Config Modules - Basket Configuration


Baskets are a stop and target for the P&L of all positions in the Trading System which are in addition to the stops/targets of each symbol.  A Basket can be configured for each module. 

The basket settings are similar to the stop and target settings for each symbol, but are applied globally to the module, in order to preserve gains or limit losses for the entire module. 

There are 3 types of Basket that can be configured

  • Points
  • Dollars
  • Points Pct of Capital

The Points and Dollars settings are self explanatory.  The best way to explain Points, Pct of Capital (PPCT) is with an example.

Once you are in multiple positions (for example say 20 long positions with a value of $200,000).  If you have a Dollar Target value for each symbol of $150 and a $150 dollar stop loss for each symbol.  You would be in a position potentially to make 20 * 150 or $3000, or to be down $3000.

With a basket setting of 0.5% of PPCT, the maximum stop would be 0.5% of $200,000 or $1000.  So your maximum loss would be $1000, making your risk/reward in this case 3:1(risking $1000 to potentially make $3,000)   In addition, there is a sliding Basket Stop, which also has a default setting of 0.5%.  So say your basket reaches profits of $2000 and then drops  back to $1000.  All positions in the basket will be exited when the profit of all open and closed positions in the basket retraces to $1000.  The basket stop and targets are adjusted dynamically as positions are entered and exited.

PPCT is best used with equity strategies, while Points and Dollars settings should be used with Futures or Forex baskets. 

There are 3 modes for baskets -  a basket can be formed on both longs and short positions in a module, or on longs separately and/or shorts separately. 

After a Basket Max Loss stop or Sliding Stop Loss is hit all positions are exited according to the Stop Execution Configurations for the Module.

After a Basket Target is hit, all positions are exited according to the Target Execution Configuration for the module.

The Enable buttons, to the right of Max Loss, Sliding Stop, and Target, determine whether entries are allowed once the basket Max Loss, sliding stop, or Target is hit.  Default should be that reentries are not enabled because once they are hit you want to preserve the gains for the day, or limit your losses.