Support Board
Date/Time: Wed, 27 Nov 2024 14:46:19 +0000
Post From: what do you know/think about Trades/Viz
| [2023-08-10 19:39:43] |
| User61168 - Posts: 403 |
|
In order for algos to be more rational and less emotional , it needs to actively participate in handling of risk parameters to prevent drawdowns, margin calls, consecutive losses etc. without manual intervention. All such techniques require access to account equity in real time (account equity = realized PnL plus floating pnl from open trades). If I want to achieve a MaxDD of 10% and if I have approached realized loss of 8% of account value and I have a running float profit of say 25%, wouldn't I want to proactively sell my open float profit to reduce my realized loss drawdown from 8% to 0% and let the remaining float profit run longer? Having access to High watermark i.e. peak equity of closed and open trades is absolutely crucial. It is the key ingredient of developing strategies with positive expectancy. ProTip: When developing a new strategy, start off with only stoploss and Breakeven trade exits and no profit taking exits. Results will scream at you whether your entry signal i.e. trade frequency is worth pursing. Calculating high watermark on a daily basis (realized pnl plus floating pnl) with such approach will reveal the most important element of intra-day algo trading >> when to exit your floating profits in the most profit-optimized manner to trigger close-all and stop trading for the day! All my algo have take-profit exits only when 1) account is above my maxdrawdown threshold and 2) Close-all when daily profit target is met (and ofc, max loss for the day). For this very reason, I opt to run one algo on one instrument per account. Hope this helps. John@SC Support - The easiest way I can think of is to alter the trading profit/loss text study to output the results in subgraphs that can be accessed in simple alerts. This study already has the code developed to display "Include Open Profit/Loss in Daily Profit/Loss", "Show Maximum Open Position Profit" and "Show Maximum Open Position loss" values so it is just a matter of using these 3 values to calculate High/low watermark and making them available for use in algo trading. Date Time Of Last Edit: 2023-08-10 19:42:43
|