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Money Management System to Split Order Into Smaller Pieces

by Tom Huggens, 3854 days ago
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A money management script that splits trading orders and executes these split orders on different dates.
The money management first updates the percentage of capital invested of the trading strategy. It then detects buy orders and saves the number of traded shares. Because we have updated the percentage of capital invested, the number of shares in buy rules will be much lower. Example: We set the percent capital to invest to 33%. The buy order size of stock X will be equal to 333 shares instead of 1000 shares.

Depending on the number of bars to wait parameter you have entered, the money management script will wait that number of bars to create a new order for each previously entered trade. Given the previous example and a wait period of 3 bars, the simulator will then wait 3 bars and then create a new order with 333 shares to buy the stock X. If we have specified that an order is split into three smaller orders, the backtester will then wait again for three more bars and enter the last order (again with 333 shares to buy stock X).

When applying this money management system to a trading strategy, you can specify the following parameters:
Number of splits: This parameter allow you to specify into how many smaller orders the initial order should be split.
Number of bars to wait: This instructs the trading strategy to wait for the specified number of bars before executing a new split order.

Note that this split orders money management system can be applied to both long and short trading strategies. It can also be applied to limit, open-at-market or close-at-market orders.




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Type: Advanced Money Management

Object ID: 616


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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.