Win / Loss Streak
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Hi all,
Just wanted to share a version snippet of my money management code from the strategy I posted here:
The idea is to increase position sizes to a function of Live Equity balance. However, if win or loss streaks (>3) occur, significantly scale up or down position sizing.
Any questions or suggestions welcome!
//MONEY MGT// Ratio = 1.5 Equity = (Strategyprofit+20000) //20,0000 Yen Risk = round(Ratio*Equity/100000) //100,000 Yen Losses = positionperf(1)<0 and positionperf(2)<0 and positionperf(3)<0 streak = positionperf(1)>0 and positionperf(2)>0 and positionperf(3)>0 if losses then n = max(abs(round(max(3+risk-2,risk-2))),2) elsif not losses then n = max(abs(round(max(3+risk,risk))),2) endif if streak then n = max(abs(round(max(5+risk,risk))),2) endif //Nicolas, Pablo Carmona del Moral and vcharlesc thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 05/29/2016 |
| Status: | Active |
| Attachments: | No files |
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