Is there a way to put system A on hold if system B is ion the market?

• 03/31/2022 at 4:53 PM #190873
  Lucky1

  I have strategies that are highly correlated to each other and progressively add to positions that account for more than 50% account equity.

  Therefore, there is a risk that strategy (asset/instrument) A could be in a trade at the same time as strategy B, with a chance that both strategies would require more than 50% capital at the same time.

  This would be a disaster, the only way around it in my mind is for strategy A(B) to be on hold if strategy B(A) is currently on market.

  Is there any way to perform this in PRT?

  Thanks for the help.

   

  

  Lucky1

  Participant

  Topics: 4

  Replies: 2

  Been thanked: 0 times
  03/31/2022 at 5:14 PM #190874
  robertogozzi

  No, each strategy is unaware of other strategies. They cannot communicate with one another.

  The solution, since you don’t want to have both of them trading at the same time, is to assemble them so to make a single strategy with multiple sub-strategies (entry points, each with different setups).

  You can read an example here https://www.prorealcode.com/topic/max-positions-per-strategy-in-multi-strategy-code/#post-171793.

   

  1 user thanked author for this post.

  Lucky1

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17188

  Been thanked: 4064 times
  03/31/2022 at 5:15 PM #190875
  robertogozzi

  You only need to change line 1, setting it to FALSE

  DEFPARAM CumulateOrders = FALSE

  1	DEFPARAM CumulateOrders = FALSE

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17188

  Been thanked: 4064 times
• Author
  Posts