Hi,

i would like to optimize my algo in order of maximize the profit when trades are in my favor.

My algo works this way:

  • for each trade, I define bracket orders, so I have a limit order with the profit target price and stop loss order prices based on volatility.
  • The trades management works with bumping order prices up/down as market goes in my favor: 
    • stop loss prices getting bumped by 1.001 once it reaches the threshold level of 1.5%
    • stop loss prices set at minimum entry price * 1.001 once trade profit reaches 5% of portfolio
    • limit orders prices are bumped when prices gets close to the initial take profit price
Below some example of trades, as you can see for many of the trades a lot of profit has been given away, only a few trades the profit was optimized.

Your ideas are welcome. I'm willing to share the algo with those that want to collaborate, but the code is now quite complex. I use Oanda as broker.

 

Symbol $type"QuantConnect.Symbol, QuantConnect.Common"Value"XAGAUD"ID"XAGAUD 8I"Permtick"XAGAUD"EntryTime"2017-12-13T16:00:00Z"EntryPrice20.72Direction0Quantity9522ExitTime"2017-12-13T19:17:00Z"ExitPrice21.05319ProfitLoss2419.4TotalFees0MAE-131.61MFE2668.07Duration"03:17:00"EndTradeDrawdown-248.67

 

Symbol $type"QuantConnect.Symbol, QuantConnect.Common"Value"BCOUSD"ID"BCOUSD 8I"Permtick"BCOUSD"EntryTime"2017-12-14T15:00:00Z"EntryPrice62.832Direction0Quantity3121ExitTime"2017-12-14T16:01:00Z"ExitPrice62.861ProfitLoss90.51TotalFees0MAE-305.86MFE1391.97Duration"01:01:00"EndTradeDrawdown-1301.46

  

Symbol $type"QuantConnect.Symbol, QuantConnect.Common"Value"EURCHF"ID"EURCHF 8G"Permtick"EURCHF"EntryTime"2018-01-18T12:00:00Z"EntryPrice1.17531Direction0Quantity271199ExitTime"2018-01-18T15:19:00Z"ExitPrice1.17414ProfitLoss-331.13TotalFees0MAE-331.13MFE118.87Duration"03:19:00"EndTradeDrawdown-450 Symbol $type"QuantConnect.Symbol, QuantConnect.Common"Value"JP225USD"ID"JP225USD 8I"Permtick"JP225USD"EntryTime"2018-01-18T07:00:00Z"EntryPrice23791.6Direction0Quantity11ExitTime"2018-01-19T15:04:00Z"ExitPrice23811.9ProfitLoss223.3TotalFees0MAE-823.9MFE1240.8Duration"1.08:04:00"EndTradeDrawdown-1017.5   Symbol $type"QuantConnect.Symbol, QuantConnect.Common"Value"JP225USD"ID"JP225USD 8I"Permtick"JP225USD"EntryTime"2018-02-02T03:00:00Z"EntryPrice23232.3Direction0Quantity21ExitTime"2018-02-02T05:46:00Z"ExitPrice23255.5ProfitLoss487.2TotalFees0MAE-1207.5MFE2360.4Duration"02:46:00"EndTradeDrawdown-1873.2 Symbol $type"QuantConnect.Symbol, QuantConnect.Common"Value"XAUSGD"ID"XAUSGD 8I"Permtick"XAUSGD"EntryTime"2017-12-14T18:00:00Z"EntryPrice1689.136Direction0Quantity153ExitTime"2017-12-15T14:56:00Z"ExitPrice1690.825ProfitLoss191.8TotalFees0MAE-404.2MFE1116.49Duration"20:56:00"EndTradeDrawdown-924.69