CODEWITHSUNDEEP
pine-script
stefano introini
stefano introini

Reputation: 37

How to fix the risk reward in a strategy?

I'm testing an example strategy just to learn how to set a specific amount percent of capital to risk in every position and a locked Risk / reward ratio. I got entry, stop and profit correctly but the results of the operations are all wrong.

--- this is my example code ---

//@version=5
strategy("Risk / Reward example", overlay=true, currency=currency.EUR, initial_capital=1000, default_qty_type=strategy.percent_of_equity)

// Capital and risk
var currency = currency.EUR
var capital  = strategy.initial_capital
var risk = input.float(1.0, 'Risk per trade', minval=0.5, step=0.5, maxval=100)
var rr   = input.float(3.0, 'Risk reward'   , minval=1.0, step=0.5)
risk_pt  = (capital * risk) / 100

// Currency conversion
opt1 = currency == syminfo.currency  ? syminfo.ticker : syminfo.currency + currency
opt2 = currency == syminfo.currency  ? 1 : request.security(opt1, "1", close)

// Mintick multiplier
mintick = syminfo.mintick == 0.00001 ? 10 : syminfo.mintick == 0.001 ? 1000 : 1000 

// Conditions
entry     = close[1] < open[1] and close > high[1] //Entry at every engulfing
val_entry = ta.valuewhen(entry, close, 0)          //Valuewhen() function for pip calculation
stop      = ta.lowest(low, 20)[1]

// Stop and lot size calculation
pip_fun(_high, _low) =>
    res = math.abs((_high - _low) / syminfo.mintick)
    res / 10
stopsize = pip_fun(val_entry, stop)               //stop size in pip
lot_size = (risk_pt / stopsize  / opt2) / mintick //Forex lot size

// SL and TP in tick
tick_sl = stopsize * 10 //Stop size in pip  * 10 = stopsize in tick
tick_tp = tick_sl  * rr //Stop size in tick * my risk reward input

// Backtest
backtest = time > timestamp(2021, 01, 01, 00,00) and time < timestamp(2021, 12, 31, 23, 59)

// Strategy
if entry and strategy.position_size == 0
    strategy.entry('long' , strategy.long,  qty=lot_size, when=backtest)
    strategy.exit ('exitL', 'long', qty_percent=100, loss=tick_sl, profit=tick_tp)

I show you why it is not working properly:

Operations list

As you can see, the results in the second column (profitto) are all random numbers. It should always lose 1% of capital when stop loss and gain 3% when take profit.

Upvotes: 0

Views: 2213

Answers (1)

Mehdi Amoon
Mehdi Amoon

Reputation: 11

    enter code here
// The Fixed Percent Stop Loss Code
// User Options to Change Inputs (%)
stopPer = input(1, title='percent Stop Loss %', type=input.float, minval = 0.0) / 100
takePer = input(1, title='percent Take Profit %', type=input.float, minval = 0.0) / 100
tsl = input(1.0, title = "trailing stop percent", type=input.float, minval =0.0)
tsl_percent = tsl/100

//detect what was last signal (long or short)
long_short = 0
long_last = longCondition and (nz(long_short[1]) == 0 or nz(long_short[1]) == -1)
short_last = shortCondition and (nz(long_short[1]) == 0 or nz(long_short[1]) == 1)
long_short := long_last ? 1 : short_last ? -1 : long_short[1]

//entry price
longPrice = valuewhen(long_last, close, 0)
shortPrice = valuewhen(short_last, close, 0)
//fixed sltp prices
longStop = longPrice * (1 - stopPer)
shortStop = shortPrice * (1 + stopPer)
longTake = longPrice * (1 + takePer)
shortTake = shortPrice * (1 - takePer)


// //long condition
// if (longCondition)
//     strategy.entry("long", strategy.long)
//     strategy.close("long")
// strategy.exit("s/p", "long", stop=longStop, limit=longTake)
// strategy.exit("T s/p", "long", trail_points = close * tsl_percent / syminfo.mintick, trail_offset = close * tsl_percent / syminfo.mintick)   
    
// //short condition
// if (shortCondition) 
//     strategy.entry("short", strategy.short)
//     strategy.close("short")
// strategy.exit("s/p", "long", stop=shortStop, limit=shortTake)
// strategy.exit("T s/p", "long", trail_points = close * tsl_percent / syminfo.mintick, trail_offset = close * tsl_percent / syminfo.mintick)

Upvotes: 0

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