Capital curve as an indicator?
- This topic has 9 replies, 3 voices, and was last updated 11 months ago by
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This version is for the highest Equity in ALL trades:
1234567891011once capital = 10000once maxcapital = capitalequity = capital + strategyprofitmaxcapital = max(maxcapital,equity) //max CAPITAL in ALL tradesIF equity < maxcapital thencondition1 = xElsif equity > maxcapital thencondition2 = yEndifThis version is for the highest Equity in the last 100 (or less, if not yet 100) trades:
123456789101112131415161718192021222324once capital = 10000once maxcapital = capitalonce equity = capitalonce Trades = 100IF StrategyProfit <> StrategyProfit[1] THENTradeCount = lastset($myEquity) + 1equity = capital + strategyprofit$myEquity[TradeCount] = equityN = 1IF TradeCount >= Trades THENN = TradeCount - (Trades - 1)ENDIFmaxcapital = capitalFOR i = TradeCount downto Nmaxcapital = max(maxcapital,$myEquity[i])NEXTENDIFIF equity < maxcapital thencondition1 = xElsif equity > maxcapital thencondition2 = yEndif3 users thanked author for this post.
I think you need to get it going first, so try
12345678If equitity <= maxcapital thenordersize = 2ORElsif equitity >= maxcapital thenordersize = 1Endif1 user thanked author for this post.
Hello Roberto, hello Grahal, hello et al
I went back here to pick up the idea that when the take profit of the trade (2%) is reached, the highest capital ever reached increases by 1% at the same time.
In other words
In a trading system, we increase the position size so that when the trade reaches its target profit, the highest capital ever achieved grows by 1%.This is especially interesting for systems with a time stop (e.g. defparam flatafter = 210000). Here the target profit is not always reached and therefore the highest capital ever reached does not grow by 1% despite a won trade, or a new highest capital ever reached is not even formed.
Ex.
maxcapital = 10.000 Euro
available capital = 8,600 euros
Position size = 10.56
Profit in trade = 20 EuroThe task now is to calculate for the next trade what position size must be traded if the next trade (exceptionally) reaches its profit target and thus the highest capital ever reached grows by 1%.
target profit trade = 2%
target profit capital = 1% (12.100 auf 12.221)The question of this type of calculation has already been raised here and there and also by me.
https://www.prorealcode.com/topic/again-moneymanagement-calculate/
https://www.prorealcode.com/topic/strategyprofit-on-fixed-tp/I have worked through all the links above again and I have come to the following coding.
But somehow I have the feeling that my coding cannot be correct.
That’s why I’ve added the code below, including comments.The comment should show what exactly I want to get with the lines of code
With comments marked with “**” I am unsure whether the intended result is getSo please take my thoughts on board and confirm the code as correct or, more likely, correct it.
Many thanks in advance.
For this is no rush.1234567891011121314151617181920212223242526272829303132333435363738394041424344454647//---------------------------------------------------------// moneymanagement maxcapital// using the example Average Cross// created by JohnScher coded with the help of friends//---------------------------------------------------------// Basic settingsdefparam cumulateorders = falsedefparam flatbefore = 080000defparam flatafter = 210000 // timestop// moneymanagementonce capital = 10000 // set capital to 10,000 as an once-only basisonce maxcapital = capital // set the highest capital ever achieved the an once-only basis **equitity = capital + strategyprofit // the available capital is calculated from the capital plus the strategy profitmaxcapital = max(maxcapital,equitity) // the highest capital ever achieved is fixed as highest capital ever achieved **tpTrade = close/100*2 // calculates the target profit of the trade, here 2% of the price, this corresponds to the instruction "set target %profit 2" **tpCapital = (maxcapital + maxcapital/100*1) - equitity // calculates the target profit in the capital, here 1% **lotsize = round(tpCapital/tpTrade,2) // calculates the position size in the way that when the target profit of the trade is reached, the target profit in the capital too **If equitity >= maxcapital thenordersize = 1 // in the case that the available capital is greater than the highest capital ever reached, the position size is set to 1Elsif equitity < maxcapital thenordersize = lotsize // in the case that the available capital is lower than the highest capital ever reached, the position size is calculated as in line 20EndifIf ordersize < 1 thenordersize = 1 // for any reason the position size falls below 1, the position size is set to 1endif// tradingsystemtradebuy = average [20] (close) crosses over average [50] (close)If tradebuy thenbuy ordersize contracts at marketendifset stop %loss 10set target profit tpTrade//give-awaygraph maxcapital1 user thanked author for this post.
I think you should:
- make the calculations about money management and lot size ONLY when Not OnMarket, to prevent data from being changed while a trade is open
- calculate the Capital increase only when STRATEGYPROFIT > STRATEGYPROFIT[1], which means a profit was reached, but only if TIME < the time used with FLATAFTER, or it will not be the real TP that has been reached.
1 user thanked author for this post.
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