Equity profiling and Auto Trading

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NW27
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Equity profiling and Auto Trading

Postby NW27 » 25 May 2012

Hi All,
Not all systems work 100% of the time ie trend systems are crap in choppy markets.
So when you look at a equity curve for a trending system, the huge draw down area is usually the chop action.
So what we need to do is turn the system ON/OFF/ON/OFF etc.
A common way of determining when to turn the system OFF, is when the equity goes below a MA of the equity. When the equity goes back above, turn it back on.

So here is the gotcha.
If the equity goes below the xaverage (equity,20), we can stop placing orders, fine BUT if we stop placing orders, the equity will never go back up again :(
So, we need to keep placing orders but we need to be able to distinguish these pseudo orders from real market orders placed with a broker.

So if we were trading for real, we would need some way of turning the Automated Trading ON/OFF from within the code. That way we move from placing trades with the broker for real then to sim MC trades and back to the broker again.
So how do you do that ???

The other area is actually developing the system in the first place. How do you flag certain trades to be real sim trades and others not.
Hmmm, perhaps making your own Equity variable and only increase this with trades done when the MC equity is above the MA.
Unfortunately this is hard to report on, would be good if there were some user defined charts that could be included in the "Strategy Performance Report" Multicharts are using listening :)

Thoughts any one?

Neil.

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JoshM
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Re: Equity profiling and Auto Trading

Postby JoshM » 03 Jun 2012

perhaps making your own Equity variable and only increase this with trades done when the MC equity is above the MA.
Unfortunately this is hard to report on, would be good if there were some user defined charts that could be included in the "Strategy Performance Report"
Looks like you answered your own question. :) If you keep track of a dummy variable with the PL of all trades, and skip the trades depending on the MA of this variable, then the 'real' backtested trades will show up in the Performance Report. I'm not sure why you want to also show the Performance Report for all trades (the trades without equity curve filtering), since that would be the same as backtesting the strategy without equity curve fitting.
So if we were trading for real, we would need some way of turning the Automated Trading ON/OFF from within the code. That way we move from placing trades with the broker for real then to sim MC trades and back to the broker again.
So how do you do that ???
Perhaps something like

Code: Select all

// Equity Curve management function here
FitToTrade = TradeEquityCurve(PLofAllTrades, PLofActualTrades);

if (FitToTrade = True) then begin

// Strategy logic here

end;


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