I'm trying to set a stop loss and take profit as a percent value of my accounti.e: I have 1000$ in my account and I want to risk 1% per trade and set the stop loss 40 pips below the market order price. Or set a stop loss n pips below the current price and always risk 1%.

So far this is what I came with, but from the backtest results I see that order quantity are around 27000 units.

Any feedback will be much appreciated.

import decimal as d from datetime import timedelta class MovingAverageCrossAlgorithm(QCAlgorithm): def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2020, 1, 1) #Set Start Date self.SetEndDate(2020, 12, 31) #Set End Date self.SetCash(1000) #Set Strategy Cash self.currencies = ["EURUSD","NZDUSD"] self.Data = {} for ticker in self.currencies: symbol = self.AddForex(ticker, Resolution.Hour).Symbol self.Data[symbol] = SymbolData(self.SMA(symbol, 50, Resolution.Hour), self.SMA(symbol, 200, Resolution.Hour)) self.SetWarmUp(203) self.quant = 1000 def OnData(self, data): if self.IsWarmingUp: return self.Log(str(self.Portfolio.MarginRemaining)) for symbol, symbolData in self.Data.items(): fastPastValue = symbolData.fastSMAWindow[1].Value slowPastValue = symbolData.slowSMAWindow[1].Value fast = symbolData.fast.Current.Value slow = symbolData.slow.Current.Value if self.Portfolio[symbol]: price = data[symbol].Close pip = self.Securities[symbol].SymbolProperties.MinimumPriceVariation leverage = self.Securities[symbol].Leverage margin = self.Portfolio.MarginRemaining risk = 0.01 orderSize = (risk * margin * price) / (40 * pip ) stopLoss = (price - 0.0040) profitTarget = (price + 0.0040) if fast > slow and fastPastValue < slow: self.MarketOrder(symbol, (orderSize)) self.StopMarketOrder(symbol, -orderSize, stopLoss) self.LimitOrder(symbol, -orderSize, profitTarget) def OnOrderEvent(self, orderEvent): order = self.Transactions.GetOrderById(orderEvent.OrderId) if order.Status == OrderStatus.Filled: if order.Type == OrderType.Limit or order.Type == OrderType.Limit: self.Transactions.CancelOpenOrders(order.Symbol) if order.Status == OrderStatus.Canceled: self.Log(str(orderEvent)) class SymbolData: def __init__(self, fast, slow): self.fast = fast self.slow = slow self.fastSMAWindow = RollingWindow[IndicatorDataPoint](2) self.fast.Updated += self.FastSmaUpdated self.slowSMAWindow = RollingWindow[IndicatorDataPoint](3) self.slow.Updated += self.SlowSmaUpdated def FastSmaUpdated(self, sender, updated): if self.fast.IsReady: self.fastSMAWindow.Add(updated) def SlowSmaUpdated(self, sender, updated): if self.slow.IsReady: self.slowSMAWindow.Add(updated)

 

Author

SIG_94

March 2021