Win / Loss Streak

• 05/29/2016 at 12:28 AM #8297
  grizzly

  Hi all,

  Just wanted to share a version snippet of my money management code from the strategy I posted here:

  http://www.prorealcode.com/prorealtime-trading-strategies/usdjpy-trading-strategy-1mintf-sar-ema/

  The idea is to increase position sizes to a function of Live Equity balance. However, if win or loss streaks (>3) occur, significantly scale up or down position sizing.

  Any questions or suggestions welcome!

   

  //MONEY MGT// Ratio = 1.5 Equity = (Strategyprofit+20000) //20,0000 Yen Risk = round(Ratio*Equity/100000) //100,000 Yen Losses = positionperf(1)<0 and positionperf(2)<0 and positionperf(3)<0 streak = positionperf(1)>0 and positionperf(2)>0 and positionperf(3)>0 if losses then n = max(abs(round(max(3+risk-2,risk-2))),2) elsif not losses then n = max(abs(round(max(3+risk,risk))),2) endif if streak then n = max(abs(round(max(5+risk,risk))),2) endif //

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  //MONEY MGT// Ratio = 1.5 Equity = (Strategyprofit+20000) //20,0000 Yen Risk = round(Ratio*Equity/100000) //100,000 Yen Losses = positionperf(1)<0 and positionperf(2)<0 and positionperf(3)<0 streak = positionperf(1)>0 and positionperf(2)>0 and positionperf(3)>0 if losses then n = max(abs(round(max(3+risk-2,risk-2))),2) elsif not losses then n = max(abs(round(max(3+risk,risk))),2) endif if streak then n = max(abs(round(max(5+risk,risk))),2) endif //

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  grizzly

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