Moving Average Cross with RSI – 1% risk

• 06/06/2023 at 12:28 PM #215707
  Mitchy14

  Hi team,

  I am hoping you can help – I wondered if someone was willing to cast an eye over my code. Fairly simple moving average cross with some ‘noise cancelling’ elements.

  Can I get this to calculate 1% risk of the account balance? I’d like to periodically update the value once or twice weekly to allow for compounding.

  I have attempted to do this, but my maths and intelligence have failed me – it blows up my account.

  Possible for someone more intelligent to take a look?

  defparam cumulateOrders = false // Indicators SMA50 = average[50](close) SMA200 = average[200](close) RSI14 = RSI[14](close) RSI233 = RSI[233](close) EMA20 = ExponentialAverage[20](close) EMA9 = ExponentialAverage[9](close) ATR14 = AverageTrueRange[14] ADX14 = ADX[14] BBUpper = BollingerUp[20](close) BBLower = BollingerDown[20](close) //Chandalier Stop ChandelierPeriod = 22 ChandelierMultiplier = 8 ChandelierStopLong = highest[ChandelierPeriod](high) - ChandelierMultiplier * ATR14 ChandelierStopShort = lowest[ChandelierPeriod](low) + ChandelierMultiplier * ATR14 //Account Settings AccountBalance = 100000 RiskPercentage = 1.25 //Position Sizing RiskAmount = AccountBalance * (RiskPercentage/100) // Entry rules BuySignal = (SMA50 crosses over SMA200) AND (RSI14 > 50) AND (close > EMA20) AND (ADX14 > 20) AND (EMA9 > EMA20) AND (close > BBLower) AND (close < BBUpper) SellSignal = (SMA50 crosses under SMA200) AND (RSI14 < 50) AND (close < EMA20) AND (ADX14 > 20) AND (EMA9 < EMA20) AND (close < BBUpper) AND (close > BBLower) //Position sizing for each trade BuyPositionSize = floor(RiskAmount/ (Close - ChandelierStopLong)) SellPositionSize = floor(RiskAmount/ (ChandelierStopShort - Close)) // Scaling in/out mechanism If BuySignal AND LongOnMarket = 0 THEN Buy BuyPositionSize shares at market ENDIF If SellSignal AND ShortOnMarket = 0 THEN Sellshort SellPositionSize shares at market ENDIF // Exit rules CloseBuyPosition = (SMA50 crosses under SMA200) OR (RSI233 < 50) CloseSellPosition = (SMA50 crosses over SMA200) OR (RSI233 > 50) // Risk management If LongOnMarket THEN Sell at ChandelierStopLong Stop EndIf If ShortonMarket THEN Exitshort at ChandelierStopShort Stop EndIf If CloseBuyPosition THEN Sell at market ENDIF If CloseSellPosition THEN Exitshort at market ENDIF

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  defparam cumulateOrders = false   // Indicators SMA50 = average[50](close) SMA200 = average[200](close) RSI14 = RSI[14](close) RSI233 = RSI[233](close) EMA20 = ExponentialAverage[20](close) EMA9 = ExponentialAverage[9](close) ATR14 = AverageTrueRange[14] ADX14 = ADX[14] BBUpper = BollingerUp[20](close) BBLower = BollingerDown[20](close)   //Chandalier Stop ChandelierPeriod = 22 ChandelierMultiplier = 8 ChandelierStopLong = highest[ChandelierPeriod](high) - ChandelierMultiplier * ATR14 ChandelierStopShort = lowest[ChandelierPeriod](low) + ChandelierMultiplier * ATR14   //Account Settings AccountBalance = 100000 RiskPercentage = 1.25   //Position Sizing RiskAmount = AccountBalance * (RiskPercentage/100)   // Entry rules BuySignal = (SMA50 crosses over SMA200) AND (RSI14 > 50) AND (close > EMA20) AND (ADX14 > 20) AND (EMA9 > EMA20) AND (close > BBLower) AND (close < BBUpper) SellSignal = (SMA50 crosses under SMA200) AND (RSI14 < 50) AND (close < EMA20) AND (ADX14 > 20) AND (EMA9 < EMA20) AND (close < BBUpper) AND (close > BBLower)   //Position sizing for each trade BuyPositionSize = floor(RiskAmount/ (Close - ChandelierStopLong)) SellPositionSize = floor(RiskAmount/ (ChandelierStopShort - Close))   // Scaling in/out mechanism If BuySignal AND LongOnMarket = 0 THEN Buy BuyPositionSize shares at market ENDIF   If SellSignal AND ShortOnMarket = 0 THEN Sellshort SellPositionSize shares at market ENDIF     // Exit rules CloseBuyPosition = (SMA50 crosses under SMA200) OR (RSI233 < 50) CloseSellPosition = (SMA50 crosses over SMA200) OR (RSI233 > 50)   // Risk management If LongOnMarket THEN Sell at ChandelierStopLong Stop EndIf   If ShortonMarket THEN Exitshort at ChandelierStopShort Stop EndIf     If CloseBuyPosition THEN Sell at market   ENDIF   If CloseSellPosition THEN Exitshort at market   ENDIF

