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Scale-in Trading Strategy

by QuantShare, 2556 days ago
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The scale-in trading strategy was described in the following blog post: Money Management: Scale-in Trading Strategy

It is an example that shows you how to use money management events to create an advanced strategy that splits an initial order into two parts, executes the first one then checks for a specific condition to be met in order to execute the second part (scale-in).

Description of the trading strategy:

When a new buy order is initiated (with the strategy formula), buy only X% of the shares specified in this order.
Check the position after N days then calculate its return. If the return is higher than Y% then scale-in the position by buying the remaining shares (100% - X).


Optimize the strategy variables:

In this money management script, we have defined three optimizable variables:

Entry %: Percentage of shares to enter first. The rest will be bought when initiating the scale-in order
Scale-in Bars: The number of bars to wait before checking the condition
Scale-in Threshold: Scale-in only if the position return is higher than this threshold

In the simulator manager, select or create a trading system, associate this MM script with it then go back the simulator manager to find a new "Scale-in Trading Strategy" tab that contains the money management variables.

There, you can set specific values to the above variables or you can optimize these variables by setting a start, end and step or increment values. When done, click on "Optimize" to begin the optimization process.


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Type: Advanced Money Management

Object ID: 1196


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.