Hi Everyone, I'm back!
After some further testing and research, I've decided the only additional constraint was a max-risk constraint. The new ruleset is:
Trade 1% of margin/day, maximum of one trade per line per day
If spot price > weighted average basis, sell to close
If spot price < weighted average basis, then check position size
If position size would be >= 5*NAV after the trade, hold
Else, buy
Position size is calculated as follows:
If position size = 0, position size is margin*0.01
Else, position size is the highest unique integer that's less than margin*0.01
No trade tonight. A buy on either line would violate the position size rule. USDCHF was really close to having a valid sell trade (-0.06%), but not quite. Maybe tomorrow.
After some further testing and research, I've decided the only additional constraint was a max-risk constraint. The new ruleset is:
Trade 1% of margin/day, maximum of one trade per line per day
If spot price > weighted average basis, sell to close
If spot price < weighted average basis, then check position size
If position size would be >= 5*NAV after the trade, hold
Else, buy
Position size is calculated as follows:
If position size = 0, position size is margin*0.01
Else, position size is the highest unique integer that's less than margin*0.01
No trade tonight. A buy on either line would violate the position size rule. USDCHF was really close to having a valid sell trade (-0.06%), but not quite. Maybe tomorrow.