When to stop a strategy and money management code snippet

Vonasi · 2019-10-11T15:35:53+00:00

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 0 then if (capital + strategyprofit) = (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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08/03/2021 at 9:53 PM #174637 quote

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Wow, the drawdown code is good, but it hasn’t had the desired effect.

Another question:

If in the last 10 operations the winrate is higher than 80%, operate with the usual amount of € pip.

If in the last 10 trades the winrate is less than 80%, trade with half the usual amount of € pip.

I need code … thanks!

08/05/2021 at 5:24 PM #174768 quote

robertogozzi

Moderator

Legend

There you go:

DEFPARAM CumulateOrders = false
ONCE AllTrades     = 0
ONCE WinningTrades = 0
ONCE InitialLots   = 2
ONCE LotSize       = InitialLots
ONCE Trades        = 10                    //10  trades in a row over 80%
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 > Trades THEN
   WinPerCent      = WinningTrades * 100 / AllTrades
   IF summation[Trades](WinPerCent > 80) = Trades THEN
      LotSize      = InitialLots             //restore initial lotsize
   ELSE
      LotSize      = InitialLots *  0.5      //halve lotsize
   ENDIF
ENDIF
ONCE Periods      = 10
MyLongConditions  = close crosses over  average[Periods] AND Not OnMarket
MyShortConditions = close crosses under average[Periods] AND Not OnMarket
IF MyLongConditions THEN
   BUY LotSize CONTRACTS AT Market
ELSIF MyShortConditions THEN
   SELLSHORT LotSize CONTRACTS AT Market
ENDIF
set target pprofit 200
set stop   ploss   2000

08/05/2021 at 8:46 PM #174782 quote

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You are Big!

08/06/2021 at 7:27 AM #174801 quote

GraHal

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Master

Link to Roberto code above added as Log 297 here …

Snippet Link Library

robertogozzi thanked this post

08/07/2021 at 10:40 AM #174861 quote

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What if we did the same but with an ATR?
If strategyprofit is above ATR, operate with the usual € pip.
If strategyprofit is below ATR, trade with half a € pip.

08/07/2021 at 11:16 AM #174864 quote

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Sorry with traductors.

🙁

08/07/2021 at 11:41 AM #174865 quote

robertogozzi

Moderator

Legend

It’s impossible to compare STRATEGYPROFIT to ATR, they are two different scales.
STRATEGYPROFIT can range from -100K to +100K (or even more), while ATR is a price range (could be from 0 to a few hundreds).
Even if applied to STRATEGYPROFIT, it can be compared to itself, as it normally cannot be compared to CLOSE.