Independent ATM for entry conditions

Having multiple TP/SL is great, however currently the trade management logic is applied to only one entry condition. This however gets complicated when trying to combine multiple strategies, each of which have their own unique TP/SL. We should be able to combine strategies and keep the unique trade management per each entry condition. 



For example.


I want to combine 4 strategies into one. 2 are long only strategies and 2 are short only strategies.


longStrategy1EntryCondition  has a 4.0 ATR TP and a  6.0 ATR SL
longStrategy2EntryCondition has a 3.0 ATR TP, a second TP of 50 pips, and an SL of 2.0 ATR


shortStrategy1EntryCondition  has a 2.0 ATR TP and a 1.0 ATR SL
shortStrategy2EntryCondition has a 6.0 ATR TP, a second TP of 12.0 ATR, and an SL of 4.0 ATR


Currently if these were combined, the strategy would instead look like this:


combinedStrategyLongEntryCondition1  has a 4.0 ATR TP and a  6.0 ATR SL
combinedStrategyLongEntryCondition2 has a 4.0 ATR TP and a  6.0 ATR SL



combinedStrategyShortEntryCondition1  has a 2.0 ATR TP and a 1.0 ATR SL
combinedStrategyShortEntryCondition2 has a 2.0 ATR TP and a 1.0 ATR SL


We are able to have different ATM logic between long and short positions. However, if I were to combine these, both entry conditions for the long side would have to share only one ATM and the same goes for the short side. Allowing all entry conditions to keep their unique ATM settings should increase profitability (assuming the strategies are good) because the entry conditions would be using the settings of the original strategy's output. Furthermore, using an ATM that one of the strategies being combined was not meant for can dramatically change the results. Many strategies go from winning to losing with the wrong TP/SL values. I am assuming that by implementing this, it would be easier to automate combining strategies as well.

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  • Votes 0
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

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KL
#1

kainc301

31.03.2021 22:50

Task created


Votes: 0

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