‘What If’ Max simultaneous open trades

Hi,

Does anyone have a snippet for ‘what if’ that allows me to limit the max number of simultaneous open trades in a portfolio?

what for? because you will not be albe to trade that way without some tool

hankeys wrote:

what for? because you will not be albe to trade that way without some tool

easy to code into your EA.

to a single strategy yes, for the whole portfolio could be done as another separate EA

but your trading will be different from the backtest, what to do with the pending orders? many other questions…

Did anyone get a solution to this?

Hello,

this actually does not make too much sense to limit max open positions in portfolio considering you manage risk properly per strategy. You need as many trades as possible to make $ right. Meaning I would avoid doing this any way possible. From historical backtest you can see quite clearly the maximum number of open positions that happened in time and you can build on that information .

forgive me if i am wrong but i would disagree on the bases that is you have a simple brake out strategy that runs on multiple pairs.

and lets say that value of the usd drops this EA will then potentially put you in to a position to express USD weakness in multiple markets. so you would effectively have the same trade just on different markets and you would be increasing your exposure to the same idea ‘USD weekness’

where i would like to limit it so it only expresses USD weakness in the first market to brake out.

And if you have a MM rule that says you your account balance cannot be lower than x%.  To regulate that, you could do it through max number of open trades.  To which is easy to code into the EA, but cannot be backtested.  That is why it would be nice to have the snippet to be able to backtest these conditions.

I just saw there is a Correlation type in the Quant Editotor for number of open trades.  I don’t know if you can modify it to fit a What-If Analysis

package com.strategyquant.extend.CorrelationOf;

import com.strategyquant.lib.correlation.CorrelationType;
import com.strategyquant.lib.language.L;
import com.strategyquant.lib.results.SQOrder;
import com.strategyquant.lib.results.SQOrderList;
import com.strategyquant.lib.time.TimePeriod;
import com.strategyquant.lib.time.TimePeriods;

public class NumberOfOpenTrades extends CorrelationType {

public NumberOfOpenTrades() {
name = L.t(“Number of open trades”);
dataType = DATA_TYPE_TRADES;
}

@Override
public void computePeriods(SQOrderList orders, TimePeriods timePeriods, int period) throws Exception {

for(SQOrder order : orders) {
if(order.isCanceledOrder() || !order.isMarketOrder()) {
continue;
}

for(TimePeriod timePeriod : timePeriods) {
if(timePeriod.from<order.CloseTime && timePeriod.to >= order.OpenTime) {
// trades overlap
timePeriod.value++;
}
}
}
}
}

I posted the snippet code at this forum post for limited max number of trades open at one time:

https://strategyquant.com/forum/topic/snipped-for-whatif-allow-max-simultainios-trades-per-instrument/

Happy trading.