"Balance" Resumed
Hi Everyone, I'm back!
After some further testing and research, I've decided the only additional constraint was a max-risk constraint. The new ruleset is:
Trade 1% of margin/day, maximum of one trade per line per day
If spot price > weighted average basis, sell to close
If spot price < weighted average basis, then check position size
If position size would be >= 5*NAV after the trade, hold
Else, buy
Position size is calculated as follows:
If position size = 0, position size is margin*0.01
Else, position size is the highest unique integer that's less than margin*0.01
No trade tonight. A buy on either line would violate the position size rule. USDCHF was really close to having a valid sell trade (-0.06%), but not quite. Maybe tomorrow.
After some further testing and research, I've decided the only additional constraint was a max-risk constraint. The new ruleset is:
Trade 1% of margin/day, maximum of one trade per line per day
If spot price > weighted average basis, sell to close
If spot price < weighted average basis, then check position size
If position size would be >= 5*NAV after the trade, hold
Else, buy
Position size is calculated as follows:
If position size = 0, position size is margin*0.01
Else, position size is the highest unique integer that's less than margin*0.01
No trade tonight. A buy on either line would violate the position size rule. USDCHF was really close to having a valid sell trade (-0.06%), but not quite. Maybe tomorrow.
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, işlem veya diğer türden tavsiye veya tavsiyeler anlamına gelmez ve teşkil etmez. Kullanım Şartları'nda daha fazlasını okuyun.