Max loss pct

[markxbaker]

Hi, anyone know how this is calculated? I ran a test with risk of 2% of equity per trade with position sizimg based on stop distance and max dollar position size 10% but result shows max loss pct of -7.2%? Should max 2% unless gap, if so how could I see this and does the backtesr exit at open/close price of bar if below stop for long only as example?

[markxbaker]

Actually if is a daily loss and I have 10 positions open so if several losers this makes sense. But not as a loss per trade. Be good to know how is calculated

[edtechre]

Hi @markxbaker,

Which metric are you referring to?

[edtechre]

Looks like you are referring to largest_loss_pct. This could have happened in case a bar gapped down below your stop loss value:

if low <= self._stop_data[stop.id].value:
     high = price_scope.fetch(stop.symbol, PriceType.HIGH)
     return min(self._stop_data[stop.id].value, high)

If the bar's high is below the stop value, then it is used instead of the stop value for the fill price.

You can see the code in the portfolio module.

[markxbaker]

Thanks Ed, yes that's the metric, understood and thanks! Can I set PriceType.HIGH as OPEN or MID if this occurs? I want a less optimistic exit if possible.Thanks,MarkOn 22 Sept 2024 22:12, Ed West ***@***.***> wrote: Looks like you are referring to largest_loss_pct. This could have happened in case a bar gapped down below your stop loss value: if low <= self._stop_data[stop.id].value: high = price_scope.fetch(stop.symbol, PriceType.HIGH) return min(self._stop_data[stop.id].value, high) If the bar's high is below the stop value, then it is used instead for the fill price. —Reply to this email directly, view it on GitHub, or unsubscribe.You are receiving this because you were mentioned.Message ID: ***@***.***>

[edtechre]

Yes, you can use stop_loss_exit_price for this.

[markxbaker]

Thanks Ed.Ed, would this be set for all stop loss prices, or is there a way to set only for this specific scenario when there is a gap through the stop?This way if we exit at the open with slippage(if set) it would create a more realistic exit in the event of a gap through? On 24 Sept 2024 03:28, Ed West ***@***.***> wrote: Yes, you can use stop_loss_exit_price for this. —Reply to this email directly, view it on GitHub, or unsubscribe.You are receiving this because you were mentioned.Message ID: ***@***.***>

[edtechre]

You will need to modify portfolio.py here: https://github.com/edtechre/pybroker/blob/master/src/pybroker/portfolio.py#L1261

For example:

low = price_scope.fetch(stop.symbol, PriceType.LOW)
if low <= self._stop_data[stop.id].value:
    return price_scope.fetch(stop.symbol, PriceType.OPEN)