The principles of non-syndicator trading systems. - page 5

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Vitalii Ananev:

Not really. Stop points are not calculated based on risk. We know in advance where to place the stoploss. We also know the opening price of the order. We obtain the stop loss size in points (stoploss). We also know the risk size in % of the deposit beforehand (we set it in the settings). Then we get how much it will be in money terms in the deposit currency and calculate the deal volume based on it. That is the loss amount is regulated not by the stoploss size in points but by the deal volume. Thus, it turns out that the size of stoploss is not important. If the transaction outcome is unfavorable for us, we will lose no more than the given size of the risk. For example: 50 points stop with 1 lot volume, 100 points stop with 0.5 lot volume. In both cases monetary loss will be the same. Because of the rounding there may be small inaccuracies +/-, and spread may also affect if it is not taken into account.

...

Instead of

Simply put

In this way we will limit our loss to $100 and we will not care about the stop loss. Of course, if it is not too big. Then the calculated lot may be less than the minimum allowed value.

Another approach is also possible. If the value of the stop loss, which is usually tied to local extrema and set at some indent from them, turns out to be such that the value of the specified risk is exceeded, we simply refuse to enter the market. Which is actually logical, why enter, if you have already gone far from the extremum (large stoploss), because there is a high probability of the next reversal or correction.

 
Vitalii Ananev:

Not really. Stop points are not calculated based on risk. We know in advance where to place the stoploss. We also know the opening price of the order. We obtain the stop loss size in points (stoploss). We also know the risk size in % of the deposit beforehand (we set it in the settings). Then we get how much it will be in money terms in the deposit currency and based on this we calculate the deal volume. That is the loss size is regulated not by the stoploss size in points but by the deal volume. Thus, it turns out that the size of stoploss is not important. If the transaction outcome is unfavorable for us, we will lose no more than the given size of the risk. For example: 50 points stop with 1 lot volume, 100 points stop with 0.5 lot volume. In both cases monetary loss will be the same. Because of the rounding there may be small inaccuracies +/-, and spread may also affect it if it is not taken into account.

...

Instead of

Simply put

In this way we will limit our loss to $100 and we will not care about the stop loss. Of course, if it is not too big. Then the calculated lot may be smaller than the minimum allowed value.

I don't quite understand.
...
Then we obtain how much it will be in monetary terms inthe currency of the deposit, and based on this we calculate the volume of transaction. What is calculated? What is the size of Stop Loss in the currency of deposit or risk?
And if the size of Stop Loss is stationary, and even the minimum lot does not allow us to open a trade and the risks are already exceeded how then?

 
Martin Cheguevara:
I do not quite understand.
...
Then we obtain how much it will be in monetary terms inthe currency of the deposit, and based on it we calculate the deal volume. What is calculated? Size of Stop Loss in the currency of deposit or risks?

Initially the risk is set as a percentage of the deposit. We need to calculate how much it is in monetary terms. We get the amount of risk in the currency of the deposit. If the deposit is in rubles, then in rubles. If it's in dollars, then in dollars.

DRisk = AccountFreeMargin()*PPRisk/100;

And from this we calculate the volume.

       lot = DRisk/(stoploss*TicValue);
       lot = lot*(TicSize/Point());
       lot = NormalizeDouble(lot,2);
Martin Cheguevara:

If the Stop Loss amount is stationary, and even the minimum lot does not allow opening a transaction and the risks are higher, how then?

I already wrote about it above. If initially the stoploss is too large or the risk is too small, or both of these factors together. Calculations may result in the volume being less than the minimum allowable one. You should use the minimum volume or refuse from the deal. My code uses the minimum volume.

if (lot==0) lot=MarketInfo(Symbol(),MODE_MINLOT);
khorosh:

Another approach is also possible. We enter with a fixed lot and if the value of Stop Loss, which is usually bound to local extrema and set with some indent from them, turns out to be such that the value of the specified risk is exceeded, we simply refuse entering the market. Which is actually quite logical, why enter, if we have already gone far from the extremum (large stop-loss), as there is a high probability of the next reversal or correction.

This approach is also possible. Only in your example the volume is constant and stop size is regulated by the size of risk. In my example, the size of the stop is regulated by the market situation and the risk is regulated by the volume in a trade. I think it is more correct to choose stop depending on the market situation (e.g. volatility) rather than the planned risk.

 
Vitalii Ananev:

Initially the risk is set as a percentage of the deposit. We need to calculate how much it is in monetary terms. We get the amount of risk in the currency of the deposit. If the deposit is in rubles then in rubles. If in dollars then in dollars.

And from this calculate the volume.

