Trading system template
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Stop trading if system exceeds set max expected drawdown% Stop trading if system exceeds max predicted simultaneously losses
This MM code by Vonasi includes a quit function for max drawdown and other safeguards:
12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849505152535455565758596061626364656667686970// Strategy Stopper and Money Management// By Vonasi// 20191011barsbeforenextcheck = 22 // number of bars between performance checksdrawdownquitting = 1 // drawdown quitting on or off (on=1 off=0)winratequit = 25 // minimum win rate allowed before quitting (0 = off)tradesbeforewrquit = 10 // number of trades required before a win rate stop of strategy is allowed to happenincrease = 1 // position size increasing on or off (on=1 off=0)decrease = 1 // position size decreasing on or off (on=1 off=0)capital = 10000 // starting capitalstartingsize = 1 // starting position sizeminpossize = 0.2 // minimum position size allowedgaintoinc = 5 // % profit rise needed before an increase in position size is madelosstodec = 5 // % loss needed before a decrease in position size is mademaxdrawdown = 25 // maximum % draw down allowed from highest ever equity before stopping strategymaxcapitaldrop = 60 // maximum % starting capital lost before stopping strategyonce positionsize = startingsizeonce psperc = positionsize / capitalif strategyprofit <> strategyprofit[1] thenhighestprofit = max(strategyprofit, highestprofit)if winratequit thencount = count + 1if strategyprofit > strategyprofit[1] thenwin = win + 1endifwinrate = win/countif count >= tradesbeforewrquit thenif winrate < winratequit/100 thenquitendifendifendifendifif barindex mod barsbeforenextcheck = 0 thenif drawdownquitting thenif highestprofit <> 0 thenif (capital + strategyprofit) <= (capital + highestprofit) - ((capital + highestprofit)*(maxdrawdown/100)) thenquitendifendifif highestprofit = 0 thenif (capital + strategyprofit) <= capital - (capital * (maxcapitaldrop/100)) thenquitendifendifendifequity = capital + strategyprofitif increase thenif equity/lastequity >= (1+(gaintoinc/100)) thenpositionsize = (max(minpossize,equity*psperc))lastequity = equityendifendifif decrease thenif equity/lastequity <= (1-(losstodec/100)) thenpositionsize = (max(minpossize,equity*psperc))lastequity = equityendifendifendif1 user thanked author for this post.
I am curious how do you feel about automating on 1 min time frame?
Well, I could be about the only one in this community using a 1 second TimeFrame, but which is Forex. Personally I wouldn’t even be able to use longer timeframes, just because I wouldn’t be able to find the entries (with Forex), which I now find by technical means. Otherwise, and as I told before, I try to work quite exactly the same as you, but as told that doesn’t work out mostly (my code is fully stuffed with all such attempts).
Otherwise, the advantage I seem to have is the fact (?) that the Strategies I have are winning, so all it requires is adding new ideas and see whether they work out for the better. This is the most convenient …And, without much exception you will find everybody in here having difficulties with the shorter timeframes; it was a discussion only a few weeks back.
I find it hard to get many to stay consistently profitable for more than a fraction of the backtest period when they are made live.
May it help you, or anyone, look at the below two backtest results in the 1st and 2nd attachment. The first one is from today, and the second one from two weeks or so ago. Time span is always one month.
Both earn about equally, but it will be clear that the first one looks better. Btw, yours looks as good (from your first post), so nothing wrong there or anywhere. However, what I did the past two weeks, was only smoothing out them peaks and dips by means of looking what actually happens and do something about it. Not a single optimisation step in there. Only applying stuff. Stuff that would minimise subsequent losses (easy to see the result of it). You can also see that this is not about more gain (your thinking ;-)) and it is at the cost of Risk/Reward (your thinking again).
For further reference I added the third screenshot;
Gain is about the same, and this is only until last week (so one day less of “trading”). Watch closely how the start of it looks (compare with the most current one – in the first attachment) and where an occurring gain ever back on the 22nd must be lacking today because the backtest now starts at the 24th. What many people won’t “see” is that the different starting point will imply a different trading sequence. And oh, it will sync along the way (could last a day or more), but the start will never be the same. Anyway … what the third attachment shows is that the gain is “topping” – and this is something I don’t like. So what happened (compare with the first attachment again) is that the peak you see on the 14th is actually traded off with more gain after it. And yes, it will be hard to believe that such things can be done, but this is how things work out when one sort of thinks like you do. The mechanism is always the attempt to diminish the subsequent losses (and it will be easy to understand how they will create the dips). That mechanism is just a workable one (I mean, one can deal with that) – as long as it does not go by optimisation. An easy to understand (and known) example is to skip a trade (coding such a thing may not be for everyone). Two losses after all ? then apply something else again.
The fun (for me) is that all is a tradeoff. Thus, I could stop trading for an hour as a solution to the above, but with 175-200 trades per month, you can do the math on how much profitable trades I will miss and that thus the net gain goes less because of that (hey, once you have that “known” winning strategy to begin with – only then). I like these “tensions” the best, as it is all technical stuff and the only instance which would be able to trade like that will be the computer.2 users thanked author for this post.
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