Money management discussion

• 09/30/2022 at 9:54 AM #201700
  Franro

  Hi,

  I have been using static position size for my automatic trading for a while. As I am portfolio focused and I did not want any other system to be outscale another one in positionsize wise. But every system is not equal and performance differently ofcourse. And I want to try some MM strat and if the positionsizes gets to high I can just reset it.

  So I am interested to try this MM code for my automatic trading. I have looked around the forum and this seems to be the most simple and efficient (?) one people seem to use.

  MM code

  MM = 1 // = 0 for optimization if MM = 0 then positionsize = 1 ENDIF if MM then MinSize = 0.2 // IG minimum position size allowed MaxSize = 1150 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 600 //MinSize drawdown in instrument currency Multiplier = 2 //drawdown multiplier Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 endif

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  MM = 1 // = 0 for optimization if MM = 0 then positionsize = 1 ENDIF if MM then MinSize = 0.2 // IG minimum position size allowed MaxSize = 1150 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 600  //MinSize drawdown in instrument currency Multiplier = 2 //drawdown multiplier Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 endif

  Not all systems are equal as I mentioned and also one system is not equal for both and short. How can I split this code into short and long, is it possible?
  And can the author or someone else explain the Multiplier part?

  

  Franro

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  09/30/2022 at 11:49 AM #201708
  robertogozzi

  Dp you mean you want to split STRATEGYPROFIT into two parts, Long and Short ones?

   

  

  robertogozzi

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  09/30/2022 at 11:51 AM #201710
  Franro

  Yes, and the positionsize should be increased for short if shorts are winning and same way for longs (not together as it is now as I understand).

  

  Franro

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  09/30/2022 at 12:37 PM #201712
  Franro

  As far as I understand the multiplier is how fast the positionsize will increase, but that does not also make sense. Can someone explain that part?

  Because I have some systems that trades far more long than short and viceversa. It would be nice to have a different multiplier (if I understand the correct part of multiplier it increases the positionsize faster with higher multi and viceversa with lower is that correct?)

  As some systems have far more long trades it could be nice to have a higher multiplier for short BUT then the strartegyprofit must be split in two parts if that is possible. If a system is more long bias it should not have the same rules in my opinion.

  

  Franro

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  10/01/2022 at 10:43 AM #201728
  Franro

  Feels like the marketplace totally killed this forum, which is sad.

  

  Franro

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  10/03/2022 at 3:30 AM #201804
  robertogozzi

  There you go (tested on NASDAQ, US Tech 100 Cash 1€, 1H):

  // split StrategyProfit into two parts, SHORT and LONG ones ONCE LongProfit = 0 ONCE ShortProfit = 0 IF StrategyProfit <> StrategyProfit[1] AND BarIndex > 0 THEN Profitto = StrategyProfit - StrategyProfit[1] IF LongOnMarket[1] THEN LongProfit = LongProfit + Profitto ELSIF ShortOnMarket[1] THEN ShortProfit = ShortProfit + Profitto ELSE p1 = 1 p2 = 2 IF OnMarket THEN p1 = 2 p2 = 3 ENDIF IF TradePrice(p1) > TradePrice(p2) THEN IF Profitto > 0 THEN LongProfit = LongProfit + Profitto ELSE ShortProfit = ShortProfit + Profitto ENDIF ELSIF TradePrice(p1) < TradePrice(p2) THEN IF Profitto < 0 THEN LongProfit = LongProfit + Profitto ELSE ShortProfit = ShortProfit + Profitto ENDIF ELSE LongProfit = LongProfit + (Profitto / 2) ShortProfit = ShortProfit + (Profitto / 2) ENDIF ENDIF ENDIF //----------------------------------------------------------------------- ONCE MM = 1 // = 0 for optimization ONCE PositionSizeLong = 1 ONCE PositionSizeShort = 1 ONCE MinSize = 0.5 // IG minimum position size allowed ONCE MaxSize = 1150 // IG tier 2 margin limit ONCE ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency ONCE DDlong = 2950 //MinSize drawdown in instrument currency ONCE DDshort = 3000 //MinSize drawdown in instrument currency ONCE Multiplier = 2 //drawdown multiplier ONCE CapitalLong = DDlong * Multiplier ONCE CapitalShort = DDshort * Multiplier if MM then EquityLong = CapitalLong + ProfitAccrued + LongProfit EquityShort = CapitalShort + ProfitAccrued + ShortProfit PositionSizeLong = Max(MinSize, EquityLong * (MinSize/CapitalLong)) PositionSizeLong = Round(PositionSizeLong*100) PositionSizeLong = PositionSizeLong/100 PositionSizeLong = min(PositionSizeLong,MaxSize) PositionSizeShort = Max(MinSize, EquityShort * (MinSize/CapitalShort)) PositionSizeShort = Round(PositionSizeShort*100) PositionSizeShort = PositionSizeShort/100 PositionSizeShort = min(PositionSizeShort,MaxSize) endif // Sma = average[50,0](close) IF close CROSSES OVER Sma AND Not LongOnMarket THEN BUY PositionSizeLong contracts at Market ELSIF close CROSSES UNDER Sma AND Not ShortOnMarket THEN SELLSHORT PositionSizeShort contracts at Market ENDIF SET STOP pLOSS 100 SET TARGET pPROFIT 400 // debugging data graph LongProfit + ShortProfit AS "Strategy Profit" coloured(0,128,0,155) graph strategyprofit

