Daily Loss Limit

March 3rd, 2011, 09:01 AM

I'm trying to insert a piece of code in an automated strategy to limit my daily loss. Can someone share the code snippet that I can use for something like that? Thanks for your help.

March 3rd, 2011, 09:11 AM

togier

I'm trying to insert a piece of code in an automated strategy to limit my daily loss. Can someone share the code snippet that I can use for something like that? Thanks for your help.

Hi Togier

what kind of platform do you use ?

March 3rd, 2011, 11:25 AM

crazybears

Hi Togier

what kind of platform do you use ?

Sorry, I guess I should have specified that. It's NT7.

March 3rd, 2011, 11:36 AM

togier

Sorry, I guess I should have specified that. It's NT7.

sorry but i don't know NT language

March 3rd, 2011, 11:58 AM

crazybears

sorry but i don't know NT language

Its C#

March 3rd, 2011, 12:26 PM

Hi,

Find below stop and profit variables as requested (just took the interesting parts)

#region Variables

privateint maxprofit = 1000; // Max profit before halt strategy
privateint maxloss = 1500; // Max loss before halt strategy

protectedoverridevoid OnBarUpdate()
{

// Only run on real-time data
if (Historical)
return;

if (Performance.AllTrades.TradesPerformance.Currency.CumProfit<-maxloss ||
Performance.AllTrades.TradesPerformance.Currency.CumProfit>maxprofit)

#region Properties

[Description("Maximum profit.")]
[Category("Parameters")]
[Gui.Design.DisplayName("\t\t\tMax Profit")]
publicint MaxProfit
{
get { return maxprofit; }
set { maxprofit = Math.Max(1, value); }
}

[Description("Maximum loss (enter positive value!).")]
[Category("Parameters")]
[Gui.Design.DisplayName("\t\t\tMax Loss")]
publicint MaxLoss
{
get { return maxloss; }
set { maxloss = Math.Max(1, value); }
}

Beware that Historical will set your cumulated profit n loss just for the day (no good for backtesting),If you want both to be customized on strategy setup, you will have to set a bool variable on historical.

correct function is Performance.AllTrades.TradesPerformance.Currency.CumProfit without spacing (can't correct it)

March 3rd, 2011, 01:45 PM

redratsal

Hi,

Find below stop and profit variables as requested (just took the interesting parts)

#region Variables

privateint maxprofit = 1000; // Max profit before halt strategy
privateint maxloss = 1500; // Max loss before halt strategy

protectedoverridevoid OnBarUpdate()
{

// Only run on real-time data
if (Historical)
return;

if (Performance.AllTrades.TradesPerformance.Currency.CumProfit<-maxloss ||
Performance.AllTrades.TradesPerformance.Currency.CumProfit>maxprofit)

#region Properties

[Description("Maximum profit.")]
[Category("Parameters")]
[Gui.Design.DisplayName("\t\t\tMax Profit")]
publicint MaxProfit
{
get { return maxprofit; }
set { maxprofit = Math.Max(1, value); }
}

[Description("Maximum loss (enter positive value!).")]
[Category("Parameters")]
[Gui.Design.DisplayName("\t\t\tMax Loss")]
publicint MaxLoss
{
get { return maxloss; }
set { maxloss = Math.Max(1, value); }
}

Beware that Historical will set your cumulated profit n loss just for the day (no good for backtesting),If you want both to be customized on strategy setup, you will have to set a bool variable on historical.

correct function is Performance.AllTrades.TradesPerformance.Currency.CumProfit without spacing (can't correct it)

Thank you very much for the help. This is great.

February 19th, 2013, 04:40 AM

Would a solution be to search the trade collection for trades that occurred that day, then add the current PnL?

Code

if (dailyPnL > -(maxLoss))
                    {

                        if (Performance.AllTrades.Count != tradeCount)
                        {
                            tradeCount = Performance.AllTrades.Count;

                            foreach (Trade x in Performance.AllTrades)
                            {
                                if (x.Exit.Time.Date.CompareTo(Time[0].Date) == 0)
                                {
                                    dailyPnL += x.ProfitCurrency;

                                }

                            }

                        }

                        if (Position.MarketPosition != MarketPosition.Flat)
                        {

                            dailyPnL += Position.GetProfitLoss(Close[0], PerformanceUnit.Currency);

                        }

                    }

You would obviously need to reset the dailyPnL each day.

Code

if (Bars.FirstBarOfSession && FirstTickOfBar)
                    {

                        dailyPnL = 0;}

It when then work regardless if you are in backtest or live trading. You would always be searching the trade collection based on the current day. Of course, please feel to poke holes in my logic

July 28th, 2016, 09:20 AM

Is there any indicator for Daily Loss and Profit limit. I don't know how to make one. Thanks

Daily Loss Limit

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Daily Loss Limit