Unless we are trading a single strategy per instrument at a time, we will need a risk management strategy for the whole portfolio at risk.
Besides the performance manager, I recommend we have a risk manager object to look at all open positions, monitor profit and stop loss targets with the ability to close any strategy instantly. TWS has a function to close all positions, this could be one of the methods of the risk manager. Sorry about this incessant nag about risk - I have been burnt badly before by ignoring risk and as a result I am a firm believer in managing all trading risk. Thanks for all the hard work Eugene and the solid code. Keith On Jun 1, 8:00 pm, nonlinear5 <[email protected]> wrote: > I agree with Shaggs on all points. However, I've got a number of > requests to illustrate how stops/trails/targets can be implemented, so > as I promised, I'll include the corresponding sample strategies in the > next release. > > On Jun 1, 10:23 pm, ShaggsTheStud <[email protected]> wrote: > > > 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.
