MM System, How to go live?

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palmone
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MM System, How to go live?

Postby palmone » 04 Sep 2014

Hi,
I would like to implemnt live and auto MM system, i will try to explain my problem:
Suppose i use for position sizing this variable:

Start equity
equity =startequity+netprofit

Now, in backtest we have no problem, but what about live?
I would like to start with "netprofit"= 0 but is a function and it get all the profits (also in the past when i was not trading)
In SA mode this is not a problem , but i need it to work in AA mode.

Thanks a lot!

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Henry MultiСharts
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Re: MM System, How to go live?

Postby Henry MultiСharts » 04 Sep 2014

Hello palmone,

GetRTAccountEquity returns current account balance from broker in realtime. This value cannot be used for backtesting, only for realtime trading.

In backtesting you can calculate the current balance using the following formula:
InitialCapital + netprofit + openpositionprofit.

palmone
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Re: MM System, How to go live?

Postby palmone » 05 Sep 2014

Hi henry thanks for you answer.
I need something a little bit different, the calculation of real time account equity is not exactly what i need in this case.

I try to explain, fixed ratio formula is
N = 0.5 * [(1 + 8 * P/delta)^0.5 + 1]
where P is the net profit.

Netprofit reserved world of multicharts is exacltly what i need because is an internal calculation based on the single strategy (correct me if it's worng , "netprofit" is not linked to account), so i can calculate the size in function of the netprofit of the single strategy (with total real equity, profit or loss might be drive from other strategist - or discretionally trades).
So what i'm looking for is a way to start with a net profit of 0 when i go live (so the size calculation start from this point)
Thanks

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Henry MultiСharts
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Re: MM System, How to go live?

Postby Henry MultiСharts » 05 Sep 2014

That is possible to reset the value once auto trading is started. Please see GetAppInfo(aiStrategyAuto) for more details and examples.

palmone
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Re: MM System, How to go live?

Postby palmone » 05 Sep 2014

Thank you i will study it!


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