When to stop a strategy and money management code snippet

• 10/11/2019 at 4:35 PM #109954
  Vonasi

  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

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  // 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

   

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  Vonasi

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  10/11/2019 at 9:27 PM #109976
  GraHal

  Added as Log 175 here …

  Snippet Link Library

   

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  10/24/2019 at 11:37 AM #111051
  jmf125

  Thanks for the great money management and auto stop strategy snippet. Simple but powerful at the same time.

   

  

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  10/24/2019 at 12:07 PM #111054
  jmf125

  I also forgot to ask Vonasi, shouldn’t the last if clause on position size be minimum instead of maximum.

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

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

   

   

  

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  10/24/2019 at 12:43 PM #111056
  Vonasi

  No. It is correct as it is. That line is to ensure that an order is never sent to market and then rejected because it is below the minimum order size allowed for the market.

  Set minpossize to whatever your broker allows as the smallest bet size for the instrument that you are trading.

  

  Vonasi

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  07/31/2021 at 9:51 AM #174433
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  With the Vonasi code. Reconfigure only so, if the average winning trades falls below 75% (example), the following trades are performed at half € pip than the last trade that was above 75% of the average winning trades. And if the average number of winning trades is above 75% again from now on, operate again at the usual € pip. And the same for if the drawdown is higher than 25%. Please!

   

  Serve as an example: The following code is used to operate at half € pip if the maxprofit is less than the maximum.

  ELEVEN MaxProfit = 0

  MaxProfit = max (MaxProfit, StrategyProfit)

  If MaxProfit> StrategyProfit Then

  Positionsize = max (1, Positionsize / 2)

  ENDIF

  

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  07/31/2021 at 9:53 AM #174434
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  That is, I do not want the system to shut down with the “quit” function, but what is specified in the previous post

  

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  07/31/2021 at 11:53 AM #174442
  robertogozzi

  Firstly you have to tally all trades
  Secondly you have to tally winning trades
  Thirdly you have to make a percentage of winning trades
  Finally you write the instructions to accomplish to get to your goal.
  There you go (it won’t be accurate if accumulating positions):

  DEFPARAM CumulateOrders = false ONCE AllTrades = 0 ONCE WinningTrades = 0 ONCE InitialLots = 2 ONCE LotSize = InitialLots MyGain = StrategyProfit // tally each trade t1 = OnMarket AND Not OnMarket[1] //it's a new trade t2 = Not OnMarket AND Not OnMarket[1] AND MyGain <> MyGain[1] //detect any 1-bar trade t3 = ShortOnMarket AND LongOnMarket[1] //it's a new trade (S & R) t4 = ShortOnMarket[1] AND LongOnMarket //it's a new trade (S & R) AllTrades = AllTrades + ((t1 OR t2 OR t3 OR t4) AND IsLastBarUpdate) // tally winning trades IF MyGain > MyGain[1] THEN WinningTrades = WinningTrades + 1 ENDIF // calculate % of winning trades IF AllTrades > 0 THEN WinPerCent = WinningTrades * 100 / AllTrades IF WinPerCent < 75 THEN LotSize = InitialLots * 0.5 //halve lotsize ELSE LotSize = InitialLots //restore initial lotsize ENDIF ENDIF IF MyLongConditions THEN BUY LotSize CONTRACTS AT Market ELSIF MyShortConditions THEN SELLSHORT LotSize CONTRACTS AT Market ENDIF

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  DEFPARAM CumulateOrders = false ONCE AllTrades     = 0 ONCE WinningTrades = 0 ONCE InitialLots   = 2 ONCE LotSize       = InitialLots MyGain             = StrategyProfit // tally each trade t1                 = OnMarket AND Not OnMarket[1]                              //it's a new trade t2                 = Not OnMarket AND Not OnMarket[1] AND MyGain <> MyGain[1]  //detect any 1-bar trade t3                 = ShortOnMarket AND LongOnMarket[1]                         //it's a new trade (S & R) t4                 = ShortOnMarket[1] AND LongOnMarket                         //it's a new trade (S & R) AllTrades          = AllTrades + ((t1 OR t2 OR t3 OR t4) AND IsLastBarUpdate) // tally winning trades IF MyGain > MyGain[1] THEN    WinningTrades = WinningTrades + 1 ENDIF // calculate % of winning trades IF AllTrades > 0 THEN    WinPerCent      = WinningTrades * 100 / AllTrades    IF WinPerCent < 75 THEN       LotSize      = InitialLots *  0.5      //halve lotsize    ELSE       LotSize      = InitialLots             //restore initial lotsize    ENDIF ENDIF IF MyLongConditions THEN    BUY LotSize CONTRACTS AT Market ELSIF MyShortConditions THEN    SELLSHORT LotSize CONTRACTS AT Market ENDIF

