Trouble Debugging EL Position Sizing Code

August 16th, 2022, 12:05 PM

Hey everyone,

I have some code I use for position sizing in Easy Language. The idea is the position size of your order increases as your equity increases in your account. It works perfectly in backtesting, but there's a strange issue when I use the code live in my simulated account. The code allows a minimum contract amount of 1 and maximum of 50. We have a "stop loss" set at $10. As you can see in the code below, it will take my risk percentage (0.01) multiplied by starting equity ($2000) divided by my stop loss to get a contract size (vCon) of 2. This works in backtesting, but my live trading consistently tries to fill 50 contracts (the max amount) and gets rejected. It is getting rejected because I made my sim account equity set to $2000. Any ideas why this is failing to work only in live trading?

Inputs:
iRiskPercent( 0.01 ),
iStop$( 10 ),
iPrice( (Close) * 10 ),
istartEquity( 2000 ),
iMaxUnits( 50 ),
iMinUnits( 1 );

var: msg(""),
retVal(false),
debug(true),
vCon(0),
vTotalEquity(0),
vDollarsToRisk(0);
If ( iRiskPercent > .99 OR iRiskPercent < .01 ) Then
Begin
vCon = -1;
Print("Invalid risk percentage input. Please enter a percent value from .01 to .99.");
End;

If ( iStop$ < 0 ) Then
Begin
vCon = -1;
Print("Invalid stop in dollars. Please enter a value greater than zero.");
End;

If ( vCon <> -1 ) Then
Begin

vTotalEquity = istartEquity + Netprofit;
vDollarsToRisk = iRiskPercent * vTotalEquity;
VCon = Intportion( vDollarsToRisk / iStop$ );

If ( VCon * iPrice ) > vTotalEquity then VCon = Intportion( vTotalEquity / iPrice );

If ( VCon > iMaxUnits ) then VCon = iMaxUnits;
If ( VCon < iMinUnits ) then VCon = iMinUnits;

If ( debug ) Then
Begin
msg = "PosSize - Risk: " + Numtostr(iRiskPercent,2) +
" Net Profit: " + Numtostr(NetProfit,2) +
" Total Equity: " + Numtostr(vTotalEquity,0) +
" Dollar Risk: " + Numtostr(vDollarsToRisk,0) +
" Dollar Stop: " + Numtostr(iStop$,2) +
" Units: " + Numtostr(VCon,2);
retVal = _CE_Print_To_Print_Log( msg );
End;
End
Else Print("Pos_Sz_Prnt_Rsk function has invalid input.");

kevinkdog · August 16th, 2022, 03:45 PM

That is because the code is only basing its decisions on the Net Profit and Equity of the strategy (not your actual account). So, if you run this strategy for 5 years, and it has a ton of profit built up, the strategy will think it should trade 50 contracts next trade.

What you want, for live trading, is to access your actual account equity, and base decisions off of that.

You should probably create a separate version of the strategy to do this.

Look at TS Help for the "Get" reserved words, like GetRTAccountEquity

August 17th, 2022, 06:28 AM

kevinkdog

That is because the code is only basing its decisions on the Net Profit and Equity of the strategy (not your actual account). So, if you run this strategy for 5 years, and it has a ton of profit built up, the strategy will think it should trade 50 contracts next trade.

What you want, for live trading, is to access your actual account equity, and base decisions off of that.

You should probably create a separate version of the strategy to do this.

Look at TS Help for the "Get" reserved words, like GetRTAccountEquity

I think that makes sense! I�ll give it a shot. Thanks!

August 17th, 2022, 08:37 AM

kevinkdog

That is because the code is only basing its decisions on the Net Profit and Equity of the strategy (not your actual account). So, if you run this strategy for 5 years, and it has a ton of profit built up, the strategy will think it should trade 50 contracts next trade.

What you want, for live trading, is to access your actual account equity, and base decisions off of that.

You should probably create a separate version of the strategy to do this.

Look at TS Help for the "Get" reserved words, like GetRTAccountEquity

Sorry to bother you. So I updated the code to use GetRTAccountEquity. My live account that I am using for this has $3,000 equity. I took a trade this morning on MCL, which should allow me to purchase 3 contracts with this code. However, it is still only purchasing the minimum (1 contract). Any thoughts? Here is the updated code (appreciate your help!):

Inputs:
iRiskPercent( 0.01 ),
iStop$( 10 ),
iPrice(Close),
iMaxUnits( 50 ),
iMinUnits( 1 );

var:
msg(""),
retVal(false),
debug(true),
vCon(0),
vTotalEquity(0),
vDollarsToRisk(0);
If ( iRiskPercent > .99 OR iRiskPercent < .01 ) Then
Begin
vCon = -1;
Print("Invalid risk percentage input. Please enter a percent value from .01 to .99.");
End;

If ( iStop$ < 0 ) Then
Begin
vCon = -1;
Print("Invalid stop in dollars. Please enter a value greater than zero.");
End;

If ( vCon <> -1 ) Then
Begin

vTotalEquity = Getrtaccountequity(Getaccountid);
vDollarsToRisk = iRiskPercent * vTotalEquity;
VCon = Intportion( vDollarsToRisk / iStop$ );

If ( VCon * iPrice ) > vTotalEquity then VCon = Intportion( vTotalEquity / iPrice );

If ( VCon > iMaxUnits ) then VCon = iMaxUnits;
If ( VCon < iMinUnits ) then VCon = iMinUnits;

If ( debug ) Then
Begin
msg = "PosSize - Risk: " + Numtostr(iRiskPercent,2) +
" Net Profit: " + Numtostr(NetProfit,2) +
" Total Equity: " + Numtostr(vTotalEquity,0) +
" Dollar Risk: " + Numtostr(vDollarsToRisk,0) +
" Dollar Stop: " + Numtostr(iStop$,2) +
" Units: " + Numtostr(VCon,2);
retVal = _CE_Print_To_Print_Log( msg );
End;
End
Else Print("Pos_Sz_Prnt_Rsk function has invalid input.");

kevinkdog · August 17th, 2022, 09:01 AM

I would add print statements at various points in your code to see what is going on.

like:

print(date," ", vcon);

and make sure that each variable value is calculating what you think it should.

Are you sure vTotalEquity has the right value?

print(date," ", vTotalEquity);

would be one way to check.

August 17th, 2022, 09:18 AM

kevinkdog

I would add print statements at various points in your code to see what is going on.

like:

print(date," ", vcon);

and make sure that each variable value is calculating what you think it should.

Are you sure vTotalEquity has the right value?

print(date," ", vTotalEquity);

would be one way to check.

Thank you!

Trouble Debugging EL Position Sizing Code

Discussion in EasyLanguage Programming

Trouble Debugging EL Position Sizing Code