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Backtest with Risk Management and Account Balance
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Created: by little leo Attachments:0

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Backtest with Risk Management and Account Balance

  #1 (permalink)
Elite Member
Sydney
 
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Backtest with Risk Management and Account Balance

Imagine you have your Strategy that you're backtesting for 2 years. You want to simulate what would happen if you start with $20,000, risking 2% per trade.

Question 1: Could it be done somehow in Strategy Analyser?

Question 2: If not, my idea is to
- Dynamically calculate position size (quantity) based on Balance and Risk-Per-Trade.
- Update Balance with profit / loss on OnOrderExecution
Does that sound reasonable / doable?

The info I found on this matter wasn't related to backtesting and at this point in time backtesting is the only thing I am concerned about.

Thanks in advance. If I find something I'll keep updating this post.

Leo

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  #2 (permalink)
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Gits (Hooglede) Belgium
 
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little leo View Post
Imagine you have your Strategy that you're backtesting for 2 years. You want to simulate what would happen if you start with $20,000, risking 2% per trade.

Question 1: Could it be done somehow in Strategy Analyser?

Question 2: If not, my idea is to
- Dynamically calculate position size (quantity) based on Balance and Risk-Per-Trade.
- Update Balance with profit / loss on OnOrderExecution
Does that sound reasonable / doable?

The info I found on this matter wasn't related to backtesting and at this point in time backtesting is the only thing I am concerned about.

Thanks in advance. If I find something I'll keep updating this post.

Leo

You can do the simulation with one contract, then export the trades in a spread sheet
and apply your money management, (making abstraction from fils).

After every trade you calculate the new balance and for the next trade you calculate
the number of contracts based on the last balance (2%)

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backtest, backtesting, es, money management, ninjatrader, position size, risk management, simulation, spread, strategy, strategy analyser, update

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