Custom optimization based on risk

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Hi,

I am new to MT5 and I am trying to figure out if it is possible to create a custom optimization parameter based on the following. 

What I am looking for is how to optimize an EA based on the best combination which provides the best results in terms of units of risk.

I'll explain it:

Let's say I am risking every trade the equivalent to 1 ATR, so 1 ATR = 1 Unit of risk. So if 1 ATR is, let's say equal to 2, my Unit of risk would be = 2.

Well, If I get a resulting trade of 6 I would have a 3 units of risk result.

This means that if the risk of units measure is smaller I would get, in theory, better results. Meaning that if in the prior example my unit of risk is not equal to 2 but to 1.5, then the same trade with a result of 6 (assuming I was not stopped out) would equal to a 4 units of risk. 

Therefore, I am looking for the maximum number risk units (in the example would be the second situation) setup.

Would appreciate any ideas!

 
kmilo20000: Let's say I am risking every trade the equivalent to 1 ATR,
Never risk more than a small percentage of your trading funds, certainly less than 2% per trade, 6% total.

Risk depends on your initial stop loss, lot size, and the value of the pair. It does not depend on margin and leverage. No SL means you have infinite risk.

  1. You place the stop where it needs to be — where the reason for the trade is no longer valid. E.g. trading a support bounce the stop goes below the support.
  2. AccountBalance * percent/100 = RISK = OrderLots * (|OrderOpenPrice - OrderStopLoss| * DeltaPerLot + CommissionPerLot) (Note OOP-OSL includes the spread, and DeltaPerLot is usually around $10/pip but it takes account of the exchange rates of the pair vs. your account currency.)
  3. Do NOT use TickValue by itself - DeltaPerLot and verify that MODE_TICKVALUE is returning a value in your deposit currency, as promised by the documentation, or whether it is returning a value in the instrument's base currency.
              MODE_TICKVALUE is not reliable on non-fx instruments with many brokers - MQL4 programming forum 2017.10.10
              Is there an universal solution for Tick value? - Currency Pairs - General - MQL5 programming forum 2018.02.11
              Lot value calculation off by a factor of 100 - MQL5 programming forum 2019.07.19
  4. You must normalize lots properly and check against min and max.
  5. You must also check FreeMargin to avoid stop out

Most pairs are worth about $10 per PIP. A $5 risk with a (very small) 5 PIP SL is $5/$10/5 or 0.1 Lots maximum.

 
William Roeder:
Never risk more than a small percentage of your trading funds, certainly less than 2% per trade, 6% total.

Risk depends on your initial stop loss, lot size, and the value of the pair. It does not depend on margin and leverage. No SL means you have infinite risk.

  1. You place the stop where it needs to be — where the reason for the trade is no longer valid. E.g. trading a support bounce the stop goes below the support.
  2. AccountBalance * percent/100 = RISK = OrderLots * (|OrderOpenPrice - OrderStopLoss| * DeltaPerLot + CommissionPerLot) (Note OOP-OSL includes the spread, and DeltaPerLot is usually around $10/pip but it takes account of the exchange rates of the pair vs. your account currency.)
  3. Do NOT use TickValue by itself - DeltaPerLot and verify that MODE_TICKVALUE is returning a value in your deposit currency, as promised by the documentation, or whether it is returning a value in the instrument's base currency.
              MODE_TICKVALUE is not reliable on non-fx instruments with many brokers - MQL4 programming forum 2017.10.10
              Is there an universal solution for Tick value? - Currency Pairs - General - MQL5 programming forum 2018.02.11
              Lot value calculation off by a factor of 100 - MQL5 programming forum 2019.07.19
  4. You must normalize lots properly and check against min and max.
  5. You must also check FreeMargin to avoid stop out

Most pairs are worth about $10 per PIP. A $5 risk with a (very small) 5 PIP SL is $5/$10/5 or 0.1 Lots maximum.

Hi William,


Thank you for your response. I am aware about rules of proper money management and proper position sizing. I am new to MT5 but not to trading.


In the matter asked I am asumming, fot the porpouse of the exmaple, that the stop is 1 ATR equivalent. Based on that I am trying to optimze my strategy based on the parameters I explained. Do you have maybe some thoughts about it?

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