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This forex risk manager is based in the work made by @Deval Keralia in this post. I even copied its Volatility model!
The strategy itself is a simple moving average cross, so is not even a strategy, is just a framework to show the Risk Manager.
The risk manager checks three condition before estimate the entry quantity.
- The max risk per trade
- The max exposure per trade
- The max exposure in all open trades.
And returns two values, the entry quantity and the stop-loss price. The risk manager also implements a trailing order for the stop-loss orders.
I made this testing algorithm for the risk manager class, just in case you want to check it.
If you have some ideas about how to improve it or just some thoughts, I’d love to hear them.
P.S. yeah I know the 2 Sharpe is a clickbait, but maybe without it, you wouldn't read this post at all ;)
Abbas Sadiq
Petter Hansson
You've posted 2 threads already. You sure you selected "Newest" rather than "Trending"?
JayJayD
Ian Worthington
This code requires mad "buying power". When in RL our broker would allow us to do this as one clean StopLossOrder.
JayJayD
Hi Ian, thanks for your feedback.
Why do you say the algorithm requires mad "buying power"?
I made a simple try in the attached backtest o check if by submitting a StopMarketOrder the margin decreases, but no.
Here is the attached backtest Log:
2016-02-01 00:00:00 : Purchased EURUSD on 02/01/2016 2016-02-01 00:00:00 : Time: 02/01/2016 05:00:00 OrderID: 1 Symbol: EURUSD Status: Submitted 2016-02-01 00:00:00 : Margin Remaining : $ 10,000.00 2016-02-01 00:00:00 : Time: 02/01/2016 05:00:00 OrderID: 1 Symbol: EURUSD Status: Filled Quantity: 1000 FillPrice: 1.0848218 USD OrderFee: 2.00 USD 2016-02-01 00:00:00 : Margin Remaining : $ 8,913.18 2016-02-01 00:00:00 : Time: 02/01/2016 05:00:00 OrderID: 2 Symbol: EURUSD Status: Submitted 2016-02-01 00:00:00 : Margin Remaining : $ 8,913.18Maybe I’m missing something. Can you please show us a better implementation?
Chris haiden
this thread is really helpfull for me.. would like gain and share more knowledge about forex risk manager implemantation
JayJayD
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