how to hard code initial capital

• 08/21/2024 at 10:00 AM #236561
  borderlineJim

  Good morning to the PRT community!

   

  Can anyone help me with hard coding the initial capital that is to be allocated to a trading system?

  I assume one has to do this if they plan to use a % based profit target or stop loss, other wise a specified % will be based on the total capital.  Is this correct?

  It would also be interesting to experiment with a trailing % based stop loss, but maybe that is for another topic.

   

  Best regards

   

  J

  

  borderlineJim

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  08/21/2024 at 10:07 AM #236562
  phoentzs

  The percentages of stop loss, take profit and trailing refer to the underlying value, i.e. the index such as DAX, NASDAQ etc.

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  phoentzs

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  08/21/2024 at 11:36 AM #236566
  JS

  Hi,

  Stop loss, take profit and trailing are all calculated from the (average) position price…

  Simple example:

  Initial capital = 10,000 euros

  Risk 1% (of the initial capital) =100 euros

  (Index point value=1, number of contracts=1)

  SL=100 (1% of initial capital)

  Set Stop pLoss SL

  Or in percentages:

  SL=Risk/PositionPrice*100

  Set Stop %Loss SL

  If you want to make use of your total equity:

  Equity=Capital + StrategyProfit

  Risk 1% (of the Equity) = (Capital + StrategyProfit) * 1/100

  Etc…

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  JS

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  08/21/2024 at 11:39 AM #236567
  robertogozzi

  You can’t allocate different slices of your Capital among strategies, as they are unaware of each other.

  You need to manage that allocation within your code.

  In this example I assume this strategy has an initial Capital allocated of 10K euros (or whatever currency unit it is), no matter if your account has more, and I have set a 10% treshold, so that when my loss reaches that treshold, my strategy is stopped with QUIT:

  ONCE myCapital = 10000 ONCE myTreshold = myCapital * 0.9 //Exit when only 10% of my initial Capital is left IF StrategyProfit <= -myTreshold THEN QUIT ENDIF Sma10 = average[20,0](close) Xup = close CROSSES OVER Sma10 Xdn = close CROSSES UNDER Sma10 IF Not OnMarket THEN IF Xup THEN BUY 1 CONTRACT AT MARKET ELSIF Xdn THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF SET STOP pLOSS 100 SET TARGET pPROFIT 200 ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

  ONCE myCapital  = 10000 ONCE myTreshold = myCapital * 0.9  //Exit when only 10% of my initial Capital is left IF StrategyProfit <= -myTreshold THEN    QUIT ENDIF Sma10 = average[20,0](close) Xup   = close CROSSES OVER  Sma10 Xdn   = close CROSSES UNDER Sma10 IF Not OnMarket THEN    IF Xup THEN       BUY 1 CONTRACT AT MARKET    ELSIF Xdn THEN       SELLSHORT 1 CONTRACT AT MARKET    ENDIF    SET STOP   pLOSS   100    SET TARGET pPROFIT 200 ENDIF

  it’s just the first 5 lines that you need to use at the beginning of your code.

   

   

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  robertogozzi

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  08/21/2024 at 11:39 AM #236568
  robertogozzi

  As I always say “two is better than none!” 🙂

   

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  robertogozzi

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  08/21/2024 at 9:57 PM #236591
  JS

  For the sake of clarity:

  Roberto, of course, meant 0.1 instead of 0.9

  ONCE myThreshold=myCapital*0.1

  Before someone is stuck with a DD of 9000 euros 😉

  

  JS

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  08/21/2024 at 10:25 PM #236592
  robertogozzi

  No JS, I actually meant 0.9, as it will be turned negative in line 3, so after a -9000 losses (thus 1000 left on the account), it will QUIT.

   

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