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  // split StrategyProfit into two parts, SHORT and LONG ones ONCE LongProfit  = 0 ONCE ShortProfit = 0 IF StrategyProfit <> StrategyProfit[1] AND BarIndex > 0 THEN    Profitto = StrategyProfit - StrategyProfit[1]    IF LongOnMarket[1] THEN       LongProfit  = LongProfit  + Profitto    ELSIF ShortOnMarket[1] THEN       ShortProfit = ShortProfit + Profitto    ELSE       p1 = 1       p2 = 2       IF OnMarket THEN          p1 = 2          p2 = 3       ENDIF       IF TradePrice(p1) > TradePrice(p2) THEN          IF Profitto > 0 THEN             LongProfit  = LongProfit  + Profitto          ELSE             ShortProfit = ShortProfit + Profitto          ENDIF       ELSIF TradePrice(p1) < TradePrice(p2) THEN          IF Profitto < 0 THEN             LongProfit  = LongProfit  + Profitto          ELSE             ShortProfit = ShortProfit + Profitto          ENDIF       ELSE          LongProfit  = LongProfit  + (Profitto / 2)          ShortProfit = ShortProfit + (Profitto / 2)       ENDIF    ENDIF ENDIF //----------------------------------------------------------------------- ONCE MM                = 1 // = 0 for optimization ONCE PositionSizeLong  = 1 ONCE PositionSizeShort = 1 ONCE MinSize           = 0.5   // IG minimum position size allowed ONCE MaxSize           = 1150  // IG tier 2 margin limit ONCE ProfitAccrued     = 0     // when restarting strategy, enter profit or loss to date in instrument currency ONCE DDlong            = 2950  //MinSize drawdown in instrument currency ONCE DDshort           = 3000  //MinSize drawdown in instrument currency ONCE Multiplier        = 2     //drawdown multiplier ONCE CapitalLong       = DDlong  * Multiplier ONCE CapitalShort      = DDshort * Multiplier if MM then    EquityLong          = CapitalLong  + ProfitAccrued + LongProfit    EquityShort         = CapitalShort + ProfitAccrued + ShortProfit    PositionSizeLong    = Max(MinSize, EquityLong * (MinSize/CapitalLong))    PositionSizeLong    = Round(PositionSizeLong*100)    PositionSizeLong    = PositionSizeLong/100    PositionSizeLong    = min(PositionSizeLong,MaxSize)    PositionSizeShort   = Max(MinSize, EquityShort * (MinSize/CapitalShort))    PositionSizeShort   = Round(PositionSizeShort*100)    PositionSizeShort   = PositionSizeShort/100    PositionSizeShort   = min(PositionSizeShort,MaxSize) endif // Sma = average[50,0](close) IF close CROSSES OVER Sma AND Not LongOnMarket THEN    BUY PositionSizeLong contracts at Market ELSIF close CROSSES UNDER Sma AND Not ShortOnMarket THEN    SELLSHORT PositionSizeShort contracts at Market ENDIF SET STOP   pLOSS   100 SET TARGET pPROFIT 400 // debugging data graph LongProfit + ShortProfit AS "Strategy Profit" coloured(0,128,0,155) graph strategyprofit

   

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  10/03/2022 at 9:01 AM #201815
  GraHal

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