Template to have Drawdown < x %

amusleh
09 Jun 2022, 09:30 ( Updated at: 09 Jun 2022, 09:40 )

Hi,

Here is an example:

using System;
using System.Collections.Generic;
using cAlgo.API;
using cAlgo.API.Internals;

namespace cAlgo.Robots
{
    [Robot(AccessRights = AccessRights.None)]
    public class NewcBot2 : Robot
    {
        private double _peak;
        private readonly List<double> _drawdown = new List<double>();
        private double _maxDrawdown;

        [Parameter(DefaultValue = "BarBuySell")]
        public string Label { get; set; }

        protected override void OnStart()
        {
            Positions.Closed += Positions_Closed;
        }

        protected override void OnStop()
        {
            Print(_maxDrawdown);
        }

        private void Positions_Closed(PositionClosedEventArgs obj)
        {
            CalculateMaxDrawDown();
        }

        protected override void OnBar()
        {
            var lastBar = Bars.Last(1);
            var position = Positions.Find(Label, SymbolName);

            if (lastBar.Close > lastBar.Open)
            {
                if (position is not null && position.TradeType == TradeType.Sell) _ = ClosePosition(position);

                _ = ExecuteMarketOrder(TradeType.Buy, SymbolName, Symbol.VolumeInUnitsMin, Label);
            }
            else if (lastBar.Close < lastBar.Open)
            {
                if (position is not null && position.TradeType == TradeType.Buy) _ = ClosePosition(position);

                _ = ExecuteMarketOrder(TradeType.Sell, SymbolName, Symbol.VolumeInUnitsMin, Label);
            }
        }

        private void CalculateMaxDrawDown()
        {
            _peak = Math.Max(_peak, Account.Equity);

            _drawdown.Add((_peak - Account.Equity) / _peak * 100);
            _drawdown.Sort();

            _maxDrawdown = _drawdown[_drawdown.Count - 1];
        }

        protected override double GetFitness(GetFitnessArgs args)
        {
            return 100 - _maxDrawdown;
        }
    }
}

The above bot calculates drawdown based on account equity, and uses it for optimization fitness.

You can change the Account.Equity to Account.Balance if you want to use balance drawdown.

You can check on "GetFitness" method if drawdown is above a fixed value then return 0.