Drawdown filter

Overview

In CopyFactory you can optionally filter trade signals using drawdown filter.

When drawdown filter is enabled, trade signals for new positions will be accepted only if unrealized drawdown (calculated as (balance - equity) / balance) is below or above maximum level, depending on the action configured. Existing position will continue to be managed by CopyFactory even if drawdown filter is triggered.

By default CopyFactory will not apply drawdown filter. However, if you want to enable this feature then you can specify an optional drawdownFilter setting. This setting can be specified on a strategy entity.

The schema for this setting is described in StrategyDrawdownFilter document.

Example (strategy)

This example demonstrates an drawdown filter configuration which tells application not to open positions if drawdown value exceeds 15% level.

{
  "name": "Strategy",
  ...
  "drawdownFilter": {
    "maxRelativeDrawdown": 0.15,
    "action": "exclude"
  },
  ...
}