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Calculate moving average of strategy win/loss ratio
wienbej
 Post subject: Calculate moving average of strategy win/loss ratio Post rating: 0   New post Posted: Mon 14 Nov, 2011, 05:55 

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Joined: Mon 14 Nov, 2011, 05:16
Posts: 33
Location: PhilippinesPhilippines
Dear Support,

I am developing an automated strategy which in backtest shows a tendency to run with distinct periods of profit and loss. I therefore would like the strategy to be able to calculate a moving average of its own performance, measured as the win/loss ratio of the last 15 trades (and then reduce trade volume in periods with W/L ratio below a threshold).

I expect the best approach is via the getOrdersHistory function, but I can not make a functional algorithm.

I appreciate your assistance!
 
API Support
 Post subject: Re: Calculate moving average of strategy win/loss ratio Post rating: 0   New post Posted: Mon 14 Nov, 2011, 09:26 
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Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
If you want us to assist you with
a) writing the strategy please specify more in detail the algorithm and make a strategy request here: viewforum.php?f=112
b) JForex API Strategies, please specify what are you trying to achieve and what parts are unclear or missing.
 
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