limit risk-reward(SL vs PT) ratio does not work

I set the limit risk-reward(SL vs PT) ratio from 50% to 50%.



But when generating the strategies, stop loss and profit target are like this below:
sl 3.1*atr(20), pt 8.1*atr(20)
sl 3.0*atr , pt 3.7 *atr
sl 3.0*atr, pt 7.9*atr
sl 3.0*atr, pt 9.2*atr

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  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

e
#1

eastpeace

29.01.2019 18:34

Task created

KL
#2

kainc301

31.01.2019 13:39
Voted for this task.
MF
#3

Mark Fric

20.08.2019 13:30

Status changed from New to Confirmed

MF
#4

Mark Fric

20.08.2019 14:45

Status changed from Confirmed to Refused

it works correctly but make sure you have the allowed ranges of ATR Multiple configured correctly so that they allow it.


For example, if you use 50% RRR, it means PT will be 50% of SL.


So if you use range 1 -3 for Stop Loss ATR Multiple, your PT ATR multiple will be 50% of this, from 0.5 to 3.



So you have to use the correct range 0.5 - 3 for Profit Target ATR multiple, or just set it to 0 - 100.


If ATR Multiple range doesn't allow using correct RRR it will generate PT value randomly from the allowed range, ignoring RRR setting.


Votes: +1

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