Code for Compounding and Mangement Fees

JayMTF · Postby **JayMTF** » 13 Dec 2014

Hello,

I've backtested a strategy that has returned 200% profits since January 2013 to today using a continuous contract with the IB data feed. However, after searching for code or built in features, I have two questions so that the results are more realistic to potential investors:

1) How can I add a management performance fee of 20% of profits high water mark at the end of each month?

2) How can I code or enable compounding so that the system automatically buys/sells 1 ES contract for every $7,500 USD as opposed of using 1 contract regardless of what the account grows to?

Thanks in advance,

Jason

JoshM · Postby **JoshM** » 14 Dec 2014

Untested but to get you started:

For (1), something like:

Code: Select all


Variables:

	highWaterMark(0),

	prevHighWaterMark(InitialCapital),

	profitThisMonth(0);



if (Month(Date) <> Month(Date[1])) and (BarStatus(1) = 0) then begin



	highWaterMark = InitialCapital + NetProfit; // + OpenPositionProfit ?

	

	if (highWaterMark > prevHighWaterMark) then

		profitThisMonth = (highWaterMark - prevHighWaterMark) * 0.20;	

	

	prevHighWaterMark = MaxList(highWaterMark, prevHighWaterMark);



end;

For (2), something like:

Code: Select all


Variables:

	posSize(0),

	accountSize(0),

	myEntryCondition(true);

	

if (myEntryCondition = true) then begin 



	accountSize = InitialCapital + NetProfit; // + OpenPositionProfit?

	

	posSize = Floor(accountSize / 7500);



end;

JayMTF · Postby **JayMTF** » 15 Dec 2014

Thank you very much JoshM. I would have never been able to figure that out. My code is only 4 lines. I'll give it a try this week and let you know how it goes.

Truly appreciated,

Jason

Code for Compounding and Mangement Fees

Code for Compounding and Mangement Fees

Re: Code for Compounding and Mangement Fees

Re: Code for Compounding and Mangement Fees