Using Drawdown in sell rules - Trading Software

Using Drawdown in sell rules

F Mazandarany
2010-12-15 15:02:56

I'm trying to use "drawdown" in a sell rule, as follows:

nasdcomp = GetSeries("_NASDAQ_52WK_His_LOs", close) ;
// Buy rules
Rule1 = nasdcomp >= 0.0 ;
buy = Rule1;
// Sell rules
Rule2 = nasdcomp <=-30 and drawdown<=-10;
sell = Rule2;

I get an error bar under "drawdown<=-10;" .....what is the cause of the error? It works correctly without the drawdown portion, but there must be a way to add a drawdown condition for the sell rule.

QuantShare
2010-12-16 04:25:31

The "drawdown" variable is unknown.

Instead, you can use a 10% trailing stop.

It is not possible to calculate the drawdown in the formula because the formula generates signals only and it doesn't know which trades were taken and at which price. The only way to create a drawdown like this is to use the Money Management script.

F Mazandarany
2010-12-16 09:52:36

Thanks, Could you help with the MM script to do this?

QuantShare
2010-12-17 04:04:48

Best Answer

I have created a drawdown function that you may find useful: Drawdown Since Trading Signal

For the MM Script, add the following code in the "OnEndPeriod" event and remove your "sell" formula:

string sellrule = "nasdcomp = GetSeries('_NASDAQ_52WK_His_LOs', close);a = nasdcomp

Drawdown Since Trading Signal (by QuantShare, uploaded several months ago)

No notes

F Mazandarany
2010-12-17 12:18:07

Hi:
you are very helpful, thank you

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