Compute Risk Adjustment Script

Called once each day after the Compute Instrument Risk script has been called for each instrument. The Compute Risk Adjustment script can be used to calculate portfolio-level adjustments which can be applied on a per-instrument basis in the Adjust Instrument Risk script which follows.

The Total Risk Limiter block uses this script to determine the amount that stops need to be moved or positions need to be reduced.

VARIABLES: riskPercent TYPE: Percent

IF system.tradingEquity > 0 THEN

   ' Compute the current risk.

   riskPercent = totalRisk / system.tradingEquity

   ' If the risk is above our threshold...

   IF riskPercent > maximumRiskThreshold THEN

       reductionPercent = (riskPercent - maximumRiskThreshold) / riskPercent

   ELSE

       reductionPercent = 0.0

   ENDIF

ELSE

   reductionPercent = 0.0

ENDIF

In this block, the maximumRiskThreshold is a parameter which defines the maximum percentage risk for all open positions.

The reductionPercent will be used in the Adjust Instrument Risk script to reduce the position size or move the stops.