Return per Bar Stop - Money Management Strategy

Return per bar is a metric calculated by dividing a position return by the number of bars since entry (holding period).

For each position and for each trading bar, this money management script calculates the Return par bar and then exits a position if this metric is lower than a specific threshold.

The money management script creates a sort a stop where each position that have a low return per bar is exited to allow new positions to be entered (long or short). The return per bar threshold can be set in the money management variables panel. You can also set a variable named "Bars to skip". This variable instructs the simulator/backtester to ignore the calculation of the Return/Bar stop during the first holding bars of a position.

Both "Return/Bar Stop" and "Bars to Skip" variables can be optimized directly within the money management variables panel.

The Return/Bar Stop can be added along with other stops such as N-Bar Stop, Trailing Stop, Profit Stop or Stop-Loss.

The way this stop works is very simple. First, it creates two numeric inputs in the "OnStartSimulation" event of the money management tool. In the "OnEndPeriod", it gets the value of the latter numeric inputs and then gets all open positions. It loops through each position and checks whether the position holding bars (BarsSinceEntry) is higher than the "Bars to Skip" variable. If it is the case, it calculates the Return/Bar metric and then checks the value against the "Return/Bar Stop" threshold. If the latter condition is met then the position is closed using the "ClosePosition" function.

Other useful money management script:
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