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    metroholographix

    @metroholographix

    Trader / Investor / Quant

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    Best posts made by metroholographix

    • Trading the equity curve

      Hi all, I have the same problem of this guy here form 2018:

      https://community.backtrader.com/topic/1354/trading-the-equity-curve

      So long story short: imagine we have two equity lines, one is the "real" equity line derived from all the trades that actually take place in the strat, the second one instead, is the "unfiltered" equity line.
      The scenario goes down ad follows: your strat open and close trades according to the strategy, if it ever reach a prefixed level of drawdown, the system stops taking actual trades and goes "idle", hence the "real" equity line stops being fed, but in the background it keeps tabs of the trades it would have made, and keeps updating the "unfiltered" equity line. The moment the "unfiltered" equity line goes to a level under the maximum drawdown, the system goes back online and starts taking actual trades again.

      Seems pretty convoluted, but I already thought about a couple of ways of implementing that, but everything I come up with it feels a bit "hacky".
      I was wondering if maybe there was a more clean way of doing it

      posted in Indicators/Strategies/Analyzers
      metroholographix
      metroholographix

    Latest posts made by metroholographix

    • Trading the equity curve

      Hi all, I have the same problem of this guy here form 2018:

      https://community.backtrader.com/topic/1354/trading-the-equity-curve

      So long story short: imagine we have two equity lines, one is the "real" equity line derived from all the trades that actually take place in the strat, the second one instead, is the "unfiltered" equity line.
      The scenario goes down ad follows: your strat open and close trades according to the strategy, if it ever reach a prefixed level of drawdown, the system stops taking actual trades and goes "idle", hence the "real" equity line stops being fed, but in the background it keeps tabs of the trades it would have made, and keeps updating the "unfiltered" equity line. The moment the "unfiltered" equity line goes to a level under the maximum drawdown, the system goes back online and starts taking actual trades again.

      Seems pretty convoluted, but I already thought about a couple of ways of implementing that, but everything I come up with it feels a bit "hacky".
      I was wondering if maybe there was a more clean way of doing it

      posted in Indicators/Strategies/Analyzers
      metroholographix
      metroholographix