PosSizer to Stop Trading @ Intra-month drawdown
Author: akardar1
Creation Date: 11/8/2015 5:57 AM
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akardar1

#1

11/8/2015 5:57 AM

Hi Team,

I am looking for a canned pos-sizer solution that will enable me to test a strategy using the Max Percent Risk ALONGSIDE a Max Percent Drawdown (By Period).

For instance.... a max percent risk of 2% and a Max Percent Drawdown of 20% per month.
In this instance, if we have a intraday month drawdown >20%, trading would stop and resume the following month.

Any thoughts would be appreicated, thank you in advance

AK

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Eugene

#2

11/8/2015 7:08 AM

Here's it, available in MS123 PosSizer library (restart WLD after installing):

Limit Monthly Drawdown
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akardar1

#3

11/8/2015 7:29 AM

Thanks Eugene, this is great.
We don't have the ability to change the period by any chance ? (weekly/monthly).
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Eugene

#4

11/8/2015 8:06 AM

No, we don't. That would take us to develop a new, Weekly logic (that wasn't requested before).
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akardar1

#5

11/8/2015 8:43 AM

Thanks Eugene
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