Money Management Based on Trailing Stops

Money Management Based on Trailing Stops

Lars Karlsson
2016-05-31 15:20:02

I'm trying to set up an AMM script for a CFD trend following strategy that uses trailing stops and fixed risk per position.
I need the script to sum up all the "locked in" profits based upon the current trailing stop levels for each active position. These accumulated,
but not yet realized, profits from the trailing stops, plus the available cash in the account, is then used to finance the opening of new positions.

How do I go about to access the trailing stop price level for an open position?

QuantShare
2016-06-01 04:41:22

Best Answer

You need to keep track of the highest high of each position:

MMPosition[] list = Portfolio.GetOpenPositions();
for(int i=0;i < list.Length;i++)
{
MMPosition pos = list[i];
double high = pos.GetValueFromFormula("a=high;", "a");
if(high > pos.Var2)
{
pos.Var2 = high;
}
}

Then get the trailing stop level with something like this:

MMPosition pos = Portfolio.GetPosition("Name");
double level = pos.Var2 + pos.StopSettings.TrailingStop;

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