Risk Management

Demonstrates the RiskManagement class with daily loss, profit, and trade count limits. Trades up/down bars on bar close using a simple UpDownBarSignal.

Source: [INSTALL PATH]/API/Samples/RiskManagement.cs Class: RiskManagement : MZpackStrategyBase

What It Covers

• RiskManagement object with daily loss, profit, and trades limits
• Algo.Strategy with OppositePatternAction.None
• UpDownBarSignal (OnBarClose) -- Long for up-bars, Short for down-bars
• Single market entry with stop loss and profit target

Strategy Setup

protected MZpack.NT8.Algo.Strategy CreateAlgoStrategy()
{
    MZpack.NT8.Algo.Strategy strategy = new MZpack.NT8.Algo.Strategy(
        @"Risk Management", this)
    {
        OppositePatternAction = OppositePatternAction.None,
        LogLevel = LogLevel, LogTarget = LogTarget, LogTime = LogTime
    };

    strategy.RiskManagement = new MZpack.NT8.Algo.RiskManagement(strategy)
    {
        Currency = Currency.UsDollar,
        EntryName = ENTRY_NAME,
        DailyLossLimitEnable = Common_DailyLossLimit_Enable,
        DailyLossLimit = Common_DailyLossLimit,
        DailyProfitLimitEnable = Common_DailyProfitLimit_Enable,
        DailyProfitLimit = Common_DailyProfitLimit,
        DailyTradesLimitEnable = Common_DailyTradesLimit_Enable,
        DailyTradesLimit = Common_DailyTradesLimit
    };

    return strategy;
}

Signal

The UpDownBarSignal generates Long entries for up-bars and Short entries for down-bars:

class UpDownBarSignal : Signal
{
    public UpDownBarSignal(MZpack.NT8.Algo.Strategy strategy)
        : base(strategy, MarketDataSource.Level1, SignalCalculate.OnBarClose, true) { }

    public override void OnCalculate(MarketDataEventArgs e, int barIdx,
        SignalDirection allowed)
    {
        SignalDirection direction = SignalDirection.None;

        if (Signal.IsLongAllowed(allowed)
            && Strategy.MZpackStrategy.Open[1] > Strategy.MZpackStrategy.Close[1])
            direction = Signal.ResolveDirection(SignalDirection.Short, allowed);
        else if (Signal.IsLongAllowed(allowed)
            && Strategy.MZpackStrategy.Open[1] < Strategy.MZpackStrategy.Close[1])
            direction = Signal.ResolveDirection(SignalDirection.Long, allowed);

        if (Signal.IsDetermined(direction))
        {
            Direction = direction;
            ChartRange = new ChartRange() { MinBarIdx = barIdx, MaxBarIdx = barIdx };
            Time = e.Time;
            EntryPrice = e.Price;
        }
    }
}

Configurable Properties

Risk Management

Property	Default	Description
Common_DailyLossLimit_Enable	true	Enable daily loss limit
Common_DailyLossLimit	300	Daily loss limit (USD)
Common_DailyProfitLimit_Enable	false	Enable daily profit limit
Common_DailyProfitLimit	3000	Daily profit limit (USD)
Common_DailyTradesLimit_Enable	false	Enable daily trades limit
Common_DailyTradesLimit	5	Max trades per day

Position

Property	Default	Description
Position_Direction	Any	Allowed direction
Position_Quantity	2	Contracts
Position_StopLoss	6	Stop loss ticks
Position_ProfitTarget	12	Profit target ticks

See Also

• MZpackStrategyBase — base class
• Algo.Strategy — strategy framework
• Risk Management — RiskManagement class reference
• Working with Samples — how to compile samples