HaasOnline Pricing Discord

[EXAMPLE] Position sizing based on pre-determined (acceptable) loss & stop-loss size

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By pshai in Safeties Published April 2024 👁 989 views 💬 0 comments

Description

Hey fellas! Here is an example code snippet to demonstrate how you can calculate your position size based on acceptable loss amount and your stop-loss size. You can test this code by running a backtest on the market of your choice, it will run 2 updates and output the calculated values and the actual loss amount. The code works "both ways", meaning that you can use this for COIN/USDT and COIN/BTC markets (or whatever the underlying asset is). The code also works in both SPOT and FUTURES. ~~May the profits be with you~~ CC available here: https://www.haasscripts.com/t/pshaicmd-get-dynamic-trade-amount/ Example results on BAT/BTC (SPOT) using 0.01 BTC acceptable loss and 2% stop-loss size: 
Losses: -0.0099999216 BTC
Sell order finished. 114678 BAT @ 0.0000042728 BTC (70382447-e3fe-4249-8a6d-553ebafd7fc5) (Simulated Order)
Buy order finished. 114678 BAT @ 0.00000436 BTC (72ebc12d-5911-4bd8-b8b3-2b7711cfe268) (Simulated Order)
Entry Price: 0.00000436 BTC
Stop-Loss: 0.00000427 BTC
Investment Size (margin): 0.5 BTC
Notional Size: 0.5 BTC
Position Size: 114679 BAT
Example results on MANA/USDT (Perpetual) using 100 USDT acceptable loss and 2% stop-loss size, 1x leverage (or spot): 
Losses: -99.999984 USDT
ExitLong order finished. 8364.0 MANA @ 0.585844 USDT (f1efa9d7-48ea-43fe-9eeb-249bce51384f) (Simulated Order)
GoLong order finished. 8364.0 MANA @ 0.5978 USDT (1a3675d4-dee9-446c-82e3-765d3d001534) (Simulated Order)
Entry Price: 0.5978 USDT
Stop-Loss: 0.5858 USDT
Investment Size (margin): 5000 USDT
Notional Size: 5000 USDT
Position Size: 8364 MANA
20x leverage: 
Losses: -99.999984 USDT
ExitLong order finished. 8364.0 MANA @ 0.585844 USDT (5b6fa71c-0b81-4313-8429-06d5f05b15f4) (Simulated Order)
GoLong order finished. 8364.0 MANA @ 0.5978 USDT (904dce38-f294-46fd-8149-f4b9fca84a86) (Simulated Order)
Entry Price: 0.5978 USDT
Stop-Loss: 0.5858 USDT
Investment Size (margin): 250 USDT
Notional Size: 5000 USDT
Position Size: 8364 MANA
HaasScript 
-- Position sizing based on pre-determined (acceptable) loss & stop-loss size
-- Author: pshai

label1 = AmountCurrency()
label2 = MarketType() == SpotTrading and QuoteCurrency() or UnderlyingAsset()
label3 = QuoteCurrency()

if not init then
    -- let's imagine a USDT based market and we are buying or entering long
    -- parameters:
    acceptable_loss = 100 -- USDT
    entry_price = CurrentPrice().ask -- we buy the ask price
    stop_loss_offset = 2 -- percentage. this can also be calculated with ATR for example
    stop_loss_price = SubPerc(entry_price, stop_loss_offset) -- final SL price
    stop_loss_per_share = Abs(entry_price - stop_loss_price) -- "share" in this case would be the "coin" we buy

    position_size = acceptable_loss / stop_loss_per_share
    investment_size = UsedMargin(PriceMarket(), entry_price, position_size, Leverage())
    notional_size = investment_size * Leverage()

    Log('Position Size: ' .. Round(position_size, AmountDecimals()) .. ' ' .. label1)
    Log('Notional Size: ' .. Round(notional_size, QuoteDecimals()) .. ' ' .. label2)
    Log('Investment Size (margin): ' .. Round(investment_size, QuoteDecimals()) .. ' ' .. label2)
    Log('Stop-Loss: ' .. Round(stop_loss_price, PriceDecimals()) .. ' ' .. label3)
    Log('Entry Price: ' .. Round(entry_price, PriceDecimals()) .. ' ' .. label3)


    -- create virtual position with this info
    pid = CreatePosition(PositionLong, entry_price, position_size)
    
    -- close it at stop-loss price
    CloseVPosition(stop_loss_price, pid)

    init = true

else
    -- get the position
    pos = PositionContainer(pid)

    -- log results
    Log('Losses: ' .. pos.profit .. ' ' .. label2)

    -- stop the test
    DeactivateBot()
end

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