Stop strategy after a set $ amount lost from CumProfit

August 13th, 2009, 02:56 PM

I am wondering if it is possible to stop a strategy after a certain amount of $ loss to your Cumulative profit.
I have read and used the settings for stopping if the CumProfit is > $ amount.
ie Performance.RealtimeTrades.TradesPerformance.Currency.CumProfit - priorTradesCumProfit >= 1000
But can't get my head around how to achieve what I would like
ie. Can I store the highest daily profit achieved and then stop the strategy once a predetermined $ amount is lost from this value.
Thanks

August 13th, 2009, 03:26 PM

From:

Code Snippets needed!

Good idea zeller. Here's some code I came up with from various samples to give me some peace of mind if you were to run your strategies unattended. (in case I ever have a strategy that makes money!!!)

This is probably very simplistic and old hat …

jackyd

Here's some code I came up with from various samples to give me some peace of mind if you were to run your strategies unattended. (in case I ever have a strategy that makes money!!!)

This is probably very simplistic and old hat for many, but hopefully it will help someone. It can be easily personalized with your own messages, input variables, etc.

Code

                            
// At the start of a new session calculate the prior cum profit so it won't be included in the 
// calculation. Need this for historical testing.
if (Bars.FirstBarOfSession)
    {priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;}

// *** Calculate the toal profit (cumulative profit minus prior profit plus the current position profit 
double myMaxProfit = (double) 1000;
double myMaxLoss = (double) -1000;
double cumProfit = (double) Performance.AllTrades.TradesPerformance.Currency.CumProfit;
double curPosition = (double) Position.GetProfitLoss(Close[0], PerformanceUnit.Currency);
double totCumProfit = (double) cumProfit - priorCumProfit + curPosition ;
            
// *** STOP the strategy! if a total profit or loss exceeds the max
if (totCumProfit <= myMaxLoss || totCumProfit >= myMaxProfit)
    {
    if (Position.MarketPosition == MarketPosition.Long) {ExitLong("DMA: Exit Long - max Profit/Loss exceeded", "");}
    if (Position.MarketPosition == MarketPosition.Short) {ExitShort("DMA: Exit Short - max Profit/Loss exceeded", "");}
    Print(Time[0] + ": EXIT STRATEGY - Max Profit/Loss exceeded: $" + myMaxProfit + "/$" + myMaxLoss + ", Current: $" + totCumProfit);
    return;
    }

Mike

August 13th, 2009, 03:31 PM

Thank you Mike. Didn't even think to look there.
I am sure that there is info in here that I could use.
Sorry for not looking

August 13th, 2009, 08:50 PM

Is there a way to calculate maximum cumulative profit?
I realise that there is gross profit, but this is different to max cumulative profit.

August 13th, 2009, 08:59 PM

vast

Is there a way to calculate maximum cumulative profit?
I realise that there is gross profit, but this is different to max cumulative profit.

Hmm. Maybe create your own DataSeries.

Code

                            
#variables
private DataSeries mycumprofit;

#init
mycumprofit = new DataSeries(this);

#onbarupdate

if (Bars.FirstBarOfSession)
mycumprofit = new DataSeries(this);  // re-init each day

mycumprofit.Set(Performance.AllTrades.TradesPerformance.Currency.CumProfit);

// then to get the highest value:
double _highestcumprofit = MAX(mycumprofit, Bars.BarsSinceSession - 1)[0];

// and to find out how many bars ago that was
int _highestcumprofit_bar = HighestBar(mycumprofit, Bars.BarsSinceSession - 1)[0];

// and to find out the time stamp of that bar
Print(Time[_highestcumprofit_bar] + ": this was the time I made " + _highestcumprofit.ToString());

Just a thought, untested code.

Mike

August 13th, 2009, 09:09 PM

Thank you once again. Will have a look.
I am wanting to stop the risk of losing all the profits of the day . So I was thinking of this method. I think that it makes good money management. ie. If I get up to $500 cumulative profit and then get on a string of losers or low trades, I don't want to whittle it down to zero. I am willing to keep trading until I lose a set amount form this highest total. So if I am willing to risk a loss of $300 from my highest point then the strat stops at that point.

August 13th, 2009, 10:03 PM

vast

Thank you once again. Will have a look.
I am wanting to stop the risk of losing all the profits of the day . So I was thinking of this method. I think that it makes good money management. ie. If I get up to $500 cumulative profit and then get on a string of losers or low trades, I don't want to whittle it down to zero. I am willing to keep trading until I lose a set amount form this highest total. So if I am willing to risk a loss of $300 from my highest point then the strat stops at that point.

Yup good job.

Gary and I have similar thoughts and MM plan, think of it like a trailing stop for your daily profit target/loss.

August 16th, 2009, 11:10 PM

Hi Mike
I tried the code and had a few errors. come up.
It didn't like the [0] is this:
int _highestcumprofit_bar = HighestBar(mycumprofit, Bars.BarsSinceSession - 1)[0];

Also had to add (double) after the = signs.
double _highestcumprofit = (double) MAX(mycumprofit, Bars.BarsSinceSession - 1)[0];
But now when I apply the strat it just freezes up.
Thanks forth ehelp so far though.
Regards

August 16th, 2009, 11:56 PM

Sorry can't test right now. You may need to do a check first:

if (Performance.AllTrades.Count > 1)

If it's zero it may screw up the rest. Check the log for any obvious errors.

Sorry about the type-o on HighestBar, I don't use it very often and forgot you can't index it.

Mike

August 17th, 2009, 10:30 AM

Here's some code ive used in a production robot.... works well and does pretty much what i think you're trying to do

Code

////////////////////////
/// TRACK LAST TRADE //
/// //////////////////

if (Performance.RealtimeTrades.Count > 0) 
{
    lastTrade = Performance.RealtimeTrades[Performance.RealtimeTrades.Count - 1]; 
}

////////////////////
// STRATEGY HALT //
//////////////////
/// 
// Strategy is halted if Net P&L is <= -$450.00
if (strategyhalt)
    return;

if (Performance.RealtimeTrades.TradesPerformance.Currency.CumProfit <= -450)
{
    strategyhalt = true;
    Print ("Strategy Halted" + "    " + "P&L is:" + " " + Performance.RealtimeTrades.TradesPerformance.Currency.CumProfit + "    " + "Number of trades is:" + " " + Performance.RealtimeTrades.Count);
}



////////////////////////
/// PROFIT PROTECTION //
/// ///////////////////
 
if (Performance.RealtimeTrades.TradesPerformance.Currency.CumProfit >= 500)
{
    ceiling = true;
}

if (ceiling == true
    && lastTrade !=null
    && lastTrade.ProfitCurrency < 0)
{
    strategyhalt = true;
    Print ("Strategy Halted" + "    " + "P&L is:" + " " + Performance.RealtimeTrades.TradesPerformance.Currency.CumProfit + "    " + "Number of trades is:" + " " + Performance.RealtimeTrades.Count);
}

Stop strategy after a set $ amount lost from CumProfit

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Stop strategy after a set $ amount lost from CumProfit