Portfolio Construction Strateg...
Tactical Rules

Generic Rules

4min

Risk Reward Ratio

Ensures that the risk reward ratio of the order is above a given threshold. We suggest this is included in any risk management strategy.

Parameters

  • Reward: defaulted to 1. Can be any value >= 0.5

Backtest

Backtest is a very powerful risk component which we advise to add to any risk management strategy. It performs a statistical analysis of the order based on the last 200 candles, taking into account:

  • Your order characteristics: stop distance, limit distances and direction
  • Your risk management strategy i.e. will not enter positions which fail validation

This component provides valuable information in terms of indication of average return and duration of trade. This can be used to tweak the stop and limit values of your order (via trying multiple scenarios) to fall within higher statistical likelyhood of a successful order.

Parameters

  • Lookback Period: number of candles of backward history on which to perform the analysis. Can be any value between 7 and 500 inclusive.

Minimum Timeframe

A trader's style might not work on all timeframes. This rule ensures a trader does not trade on timeframes which are too small for his style. Trades with a timeframe strictly inferior to the one specified will fail validation.

Parameters

  • Timeframe: 0 (week), 1 (day), 2 (2 hours), 3 (1 hour), 4 (15 minutes)



Updated 03 Apr 2024
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