Trend-Volatility Multi-Currency Portfolio Strategy with Risk Control

@Deval - Very cool strategy! Seems to avoid a large drawdown on a regular basis thanks to your volatility code. Can you elaborate more on what your risk control method is? Also, I tried running the algo as its original form but it only trades in 2007..have you had such an issue? Not sure what to do. 

@Daniel Thanx for appreciating the strategy. 
My risk control method takes into consideration the volatility of the market. To measure volatility it simply uses standard deviation. So if the market is highly volatile, the strategy would tend to buy accordingly so that it doesn't risk more than it is designed to. So, in this way no matter how fluctuating or unpredictable the market is you would never lose more than you tell it to but if it wins it could win big. This gives you the control on how much you want to risk per trade no matter which strategy you implement or how the market behaves. It is meant to give you more control over your losses. All of these calculations are made in the TradeProfile class.

I haven't faced any issues with the backtest. I think because the backtest is so big and it makes so many trades that it appear on a year by year basis. Just let it run it works well.

If you have more questions, feel free to let me know.

Hi @Deval 

I like how your strategy looks. So I am trying to mimic your strategy in LEAN environment. As I don't have an FXCM demo account, and I had to download several years of Forex history, and I did have an Oanda demo account, I used it to download history for EURUSD, GBPUSD, NZDUSD and AUDUSD.

I have not tried yet to backtest your strategy in LEAN through the whole period 2007 - now, but I have backtest from 2015 until now and my results are very different from yours, and I don't know why...

These statistics are from a backtest from 20150101 until now.

Maybe the history is different from FXCM to Oanda and I must adjust it before backtesting?

Any ideas? 

Sorry, my fault. I've realized I had mistyped something, because I've rewritten again the whole CS program from scratch and now my backtest in LEAN looks equal to the one done in Algorithm Lab. 

Just one comment @Deval , do you think this is a feasible strategy in real? I've seen all the orders are opened and closed in the same minute... Wouldn't we be under the terrible effect of the spread of these forex pairs in real conditions?

Sorry, again, my fault.. Orders were not opened and closed in the same minute, I was mistaken with the STOP MARKET orders, which are triggered just after launching MARKET orders.

I'm testing this strategy live in a demo account. I'll let you know thoughts and achievements.

Thanx Joaquin for taking time and reading my strategy. Yes maybe the FXCM and Oanda data is different. Also the fee structure for the two brokerages maybe different. You can tinker around with the parameters to adjust for it. The main focus here is he risk control model and the volatility framework and how it saves you from huge losses. The strategy that I am currently using is a very simple one. Maybe with a better strategy it may perform better. 

I would love to know how your strategy does live on the market. :)

Have you tried this in a paper trading account with real-time pricing?

@daniel I have for a short time. It was pretty decent given how simple my signal was but my losses were minimal.

Do you mean value of the 'minimum trade amount' or the 'maximum trade amount'?

Sorry, Maximum Trade Amount 

Are you having any issues with the orignal settings you posted? Today I'm getting a lot of Runtime Errors 'Insufficient buying power to complete order' 

The insufficient buying power errors are because you've increased the maximum trade size to $1M and there isn't enough capital to buy the portfolio of assets (5 assets x $1M would require 250x leverage). You should use a small maximum trade to keep the risk per trade small.

There is a genuine error though because one of the orders is less than 1000 EUR (minimum quantity for the brokerage). The fix is to set the quantity to 1000 if the quantity is too small in the tradeProfile.Quantity. This was caused by a recent fix to LEAN (previously trade was placed and ignored, now the trade is simply not placed so cannot be found).

A quick update on my initial strategy. This time with some minor bug fixes.

1. Added a check for quantity and maximum trade quantity when they are below 1000 to avoid it being 0.

2.  Added a check in OnData to see if all the tradeBars contains data while running. Previous implementation caused the program to crash on few occasions when the resolution was set to seconds since all the symbols may not be ready. The simple fix below fixes it. So you just wait until all the symbols have data.

If any more bug are to be found in the future, I would be more than happy to fix them. Thanx to community for pointing them out. 

Hi @Jared, Hi @Deval,

regarding the "Insufficient buying power": I am testing the strategy in LEAN, with a demo account. Its balance is 99,000 €, and leverage is 50. I have RiskPerTrade set to 400, and MaximumTradeSize set to 100K. And I get lots of "Insuficient buying power". Sometimes I get 2 positions opened, even sometimes 3, but when these error emerges, even the stop orders are not always opened because the strategy "thinks" that it lacks buying power... Although only about 5% of leverage is being used. 

I think there must be a bug in the code, but I haven't had the time to debug it... @Deval maybe you have some hint of what could be happening?

I'm noticing the exact same issue using the paper trader.  Orders can't be opened due to insufficient buying power, including stop loss orders.  There have also been some wild swings in the portfolio equity from $100k to up to $200k and back down to $100k again.  I'm seeing in the logs that there have been many orders with a size of 0 being submitted as well.

@Roberto, stops show as 0 order quantity until they are filled.

The portfolio value swings was a bug fixed on Monday/Tuesday. If you stop and start your algorithm you'll get the new version. You may want to do a fresh clone so the charts don't show the swings (so the chart axis auto scales zoom into your area easier).

@Roberto @Joaquin What brokerage are you using? What symbols are you using? Could you please post your algorithms here so I can debug them better? Looking at the code would help.

Thank You.