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Fixed % Risk
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Fixed % Risk

  #1 (permalink)
Trading for Fun
turin italy
 
Futures Experience: Advanced
Platform: metatrader multichart
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Posts: 96 since May 2013
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Fixed % Risk

Hello guys,

anyone know if there's any method to set a fixed percent of risk* trades ?
For example, i would like that my TS risks always the 1% of Balance per Stoploss (calculated on ATR).

I found it not so easy to do, because SetStopLoss is a cash value and give to me some problem.

Thank you for any answer !

Best Regards
No Erocla


Last edited by no erocla; March 4th, 2014 at 04:35 AM.
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  #2 (permalink)
Market Wizard
Hamburg Germany
 
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No Erocla,

what is the code you have so far that is giving your problems?

Two ideas on how you can go over it:

- Use 1% of the broker account balance as the dollar value for stop loss. This will only make sense when you are trading realtime and are connected to a brokerage account.
- For backtesting or forward testing where you are not connected to the brokerage account set a starting balance via an input in your strategy and add the NetProfit. This will give you the changing balance. Use 1% of this value for the dollar stop amount.

Regards,
ABCTG

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  #3 (permalink)
Trading for Fun
turin italy
 
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Posts: 96 since May 2013
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Thank you for answer, but it changes if you use ATR stop

Maybe i solved it:

 
Code
                            
if ( marketposition and condition1 then BEGIN

Balance 
=  InitialCapital i_ClosedEquity;
STOPLOSS =  (Risk/100)*Balance;
LOT =  (STOPLOSS/(averagetruerange(14)*factor)); // stop amount !

buy LOT contracts next bar at open;

END;

SetStopLoss(STOPLOSS); 

On live trading:
 
Code
                            
Balance GetRTAccountEquity(GetAccountID()); 


It is correct for you ?

Thank you !
No Erocla

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
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No Erocla,

at a glance it looks okay. From the code you compute the dollars to risk and use this to size the position. Although the reserved words starting with "i_" are meant to be used in indicators to receive information from signals, but you can probably use them in signals without problems. To make sure you can change the code to this and test it:

 
Code
if ( marketposition = 0 and condition1 ) then BEGIN

Balance =  InitialCapital + NetProfit;
STOPLOSS =  (Risk/100)*Balance;
LOT =  (STOPLOSS/(averagetruerange(14)*factor)); // stop amount !
Print(ElDateToString(Date), "; Time: ", Time:0:0, "; NetProfit: ", NetProfit, "; i_ClosedEquity: ", i_ClosedEquity, "; LOT: ", LOT);
buy LOT contracts next bar at open;

END;

SetStopLoss(STOPLOSS);
On a separate matter your lot size will probably come out as a fractional value, so you might want to consider rounding it down to the lowest full lot size (use Floor for this).

Regards,
ABCTG

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  #5 (permalink)
Trading for Fun
turin italy
 
Futures Experience: Advanced
Platform: metatrader multichart
Favorite Futures: futures
 
Posts: 96 since May 2013
Thanks: 43 given, 4 received

Yes i made a control on the code like:

if (LOT<25000) THEN LOT = 25000; (for forex)

same thing to control a maximum amount of margin used.

Regards
No Erocla

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