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Example 65
Sized by risk
a strategy that does not size its own trades. It says which way, where its stop is, and `Sizing.ByRisk`: the quantity is left to the
- Category
- Host: needs the terminal's data and engine
- Permissions
- orders.submit
- Before you run it
- an account whose risk policy defines `fn size` (example 64), a market whose aggregated prints the terminal has.
- What it does
- asks the terminal to run the strategy on that market; once running it places orders on the account the person chose.
- How to run it
- Add script on the Market Replay window or the title bar's script icon, with a risk script that sizes bound to that account.
- Language
>=0.2.0, <0.3.0- Host
>=0.1.17, <0.2.0- Needs
- features >=0.1.8, <0.2.0trade >=0.1.0, <0.2.0
Source
// Purpose: a strategy that does not size its own trades. It says which way, where its stop is, and `Sizing.ByRisk`: the quantity is left to the // risk policy bound to the account (example 64 risks a share of the account between the entry and the stop). If the policy declines the // signal -- no stop, a price it cannot trust, a portfolio that is already loaded -- there is no order and the strategy waits for the next one. // An account whose policy does not size refuses the entry; an account with no risk policy at all refuses it too: a size nobody decided is never guessed. // // ENTRY the price crosses above its average with the book flat: a market buy, stopped `stop_pct` under the entry. // EXIT the price crosses back under: a close takes whatever the position holds, so its size is only a formality; the stop rides on the entry. // // HONEST NOTE: written to the specification and checked that it compiles and hands over a strategy; its edge has not been measured. // Category: host // Permissions: orders.submit // Preconditions: an account whose risk policy defines `fn size` (example 64), a market whose aggregated prints the terminal has. // Side effects: asks the terminal to run the strategy on that market; once running it places orders on the account the person chose. // Run: Add script on the Market Replay window or the title bar's script icon, with a risk script that sizes bound to that account. lang ">=0.2.0, <0.3.0"; host "ttt" ">=0.1.17, <0.2.0"; requires "features" ">=0.1.8, <0.2.0"; requires "trade" ">=0.1.0, <0.2.0"; strategy trend_sized_by_risk(window: Int, stop_pct: Decimal) version "1.0.0" { let px = features.price(features.Source.AggTrades); let average = features.sma(window); let stop = px * (1 - stop_pct / 100); rule enter when cross_above(px, average) && exposure_is(Exposure.Flat) => order(Side.Buy, Intent.Open, OrderType.Market, Sizing.ByRisk, Protect.StopLoss(stop)); rule exit when cross_below(px, average) && exposure_is(Exposure.Open) => order(Side.Sell, Intent.Close, OrderType.Market, Sizing.Fixed(qty(1))); flatten_on_stop; } fn main() -> Result<Unit, Error> { let run = trade.run(trend_sized_by_risk(20, 1.0))?; print(run.name + " on " + run.target + ": " + run.state); return Ok(()); }