This Risk Manager is used in the ADX, MACD, and Turtle built-in systems to limit the maximum number of correlated units.
Correlation Risk Manager Parameters:
Parameter:
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Description:
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Max Closely Correlated Markets
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Sets the max number of units the system can have on in closely correlated markets.
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Maximum Loosely Correlated Markets
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Sets the max number of units the system can have on in loosely correlated markets
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Max Directional Units
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Sets the max number of units the system can have on in each direction, Long or Short.
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Correlation Risk Manager Control Logic - CAN ADD UNIT:
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' ==============================================================
' Correlation Risk Mgr
' CAN ADD UNIT SCRIPT - START
' ==============================================================
' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
' Check correlations, and total directional positions
' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
If order.position = LONG THEN
' LONG ORDER Correlation Filter
If instrument.closelyCorrelatedLongUnits >= maxCloselyCorrelatedMarkets OR
instrument.looselyCorrelatedLongUnits >= maxLooselyCorrelatedMarkets THEN
order.Reject( "Too many correlated long units" )
ENDIF
' -----------------------------------------------------------
' LONG Position Count Filter
If system.totalLongUnits >= maxDirectionalUnits THEN
order.Reject( "Too many long directional units" )
ENDIF
ELSE' o.position = LONG
' --------------------------------------------------------------
' SHORT ORDER Correlation Filter
If instrument.closelyCorrelatedShortUnits >= maxCloselyCorrelatedMarkets OR
instrument.looselyCorrelatedShortUnits >= maxLooselyCorrelatedMarkets THEN
order.Reject( "Too many correlated short units" )
ENDIF
' -----------------------------------------------------------
' SHORT Position Count Filter
If system.totalShortUnits >= maxDirectionalUnits THEN
order.Reject( "Too many short directional units" )
ENDIF
ENDIF' o.position = SHORT
' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
' ==============================================================
' CAN ADD UNIT - END
' Correlation Risk Mgr
' ==============================================================
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Edit Time: 9/12/2020 9:50:00 AM
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Topic ID#: 123
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