  

  Mitchy14

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  06/06/2023 at 4:34 PM #215726
  JS

  Hi @Mitchy14

  I haven’t gone through your code all the way, but I see that you are using the ATR to calculate your “ChandelierStopLong” and “ChandelierStopShort” and that is fine, but you also use it to calculate your position size:

  BuyPositionSize = floor(RiskAmount / (Close – ChandelierStopLong))

  So, you are going to divide a sum of money (RiskAmount) by a number that can basically take all values… (depending on the volatility).

  For example, if (Close – ChandelierStopLong) = 70 then your BuyPositionSize is 1250/70=17 contracts and at a value of 4 your position size becomes 1250/4=312 contracts… (it will blow up your account)

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  Mitchy14

  

  JS

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  06/07/2023 at 6:19 AM #215745
  JS

  You can also divide your capital risk directly by the ATR (position size depending on the ATR/volatility) and set certain conditions for the maximum and minimum position size, for example:

  Once MinPositionSize=1

  Once MaxPositionSize=10

  PositonSize = Risk / ATR14

  If PositionSize >= MaxPositionSize then

  PositionSize = MaxPositionSize

  ElsIf PositionSize <= MinPositionSize then

  PositionSize = MinPositionSize

  EndIf

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  Mitchy14

  

  JS

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  06/07/2023 at 1:53 PM #215758
  Mitchy14

  Hi JS,

   

  Thanks so much for your suggestions. You’ll notice I have updated the code.

  It doesn’t seem to amend the qty from 10 contracts (no matter what variables I amend).  As you know, I’d like this number to change depending on the ATR value.

  Again, I am sure it is something fairly simple, but I don’t seem to see it.

  Any suggestions would be welcome!

  defparam cumulateOrders = True // Indicators SMA50 = average[50](close) SMA200 = average[200](close) RSI14 = RSI[14](close) RSI233 = RSI[233](close) EMA20 = ExponentialAverage[20](close) EMA9 = ExponentialAverage[9](close) ATR14 = AverageTrueRange[14] ADX14 = ADX[14] BBUpper = BollingerUp[20](close) BBLower = BollingerDown[20](close) //Chandalier Stop ChandelierPeriod = 22 ChandelierMultiplier = 4 ChandelierStopLong = highest[ChandelierPeriod](high) - ChandelierMultiplier * ATR14 ChandelierStopShort = lowest[ChandelierPeriod](low) + ChandelierMultiplier * ATR14 //Account Settings AccountBalance = 100000 RiskPercentage = 1.25 // Entry rules BuySignal = (SMA50 > SMA200) AND (RSI14 > 50) AND (close > EMA20) AND (ADX14 >= 20) AND (EMA9 Crosses over EMA20) AND (close > BBLower) AND (close < BBUpper) SellSignal = (SMA50 < SMA200) AND (RSI14 < 50) AND (close < EMA20) AND (ADX14 >= 20) AND (EMA9 Crosses under EMA20) AND (close < BBUpper) AND (close > BBLower) //Position sizing for each trade RiskAmount = AccountBalance * (RiskPercentage/100) MinPositionSize=1 MaxPositionSize=10 pipValuePerContract = 10 // change this based on the pip value per contract for the specific security trading PositionSize = RiskAmount / (ATR14*pipValuePerContract) // Position sizing check If PositionSize >= MaxPositionSize then PositionSize = MaxPositionSize ElsIf PositionSize <= MinPositionSize then PositionSize = MinPositionSize EndIf // Entry mechanism If BuySignal AND LongOnMarket = 0 THEN Buy PositionSize contract at market ENDIF If SellSignal AND ShortOnMarket = 0 THEN Sellshort PositionSize contract at market ENDIF // Exit rules CloseBuyPosition = (SMA50 crosses under SMA200) OR (RSI233 <= 50) CloseSellPosition = (SMA50 crosses over SMA200) OR (RSI233 >= 50) // Risk management If LongOnMarket THEN Sell at ChandelierStopLong Stop EndIf If ShortonMarket THEN Exitshort at ChandelierStopShort Stop EndIf If CloseBuyPosition THEN Sell at market ENDIF If CloseSellPosition THEN Exitshort at market EndIF