I wrote about it above. If initially there is a large stop-loss or too small risk, or both of these factors together. Calculations may result in the volume being less than the minimum allowable one. Then you should use the minimum volume or refuse from the deal. My code uses the minimum volume.

This approach is also possible. Only in your example, the volume is constant and stop size is regulated by risk size. In my example the size of the stop is regulated by the market situation and the risk is regulated by the volume in a trade. I think it would be more correct to choose the stop depending on the market situation (e.g. volatility) rather than the planned risk.

Thanks for doing this today. I'll see what happens.
 
Martin Cheguevara:
Thank you, I will try it today. I'll see what happens.

Try it, but it does not relate to the principles of a non indicator trading strategy. It's more about money management than the strategy itself.

 
Vitalii Ananev:

Initially the risk is set as a percentage of the deposit. We need to calculate how much it is in monetary terms. We get the amount of risk in the currency of the deposit. If the deposit is in rubles, then in rubles. If in dollars, then in dollars.

And from this calculate the volume.

I have already written about it above. If initially there is a large stop-loss or too small risk, or both of these factors together. Calculations may result in the volume being less than the minimum allowable one. Then you should use the minimum volume or refuse from the deal. My code uses the minimum volume.

This approach is also possible. Only in your example, the volume is constant and stop size is regulated by risk size. In my example the size of the stop is regulated by the market situation and the risk is regulated by the volume in a trade. I think it would be more correct to choose the stop depending on the market situation (e.g. volatility) rather than the planned risk.

Damn right I have dynamic stops and you have static stops, and dynamic lots, although they should be static because the Profit is dynamic, and they need to be statistical, and the Profit is dynamic to control the risks by points of profit, not by increasing the lots, based on market conditions
At least there is something useful in this forum)
You may control the risks first by distance and then by lots.
This is several times more effective.
 
Vitalii Ananev:

Try it, but it does not relate to the principles of a non indicator trading strategy. It is more about money management than the strategy itself.

Thanks, it worked, I used TP as an analogue of increasing lots, the bigger the TP the bigger the lot. That is, instead of lots I increased the delta depending on the total loss. Initially I set TP 4 times larger or just testing until the system "starts". Of course in the automatic system to make adaptive how many times more TP should be... I don't know... there should be a dependence... for example average loss and average profit...
 
Martin Cheguevara:
Thanks, it worked, I used TP as an analogue of increasing the lots, the bigger the TP, the bigger the lot. That is, instead of lots I increase the delta depending on the total loss. Initially I set TP 4 times larger or just testing until the system "starts". Of course in the automatic system to make adaptive how many times more TP should be... I don't know... there should be a dependence... for example average loss and average profit...

I don't know the ins and outs of your system. But, if you just think, if 3-4 times the profit covers the loss, then if the number of profitable to the number of losing trades will be about 50 to 50, in the end you will still be in the plus. I read somewhere that L. Williams (or he wrote in his books) had about 40% percentage of profitable trades.

But when you take profit much, the problem is that the price doesn't always pass the necessary distance. If we take a stop loss of 10 points then a 30-40 points profit is easy to reach (the euro moves 80-90 points a day on average). But if we set a stop 100 points, then 3-4 times more profit would take the price 300-400 points, and that is too far away to be reached in one day. Or even worse, it will pass 100-150 points and turn in the opposite direction. At the same time the 10-point stop is too small and may be easily missed.

 
Vitalii Ananev:

I don't know the ins and outs of your system. But, if you just think, if 3-4 times the profit covers the loss, then if the number of profitable to the number of losing trades will be about 50 to 50, in the end you will still be in the plus. I read somewhere that L. Williams (or he wrote in his books) had about 40% percentage of profitable trades.

But when you take profit much, the problem is that the price doesn't always pass the necessary distance. If we take a stop loss of 10 points then a 30-40 points profit is easy to reach (the euro moves 80-90 points a day on average). But if we set a stop 100 points, then 3-4 times more profit would take the price 300-400 points, and that is too far away to be reached in one day. Or even worse, it will pass 100-150 points and turn in the opposite direction. At the same time a 10-point stop is too small and it may be easily missed.

I have a special mechanism for that which resembles a pendulum strategy.
+ Identification of the price corridor. This increases the chances of covering the distance of 4 points or more within a day.
Of course all parameters of the system are not calculated on the fly, but depend on the market situation and the current corridor, in which the price fluctuates
 
Williams is lying if his book is written the way you described ...) it's impossible that with an TP of 4 times the Stops, profitable and unprofitable trades are 50/50. Even 40 over 60 seems like a rosy hope ...
30 on 70 is still more or less realistic...
The smaller the stops the more trades the greater the load of the most important factor - the spread on the deposit.The spread will simply eat up all the average profit and give losses inevitably
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