Dollar Stop Loss for futures trades

Author: kbellare

Creation Date: 5/2/2013 6:42 PM

Wealth Lab » WealthScript (.NET) » Dollar Stop Loss for futures trades

kbellare

5/2/2013 6:42 PM

Not sure what a % Stop Loss for futures strategy rule means? Is it a % of Daily Margin?
I specified 3% SL on futures long and short positions, but the actual loss as a % of Margin is much higher.

Pl advise how to specify Stop Loss so that i limit my losses on trades to a few $100 - didn't see a $ stop loss option in the rule builder.

thanks
Kiran

Eugene

5/3/2013 2:06 AM

QUOTE:
Not sure what a % Stop Loss for futures strategy rule means? Is it a % of Daily Margin?

Quoting from the User Guide:

<<In Wealth-Lab, the Point Value is amount of profit/loss generated by one contract for a one dollar change in price. For example, assume that you have a long Position in cotton for 1 contract. Since the Point Value of cotton is $50,000, your Position will gain $50,000 profit for every one dollar increase in the price of cotton. Since cotton currently trades in the $1 to $2, every 0.01 change in a bushel of cotton is worth $500.>>

QUOTE:
Pl advise how to specify Stop Loss so that i limit my losses on trades to a few $100 - didn't see a $ stop loss option in the rule builder.

If you open your strategy in a new code window, it's possible to do in Raw Profit mode; in Portfolio Simulation mode it won't work.Example below illustrates a dollar-based stop loss and trailing stop (RP mode):

CODE:
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[quote]Not sure what a % Stop Loss for futures strategy rule means? Is it a % of Daily Margin?[/quote]

Quoting from the User Guide:

<<In Wealth-Lab, the Point Value is amount of profit/loss generated by one contract for a one dollar change in price. For example, assume that you have a long Position in cotton for 1 contract.  Since the Point Value of cotton is $50,000, your Position will gain $50,000 profit for every one dollar increase in the price of cotton.  Since cotton currently trades in the $1 to $2, every 0.01 change in a bushel of cotton is worth $500.>>

[quote]Pl advise how to specify Stop Loss so that i limit my losses on trades to a few $100 - didn't see a $ stop loss option in the rule builder.[/quote]

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		private StrategyParameter paramType;
		private StrategyParameter paramSL;
		
		public MyStrategy()
		{
			paramType = CreateParameter("Trailing?",0,0,1,1);
			paramSL = CreateParameter("Dollar Amount",500,100,10000,100);
		}
		
		protected override void Execute()
		{
			bool trail = paramType.ValueInt == 1 ? true : false;
			double dollars = paramSL.Value;

PlotStops();

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					double amount = trail ?						
						p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice - dollars :
						p.EntryPrice - (dollars / p.Shares);
						
					SellAtStop(bar + 1, p, amount);
				}
				else
				{
					BuyAtMarket(bar + 1);
				}
			}
		}
	}
}[/code]

kbellare

5/3/2013 3:36 PM

Thanks, this is helpful, but it requires moving the strategy to code-mode, which makes it harder to manipulate indicators while rule-building.

In the rule-mode, how does the system interpret a % Stop Loss exit rule for futures? What's the denominator assumed to calculate the % Loss?
Want to see if i can use this rule for futures strategy building.

thanks
Kiran

Eugene

5/3/2013 3:43 PM

Rules or code, that does not matter (rules are just a wrapper). Have you noticed the quote from the User Guide from my reply above?

Cone

5/3/2013 4:50 PM

The % stop loss is a percentage of the entry price for any instrument (stocks or futures). For example, if you buy gold at 1450, a 10% stop loss would sell 145 points lower.

Although you'll need to code this outside the rules, you should probably use the Max Percent Risk PosSizer. In other words, the number of contracts you buy are based on a max % of equity that you're willing to risk on a trade. There's a detailed example in the User Guide under Reference > Data Panel > Position Sizing Control > Portfolio Simulation Mode > Max Percent Risk

If this isn't what you're after, please give a detailed example of how you'd like to see the stop loss work. Use real numbers and data in your example.