   

  

  robertogozzi

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  07/31/2021 at 12:02 PM #174444
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  Ok Roberto, thanks.

  And if  I have a drawdown of 25%???

  

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  07/31/2021 at 1:40 PM #174445
  robertogozzi

  What do you want to do in that case?

  

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  07/31/2021 at 2:19 PM #174447
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  The same.

  

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  07/31/2021 at 5:55 PM #174460
  robertogozzi

  There you go:

  DEFPARAM CumulateOrders = false DEFPARAM PreLoadBars = 0 ONCE InitialLots = 2 ONCE LotSize = InitialLots ONCE MaxPoint = 0 ONCE MaxDD = 0 ONCE Capital = 10000 ONCE p = 20 IF BarIndex > p THEN Equity = Capital + StrategyProfit MaxPoint = max(MaxPoint,Equity) DD = MaxPoint - Equity DDPerCent = DD / MaxPoint * 100 MaxDD = max(MaxDD,DD) MaxDDPerCent = MaxDD / MaxPoint * 100 Avg = average[p,0](close) IF DDPerCent > 25 THEN LotSize = InitialLots * 0.5 //halve lotsize ELSE LotSize = InitialLots //restore initial lotsize ENDIF IF close CROSSES OVER Avg THEN buy LotSize CONTRACTS at Market ELSIF close CROSSES UNDER Avg THEN SELLSHORT LotSize CONTRACTS AT Market ENDIF set target pprofit 100 set stop ploss 150 ENDIF graph DDPerCent graph LotSize coloured(255,0,0,255)

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  DEFPARAM CumulateOrders = false DEFPARAM PreLoadBars    = 0 ONCE InitialLots = 2 ONCE LotSize     = InitialLots ONCE MaxPoint    = 0 ONCE MaxDD       = 0 ONCE Capital     = 10000 ONCE p           = 20 IF BarIndex > p THEN    Equity        = Capital + StrategyProfit    MaxPoint      = max(MaxPoint,Equity)    DD            = MaxPoint - Equity    DDPerCent     = DD / MaxPoint * 100    MaxDD         = max(MaxDD,DD)    MaxDDPerCent  = MaxDD / MaxPoint * 100    Avg           = average[p,0](close)    IF DDPerCent > 25 THEN       LotSize    = InitialLots *  0.5      //halve lotsize    ELSE       LotSize    = InitialLots             //restore initial lotsize ENDIF IF close CROSSES OVER  Avg THEN    buy LotSize CONTRACTS at Market ELSIF close CROSSES UNDER Avg THEN    SELLSHORT LotSize CONTRACTS AT Market ENDIF set target pprofit 100 set stop   ploss   150 ENDIF graph DDPerCent graph LotSize coloured(255,0,0,255)

  

  robertogozzi

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  08/01/2021 at 7:13 PM #174527
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  Good Code Roberto!

   

  But i use only lines 10 to 15.

   

  Thanks!

  

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  08/01/2021 at 7:21 PM #174528
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  ok … a new question.

   

  How would it be if, depending on the% drawdown, I wanted to trade with fractions of position.

   

  That is, if there is no drawdown I operate with € 10 pip …

  If the drawdown does not exceed 10% I will operate at € 10 pip.

  If the drawdown is between 10%, 30% will operate with € 5 pip.

  If the drawdown exceeds 30% I will operate with € 2.5 pip.

  

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  08/01/2021 at 9:13 PM #174535
  robertogozzi

  You cannot change the value of pips traded, ad this depends on the chosen position instrument (eg.; Dax 25€, Dax 5€ or Dax 1€).

  You can change your stop loss (usually not recommended) or lot size.

   

  

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