Our money management algorithms are designed to trade the equity curve. Equity curve management can improve risk management and reduce draw downs so that less capital is required to trade a strategy or portfolio.
Some of our latest money management research and strategies include systematic equity curve management strategies such as letting the basic system trade in simulation mode so that it will continue to generate an equity curve. The money management algorithm will only allocate real trades when the trend of the equity curve is up. Another example of one of our systematic money management algorithms is to stop trading at a pre-defined draw down and then to start again once there has been a run up of a predetermined amount from the equity curve lows.
Note that the second equity curve also requires the moving average of the equity curve to be in an uptrend. To accomplish these equity curve management strategies successfully we use DLL’s to generate the trades in one window, and then pass the information from the trading to a second window that has a strategy that uses the original rules in addition to the equity curve management rules.
This is the only product that I have found that will allow real-time analysis and automation of equity curve and money management algorithms instead of just an end of day calculations that need to be manually implemented.
Our equity curve money management strategies currently include Thirteen different equity curve strategies (8,192 combinations):
1.) Trade the strategy only if the two period moving average of its equity curve is up.
2.) Trade the strategy only if the ADX of the closed trade equity curve is above the ADX Threshold.
3.) Trade the strategy only if the Stochastic of the closed trade equity curve is above the Stochastic Threshold.
4.) Trade the strategy only if the RSI of the closed trade equity curve is above the RSI Threshold.
5.) Trade the strategy only if the Average Trade Profit of the last 10 trades is with the specified average trade profit range, typically above 0.
6.) Improve entry efficiency by entering at better prices by looking at the base strategies marketposition and entry price and placing limit orders to improve on that price by a specified dollar amount.
7.) Stop trading the equity curve if it goes into a pre-defined drawdown (set as an input) and then start trading if it goes into a run up of a pre-defined amount from equity valley lows.
8.) Require the Drawdown be greater than the Average Drawdown of the last 100 bars.
9.) Require the Drawdown be less than the Average Drawdown of the last 100 bars.
10.) Require the open equity curve two period moving average be up.
11.) RSI of the open equity curve of the last L1 bars be greater than the RSI Threshold.
12.) Enter the strategy on a drawdown by “buying dips” of a specified amount/input.
13.) Consecutive Losers algorithms lets us start after a specified number of losers.
We include our Pinpoint Entry Algorithm
(formerly known as the Better Entry Algorithm)
Most of the time a trade does not immediately go in our favor and we experience some adversity in the trade. Many times we wonder how we could make our system better or what rules we can add to improve our entry. The Pinpoint Entry Algorithm allows us to watch our original strategy trade and then get in at a better price on a one minute chart. We can test for the best entry point by changing or optimizing the EntryLoss input parameter. This value is set to a dollar amount of loss for us to wait for in order to begin trading our original system. This algorithm is used to improve our entry efficiency.
We include our Consecutive Losing Series Algorithm
The Consecutive Losing Series Algorithm includes an algorithm to start trading a trading system only after x consecutive losers and then stop trading after a winner. The “x consecutive losers” is an input called “LossesToStart” that can be modified and optimized. This strategy will allow you to test perceived opportunities of wanting to start trading after a losing streak of x losers and the stop trading after a winner.
This is similar to a martingale strategy of doubling down after a loser except we are trading zero contract until we get the number of losers that we want. This algorithm is recommended to be tested and traded with more high frequency approaches of at least 250 trades per year.
We include the New York Scalper money management algorithm that includes two different equity curve/money management algorithm strategies:
1.) Trade only on days after there is a $100 of loss or more in the original strategy.
2.) Begin trading the money management version intra-day if the original system is down $150 or more on a closed trade basis.
There is also a Generic Version of the NY Scalper Money Management version that is included that will allow you to test similar high frequency trading systems without re-programming your original strategy.
We offer our complete money management algorithms listed above including
the EasyLanguage open code for Tradestation and MultiCharts.
Money Management Algorithms $2,997 (Normally $4,997)
*Exclusively for MultiCharts and Tradestation
*Includes Open Code, allow one business day for email delivery
*Now works in the 64 bit version of MultiCharts and Tradestation
See the latest updates for our money management algorithms on 3/4/2013
Money Management and Equity Curve Management Algorithm Updates Revision 4.1
These Money Management Algorithms allow you to test and automate ideas based on stopping and starting a strategy by keeping the base strategy running to make calculations and then take trades based on the calculations in a new window by using a DLL, dynamic link library. The Money Management Algorithms include the open code for the Cobra CT’s and NY Scalper strategies (some of our best strategies) and to show how these strategies are programmed in case you want to program the rules into your own trading systems.
You don’t have to know how to program though! We have the “Generic Versions” (explained below) that can be used to test our algorithms on your current strategies and do not require any programming.
With the Generic Versions, you can quickly test our algorithms on your current trading systems. You will insert the indicator we provide into your base strategy window and then use the Generic Money Management Algorithm Trading System (that we also provide) that will read the Marketposition and Open Equity of the base system to take trades uisng rules from any of our Algorithms including the Equity Curve Management Rules, Pinpoint Entry Algorithm, or Consecutive Losing Series Algorithm.
With the Generic Version you don’t have to re-program any of your strategies. It will allow you to test closed code systems that you own or lease and allow you to have a more “unique” entry price (in the case of the Pinpoint Entry Algorithm) from other subscribers if you are leasing a closed code trading system.