Seeking guidance on MACD Crossover with Trailing Stop Loss (Python)

James Hawkins,

Here is the "MACD Signal Delta Percent simplified".

It runs once an hour and has the build-in

self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.10)).

If this is what you are looking for, please accept it.

Thanks, Vladimir 💪!!! A few follow up questions if you don't mind 😁:

1. What's the difference between an object and a self.object?
2. How do I set the data normalization mode to raw on the self.stock object?
3. I am testing this algo every minute instead of hour, and when MACD signals long/short and the stop/drawdown is hit, the algo will re-enter long/short (logically so). How can I modify this so that, after a stop/drawdown is hit, the algo will wait for the signal to reverse to take a position?
4. With regards to the drawdown, does this act like a Stop or a Trailing Stop? My goal is to use a Trailing Stop.
5. Finally, how can I modify this so that I can use 30-minute bars? I know how to setup a consolidator, but how can I modify the MACD to use 30-minute bars too (i.e. 6 30-minute bars and 35 30-minute bars)?

 class MACDTrendAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2021, 10, 22)
        self.SetCash(25000)
        
        self.stock = self.AddEquity("TQQQ", Resolution.Minute).Symbol

        self.macd = self.MACD(self.stock, 6, 35, 6, MovingAverageType.Exponential, Resolution.Daily)
        self.PlotIndicator("MACD", True, self.macd, self.macd.Signal)
        self.PlotIndicator("TQQQ", self.macd.Fast, self.macd.Slow)
        
        self.SetWarmUp(5*41, Resolution.Daily)
        
        self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
        for minute in range(1, 361, 1):
            self.Schedule.On(self.DateRules.EveryDay(self.stock), self.TimeRules.AfterMarketOpen(self.stock, minute), 
                self.trade)

    def trade(self):
        if self.IsWarmingUp or not self.macd.IsReady: return

        tolerance = 0.0025
        
        holdings = self.Portfolio[self.stock].Quantity

        signalDeltaPercent = (self.macd.Current.Value - self.macd.Signal.Current.Value)/self.macd.Fast.Current.Value

        if holdings <= 0 and signalDeltaPercent > tolerance:
            self.Liquidate(self.stock)
            self.SetHoldings(self.stock, 1.0)
                
        elif holdings > 0 and signalDeltaPercent < -tolerance:
            self.Liquidate(self.stock)
            self.SetHoldings(self.stock, -1.0)

James Hawkins,

Here is the same algorithm with requested options:

It runs every minute.

You can uncomment line 11  

self.stock.SetDataNormalizationMode(DataNormalizationMode.Raw)

and see what happens on split history dates.                

TQQQ Split History Table

Date                       Ratio

02/25/2011           2 for 1

05/11/2012           2 for 1

01/24/2014           2 for 1

01/12/2017           2 for 1

05/24/2018           3 for 1

01/21/2021           2 for 1

So I don't recommend it. 

You can find details about 

self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.10))

on github.com

If you are satisfied with my answer, please accept it. 

Vladimir - thanks! Each time I go long/short, I am protected by the drawdown. However, if I am liquidated before the indicator reverses, I will re-enter/exit on drawdown multiple times before the indicator switches (and vice versa). I need to logically tell the algorithm that once the drawdown is hit, DO NOT enter a new position until the indicator flips. I.E.  Go Long→drawdown hit→ wait for indicator reversal→ indicator reversal→ go short

 #trigger for initial position ONLY
        if not self.Securities[self.stock].Invested:
            if holdings == 0 and signalDeltaPercent > tolerance:
                self.SetHoldings(self.stock, 1.0)
                
            elif holdings == 0 and signalDeltaPercent < -tolerance:
                self.SetHoldings(self.stock, -1.0)
        
        #trigger for subsequent positions ONLY
        else:
            #To avoid re-entry after drawdown liquidation, only go long if previous fill was a short cover
            if holdings < 0 and signalDeltaPercent > tolerance and orderEvent.quantity > 0:
                self.Liquidate()
                self.SetHoldings(self.stock, 1.0)
            
            #To avoid re-entry after drawdown liquidation, only go long if previous fill was a long liquidation    
            elif holdings > 0 and signalDeltaPercent < -tolerance and orderEvent.quantity < 0:
                self.Liquidate()
                self.SetHoldings(self.stock, -1.0)


        #self.__previous = self.Time
        
    def OnOrderEvent(self, orderEvent):
        quantity = orderEvent.FillQuantity
        return