Strategy risk limit#
About#
You can configure trading to be stopped once total drawdown generated during specific period is exceeded. Can be specified either for balance or equity drawdown
Fields#
Name | Type | Required | Description |
---|---|---|---|
type | string | Yes | restriction type. One of day , date , week , week-to-date , month , month-to-date , quarter , quarter-to-date , year , year-to-date or lifetime |
applyTo | string | Yes | account metric to apply limit to. One of balance-difference , balance-minus-equity , equity-difference |
maxAbsoluteRisk | number | max drawdown allowed, measured in account currency | |
maxRelativeRisk | number | max drawdown allowed, expressed as a fraction of 1 | |
closePositions | boolean | Yes | whether to force close positions when the risk is reached. If value is false then only the new trades will be halted, but existing ones will not be close |
startTime | string(datetime) | time to start risk tracking from (in ISO format). All previous trades will be ignored. You can use this value to reset the filter after stopout event |
applyTo semantics#
- balance-difference assumes that the application will calculate drawdown as a balance which was observed in the beginning of risk management period minus current balance. Risk management period starts according to UTC time
- balance-minus-equity assumes that the application will calculate drawdown as a balance which was observed in the beginning of the risk management period minus current equity. Risk management period starts according to UTC time
- equity-difference assumes that the application will calculate drawdown via risk management api (as a balance which was observed in the beginning of the risk management period minus current equity). Risk management period starts according to broker time
Example#
{
"type": "day",
"applyTo": "balance-difference",
"maxAbsoluteRisk": 0.05,
"maxRelativeRisk": 0.01,
"closePositions": true,
"startTime": "2020-08-24T00:00:00.000Z"
}