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  defparam cumulateOrders = True   // Indicators SMA50 = average[50](close) SMA200 = average[200](close) RSI14 = RSI[14](close) RSI233 = RSI[233](close) EMA20 = ExponentialAverage[20](close) EMA9 = ExponentialAverage[9](close) ATR14 = AverageTrueRange[14] ADX14 = ADX[14] BBUpper = BollingerUp[20](close) BBLower = BollingerDown[20](close)   //Chandalier Stop ChandelierPeriod = 22 ChandelierMultiplier = 4 ChandelierStopLong = highest[ChandelierPeriod](high) - ChandelierMultiplier * ATR14 ChandelierStopShort = lowest[ChandelierPeriod](low) + ChandelierMultiplier * ATR14   //Account Settings AccountBalance = 100000 RiskPercentage = 1.25   // Entry rules BuySignal = (SMA50 > SMA200) AND (RSI14 > 50) AND (close > EMA20) AND (ADX14 >= 20) AND (EMA9 Crosses over EMA20) AND (close > BBLower) AND (close < BBUpper) SellSignal = (SMA50 < SMA200) AND (RSI14 < 50) AND (close < EMA20) AND (ADX14 >= 20) AND (EMA9 Crosses under EMA20) AND (close < BBUpper) AND (close > BBLower)   //Position sizing for each trade RiskAmount = AccountBalance * (RiskPercentage/100) MinPositionSize=1 MaxPositionSize=10 pipValuePerContract = 10 // change this based on the pip value per contract for the specific security trading PositionSize = RiskAmount / (ATR14*pipValuePerContract)     // Position sizing check If PositionSize >= MaxPositionSize then PositionSize = MaxPositionSize ElsIf PositionSize <= MinPositionSize then PositionSize = MinPositionSize EndIf         // Entry mechanism If BuySignal AND LongOnMarket = 0 THEN Buy PositionSize contract at market   ENDIF   If SellSignal AND ShortOnMarket = 0 THEN Sellshort PositionSize contract at market ENDIF     // Exit rules CloseBuyPosition = (SMA50 crosses under SMA200) OR (RSI233 <= 50) CloseSellPosition = (SMA50 crosses over SMA200) OR (RSI233 >= 50)   // Risk management If LongOnMarket THEN Sell at ChandelierStopLong Stop EndIf   If ShortonMarket THEN Exitshort at ChandelierStopShort Stop EndIf   If CloseBuyPosition THEN Sell at market   ENDIF   If CloseSellPosition THEN Exitshort at market   EndIF

  

  Mitchy14

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  06/07/2023 at 2:54 PM #215765
  JS

  Hi @Mitchy14

  The ATR (volatility) in the calculation of your position size is always difficult because the volatility can fluctuate so much…

  Alternatively, you can try a different money management system with an (automatic) reinvestment of your winnings:

  RiskAmount = AccountBalance * (RiskPercentage/100)
  Margin = 5 / 100 (margin percentage for the major US indices)
  PositionSize = (RiskAmount + StrategyProfit) / (Close*Margin)

  And below you can of course have the “Position sizing check” performed…

  

  JS

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