto-trading strategy in another thread:

https://www.prorealcode.com/topic/when-to-stop-a-live-automated-system/

I decided to try and code something that could automate the whole idea. I also decided to add in some simple money management too. The code below can be added to a strategy and then ‘positionsize’ used for the number of contracts in any buy or sellshort order.

The code works by checking every so many bars how the strategy is performing. It can check the following:

• The win rate (after a minimum number of trades have happened) and then stop the strategy if the win rate is below a minimum desired win rate.
• The draw down. If equity has dropped by a set percentage or more from the maximum profit ever achieved then the strategy is stopped.
• The remaining capital. If the starting capital is reduced by a maximum allowed percentage then the strategy is stopped.
• The percentage profit increase or decrease since the last position size adjustment. If the equity has risen or dropped by the set percentage or more then position size is increased or reduced to stay the same percentage of equity as it was percentage of capital when the strategy was first started.

If using it then you have to be aware that decisions to quit or alter position size are only made on closed trades and only on every ‘barsbeforenextcheck’ bar and so a big losing trade still open is not taken into consideration and a bad losing run between checks can still wipe you out just before the strategy stops itself.

Levels should be set based on your back test performance. For example if your strategy has a win rate of 60% then you might consider having it stop if win rate is halved at 30% as it is most likely under performing and you need to re-optimise it or just decide that it was over fitted and bin it.

Hopefully this code is of use to someone.

// Strategy Stopper and Money Management
// By Vonasi
// 20191011

barsbeforenextcheck = 22  // number of bars between performance checks
drawdownquitting = 1      // drawdown quitting on or off (on=1 off=0)
winratequit = 25          // minimum win rate allowed before quitting (0 = off)
tradesbeforewrquit = 10   // number of trades required before a win rate stop of strategy is allowed to happen
increase = 1              // position size increasing on or off (on=1 off=0)
decrease = 1              // position size decreasing on or off (on=1 off=0)
capital = 10000           // starting capital
startingsize = 1          // starting position size
minpossize = 0.2          // minimum position size allowed
gaintoinc = 5             // % profit rise needed before an increase in position size is made
losstodec = 5             // % loss needed before a decrease in position size is made
maxdrawdown = 25          // maximum % draw down allowed from highest ever equity before stopping strategy
maxcapitaldrop = 60       // maximum % starting capital lost before stopping strategy

once positionsize = startingsize
once psperc = positionsize / capital

if strategyprofit <> strategyprofit[1] then
highestprofit = max(strategyprofit, highestprofit)

if winratequit then
count = count + 1
if strategyprofit > strategyprofit[1] then
win = win + 1
endif
winrate = win/count

if count >= tradesbeforewrquit then
if winrate < winratequit/100 then
quit 
endif
endif
endif
endif

if barindex mod barsbeforenextcheck = 0 then
if drawdownquitting then
if highestprofit <> 0 then
if (capital + strategyprofit) <= (capital + highestprofit) - ((capital + highestprofit)*(maxdrawdown/100)) then
quit
endif
endif

if highestprofit = 0 then
if (capital + strategyprofit) <= capital - (capital * (maxcapitaldrop/100)) then
quit
endif
endif
endif

equity = capital + strategyprofit

if increase then
if equity/lastequity >= (1+(gaintoinc/100)) then
positionsize = (max(minpossize,equity*psperc))
lastequity = equity
endif
endif

if decrease then
if equity/lastequity <= (1-(losstodec/100)) then
positionsize = (max(minpossize,equity*psperc))
lastequity = equity
endif
endif
endif