Warning, this is going to sound harsh! It is, but I'm not trying to scare you away, I just want you to read the code some more, and plan out in your head (in a very literal way) how you would solve these problems - a very useful exercise. If you think you have the solution, try to code it (just don't start trading live!)
This is where I am trying to understand using multiple strategies per > instrument for IB and risk management. What if S1 was cancelled by a > reverse position by S3 and the rest of the strategies are all losing > money? What is the best risk management approach? > 1) Create strategies that don't lose money? *grin* 2) Only trade as many strategies as you can afford to trade. If you can only afford to trade 1 contract, only trade one strategy. Period. Otherwise, you will over-leverage. 2) If you want a stop loss, write it into the strategy. That isn't hard to do, at all, and if you find that it is, you should NOT be trading your account with JBT. This isn't meant to be disrespectful, this is meant to save your ass. Know what you are doing, or don't do it. How do we prevent a black swan event and have our account wiped out > without a stop loss feature? > That is for you to figure out. Every trader has a different perspective on this situation, but I would trade with JBT only while you are watching the system and your brokerage account and are there to manually intervene when market conditions get bad (you probably should be out of the market long before things get bad, unless you are lucky enough to be short in a crash). JBT does not have this built in - feel free to write some experimental code and report back what you find - as this is a common topic that is unresolved. > > > I've experimented with a stop loss on many different strategies, but > > testing them one at a time, not as a portfolio, as you suggest. There > > is no concept of a "portfolio" view in JBT where you can set the > > targets and exist for a set of strategies as a whole, but yes, it can > > be done. > > It would be great if we have that portfolio feature with the ability > to set profit targets and stop losses per day for each instrument. > Then one can design a system with a positive expectation. > > Profit target per day? I think that would be completely silly for an automated trading program, but that is just my opinion. Do feel free to prove me wrong - by writing a winning strategy that implements these features, and documenting the optimization results demonstrating that this philosophy has better results than not using this philosophy. IMO, these are rules to keep traders' heads on straight and not let the emotions take over - problems that computers don't tend to have. > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To post to this group, send email to [email protected]. > To unsubscribe from this group, send email to > [email protected]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
