loss reduction based on profit

• 03/25/2025 at 2:45 AM #245235
  kt

  Hi Expert,

  As shown in the attached trades performance chart, the losses are significantly higher than the average profits. I attempted to cut losses by converging the stop loss based on past gains with the code below, hope that the system will converge eventually with losses now being “normalized” based on profits. However, this code I wrote didn’t work, the trades performance went negative right away.  Any ideas? Thank you.

  / /code

  n = 1
  for k = 1 to 50 do
  if strategyprofit[k] > 0 then
  sloss = (strategyprofit[k] + strategyprofit[k+1])/n
  n = n + 1
  endif
  next

  set stop $loss sloss

  // end

   

  

  kt

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  03/25/2025 at 5:27 AM #245237
  kt

  found a problem but still haven’t resolved the issue, i.e., the loss is significant higher than the average gain trades.

  Updated the code to:

  / /code

  //Ensure sufficient data set before starting

  m = 1
  for j = 51 to 100 do
  if strategyprofit[j] > 0 then
  firstset = (strategyprofit[j] + strategyprofit[j+1])/m
  m = m + 1
  endif
  next

  if firstset <> 0 then

  n = 1
  for k = 1 to 50 do
  if strategyprofit[k] > 0 then
  sloss = (strategyprofit[k] + strategyprofit[k+1])/n
  n = n + 1
  endif
  next

  endif

  set stop $loss sloss

  // end

  

  kt

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  03/25/2025 at 2:31 PM #245266
  robertogozzi

  Bear in mind that strategyprofit[n] does not return the strategyprofit of the nth trade exixted, but the value returned by strategyprofit in the nth prior bar.

  So, when a trade is closed strategyprofit will change and will remain the same until the next trade will close. So it may well happen that for the next 100 bars it’s the same value and those are the data you are scanning.

   

   

   

  

  robertogozzi

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  03/26/2025 at 9:02 AM #245302
  Iván

  Another thing I suggest before continuing down this path is to study the Maximum Adverse Excursions (MAE). This is what will allow you to find the optimal Stop Loss point.

  

  Iván

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