Our daily loss limit was lying to us — a measurement - page 2

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Sayed's case names the remaining hole precisely: an equity check measures where a foreign position is, not where it can go. A position from another EA sitting near breakeven uses almost no room at admission, yet it can still lose its full stop distance plus its gap allowance alongside your own positions, and on a gold news release those gaps arrive together rather than one at a time. The fix I would use is to make the governor enumerate every open position, regardless of magic number or symbol, and reserve stop distance plus gap allowance for each one before admitting anything new. If a foreign position has no stop, that is the honest signal to block new entries until it is gone, since its downside is uncapped. One replay case worth adding is exactly Sayed's: a breakeven foreign position plus your own positions, all gapped at once, with the assertion that the worst day stays inside the cap. That turns the account-level view Chris learned the hard way into a test rather than a hope.
Chris K. #:
Hi Mohamed,
sure, you can use it, but please anonymously. Just as described here, without naming the firm or the EAs.

Interesting that you measured the "room already used" case now. In my case nobody looked at the account as a whole, every EA only knew its own stops.
I think thats the real lesson, more than the gap itself.

Best regards
 Chris
Thanks Chris — anonymous, exactly as you described it. No firm, no EA
names.

And you're right that the real lesson is the account-level view, not the
gap itself. That's the part I built.

Who should I be talking to about this? A prop firm's risk desk is my
guess — you've been inside one, so you'd know better than me.
Mohamed Trading #:
Thanks Chris — anonymous, exactly as you described it. No firm, no EA
names.

And you're right that the real lesson is the account-level view, not the
gap itself. That's the part I built.

Who should I be talking to about this? A prop firm's risk desk is my
guess — you've been inside one, so you'd know better than me.
Hi Mohamed,

one thing I have to correct. i was never inside a prop firm, I only traded on one of their accounts. So I really don't know how their risk desk works or who decides there.

What I can say is who got hurt in my case. People like me, who run more than one EA on the same account, each with its own stops and nobody watching the total. Most of them only notice it after the first breach.

Good luck with it :)
Chris
atif Aliza #:
Sayed's case names the remaining hole precisely: an equity check measures where a foreign position is, not where it can go. A position from another EA sitting near breakeven uses almost no room at admission, yet it can still lose its full stop distance plus its gap allowance alongside your own positions, and on a gold news release those gaps arrive together rather than one at a time. The fix I would use is to make the governor enumerate every open position, regardless of magic number or symbol, and reserve stop distance plus gap allowance for each one before admitting anything new. If a foreign position has no stop, that is the honest signal to block new entries until it is gone, since its downside is uncapped. One replay case worth adding is exactly Sayed's: a breakeven foreign position plus your own positions, all gapped at once, with the assertion that the worst day stays inside the cap. That turns the account-level view Chris learned the hard way into a test rather than a hope.
You named the case we don't cover. Numbers rather than my opinion.

The check lists positions one traded instrument at a time, never the
whole account — so a position on an instrument we don't trade reaches it
only as equity, and 50 lots gets the same decision as 0.25. On our
13-day record with a real GBPUSD path, a foreign long breaks 11 of 13
days at 3 lots or less; the smallest that broke one was 0.08 lots.

One I hadn't considered: a foreign position in profit offsets a loss
we've already taken, so an order that would be refused gets admitted —
it then returns to break-even and the day still breaks.

Had the check seen it, its existing rules would all have refused. So
this is about what it enumerates, not a missing rule. That's the change
being made.

Send more cases like this. You name the ones nobody models; I can run
any of them through the replay and come back with numbers.
Late to this, but one data point on the "minute bars understate" part.

Testing an equity-based daily lock (100,000 account, 5% limit, lock at 90% of it): with "1 minute OHLC" the day closed at 105% of the limit, with real ticks it locked at 90.0% (−4,501 of −5,000). Same code, same day. On bars the lock simply saw the drop too late.

On atif's point about news gaps arriving together: reserving allowance for them is one answer, being flat is the other. Closing positions a few minutes before high-impact news and before the Friday close removes the scheduled part of that tail, and what is left to budget for is the surprise gaps only. Same idea at the soft limit: close what is open, not just block new entries, since the open risk is what gaps through.

Mohamed, in your 13.84% day, how much of it came from scheduled releases?
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