Risk rules reference
The 6 functions and 0 values of risk: signature, effects, phase, cost and tested examples.
Rules that stop a strategy from trading when a limit is reached.
Functions#
risk.allow_entries#
risk.allow_entries([value], [unit], [message])
Restricts the directions in which entries are allowed.
- Effects: places, changes or cancels an order.
- Phase: every bar.
- Cost: one order record per call.
risk.max_daily_loss#
risk.max_daily_loss([value], [unit], [message])
Stops trading for the rest of the day once the loss of the day reaches value.
- Effects: places, changes or cancels an order.
- Phase: every bar.
- Cost: one order record per call.
risk.max_daily_orders#
risk.max_daily_orders([value], [unit], [message])
Stops placing orders for the rest of the day once value orders have been filled.
- Effects: places, changes or cancels an order.
- Phase: every bar.
- Cost: one order record per call.
- Examples: Risk guards.
risk.max_drawdown#
risk.max_drawdown([value], [unit], [message])
Stops trading once the drawdown reaches value.
- Effects: places, changes or cancels an order.
- Phase: every bar.
- Cost: one order record per call.
risk.max_losing_days#
risk.max_losing_days([value], [unit], [message])
Stops trading after value losing days in a row.
- Effects: places, changes or cancels an order.
- Phase: every bar.
- Cost: one order record per call.
- Examples: Risk guards.
risk.max_position#
risk.max_position([value], [unit], [message])
Limits the size of the position to value.
- Effects: places, changes or cancels an order.
- Phase: every bar.
- Cost: one order record per call.