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Adaptive Trading System - Percent Winning Trades for the Last N-Days
Some days ago I have shared a way to create adaptive trading systems using a simple money management script: Adaptive Trading System - Minimum Percent Winners and Percent Invested. The script consists of updating the percentage of capital invested of a strategy depending on the percentage of winning trades (Those with a return superior than zero). If the percentage of winners is lower than a specific threshold then the percentage of capital invested in the portfolio is decreased and then restored when the percentage of winners become higher than this threshold.
This adaptive trading system used all the previous trades to calculate the percent of winners, which is not the case with the new trading object. In fact, the new money management script calculates the percent winning trades for positions that occurred during a given period. A third parameter was added and is used to set a number of days value; all trades that occur during these previous days are counted and used to calculate the percentage of winners.
Here are brief descriptions of the parameters of this money management item:
Minimum Percent Winners Threshold: The amount of money invested in the adaptive trading system is decreased if the percentage of winner trades becomes lower than this threshold. It returns to the initial state (100% of money invested) if the percentage becomes higher or equal to this limit.
Percent Invested: This is the new percent of capital invested that is applied to a trading strategy when the minimum percent winners' threshold is reached.
Days: The number of previous days (lookback period) used to get trades that will be included in the percent winners' calculation.
All the above inputs or parameters can be optimized; simply click on the optimize button (plus) and set the minimum, maximum and step values. After that, click on "Optimize" to backtest all these simulations and choose the best adaptive trading system.
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