Adjust Instrument Risk Script

Called once for each instrument which has an existing position, the Adjust Instrument Risk script can be used to adjust stops and reduce or exit positions based on portfolio-level risk as computed in the Compute Risk Adjustment script.

The Total Risk Limiter block uses this script to move stops or reduce positions based on the reductionPercent computed in the Compute Risk Adjustment script:

VARIABLES: quantity, reductionQuantity TYPE: Integer

VARIABLES: risk TYPE: Floating

VARIABLES: newStop TYPE: Price

' If we need to reduce risk

IF reductionPercent > 0.0 THEN

   IF reductionAlgorithm = REDUCE_POSITIONS THEN

       ' Reduce the position by this amount.

       broker.AdjustPositionOnOpen( 1.0 - reductionPercent )

   ENDIF

   IF reductionAlgorithm = MOVE_STOPS THEN

       IF instrument.position = LONG THEN

           ' Adjust the stops for each unit.

           FOR index = 1 to instrument.currentPositionUnits

               ' Determine the current risk.

               risk = instrument.close -

                       instrument.unitExitStop[index]

               ' Determine the stop that corresponds with

               ' the reduced risk.

               newStop = instrument.close -

                       ((1 - reductionPercent) * risk)

               ' Set the new stop.

               instrument.SetExitStop( index, newStop )

               broker.ExitUnitOnStop( index, newStop )

           NEXT

       ENDIF ' Long

       IF instrument.position = SHORT THEN

           ' Adjust the stops for each unit.

           FOR index = 1 to instrument.currentPositionUnits

               ' Determine the current risk.

               risk = instrument.unitExitStop[index] -

                       instrument.close

               ' Determine the stop that corresponds with

               ' the reduced risk.

               newStop = instrument.close +

                       ((1 - reductionPercent) * risk)

               ' Set the new stop.

               instrument.SetExitStop( index, newStop )

               broker.ExitUnitOnStop( index, newStop )

           NEXT

       ENDIF ' Short

   ENDIF  ' Algorithm Move Stops

ENDIF ' There is a reduction required