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Question on Money Management Code


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Question on Money Management Code

  #1 (permalink)
sagetrade
Frankfurt / Germany
 
Posts: 47 since Jul 2013
Thanks Given: 28
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Dear f.io community,

I have a particular question with regards to a money management code improvement.

Currently, I use the following code to make sure I can control the max risk per trade in a strategy with "MaxRiskperTrade":

 
Code
vTradeSize = MaxRiskperTrade / Math.Abs(Close[0] - IndicatorValue[0]);
Now that leads to the effect that the nominal value of the trade sometimes gets too high for my taste. Therefore, I would like to additionally limit the trade size via introducing a new variable "MaxTradeSize" which represents a currency value. vTradeSize should then by whatever leads to the lower outcome MaxTradeSize divided by Price or MaxRiskperTrade / Math.Abs(Close[0] - IndicatorValue[0])

The question would be, how can I best code this. I want to code the following logic:

 
Code
vTradeSize = MaxRiskperTrade / Math.Abs(Close[0] - IndicatorValue[0]);

if MaxTradeSize ≤ vTradeSize * Close[0]; vTradeSize should be calculated via MaxTradeSize / Close[0] 
instead of MaxRiskperTrade / Math.Abs(Close[0] - IndicatorValue[0]

Hope someone from this community can help with that problem!

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  #3 (permalink)
 
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 ratfink 
Birmingham UK
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sagetrade View Post
Hope someone from this community can help with that problem!

Try:

 
Code
vTradeSize = Math.Min(MaxTradeSize / Close[0], MaxRiskperTrade / Math.Abs(Close[0] - IndicatorValue[0]));

[not compiled or tested but you get the drift]

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  #4 (permalink)
sagetrade
Frankfurt / Germany
 
Posts: 47 since Jul 2013
Thanks Given: 28
Thanks Received: 11

It works, thanks a lot! Amazing to know there is a platform where you can get help within minutes.

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