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Strategy drawdown filter#

About#

The filter which allows the trade signals to pass through only if drawdown is greater than or less than configured value.

Fields#

Name Type Required Description
maxDrawdown number Yes Maximum drawdown value after which action is executed. Drawdown should be configured as a fraction of 1, i.e. 0.15 means 15% drawdown value
action string Yes Action to take when drawdown exceeds maxDrawdown value. include means the trading signal will be transmitted only if dd is greater than maxDrawdown value. exclude means the trading signal will be transmitted only if dd is less than maxDrawdown value.

Example#

{
  "maxDrawdown": 0.15,
  "action": "exclude"
}

Usages#