An advisor that is not afraid of a margin call. Who would like to try it out? - page 11
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I have a portfolio like this at the moment:
risk type
GBPJPY 0.2647 1
USDCAD 0.2718 1
EURUSD 0.2861 0
USDCHF 0.1573 1
where:
type = 1 - sell
type = 0 - buy
Accordingly margin level 100% / (0.2647 + 0.2718 + 0.2861 + 0.1573) = 100% / 0.9799 = 102.051%
What is the difference in risk for each pair?
Risks are underestimated from the optimised parameters. We take a bunch of tools, optimise, we get: risk1, risk2 ... riskn
We obtain the sum of all risks for the instruments, which should be more than 1allrisks = risk1 + risk2 + .... + riskn
Now we need to obtain the risk reduction ratio, but in such a way that the deposit is used up to 98% and the risks keep their proportions
k = 0.98 / allrisk
Ok, now we put the first pair, but we write in the input parameter risk the value risk1 * k
For the second pair, the input parameter risk = risk2 * k
...
For the n-th pair, the input parameter risk = riskn * k
The portfolio is ready.
The margin level, as I mentioned above, will be held at the value:
Mariginlevel = 100% / (allrisk * k) = 100% / 0.98 ~ 102.04%
Free margin level:
freemargin = (1 - (allrisk * k)) * 100% = (1 - 0.98) * 100% = 2% of equityImplemented my idea of separating the levels for a share and a partial closing of a position...
Marginlevel
FixedMarginLevel_v3
Portfolio as of 10.11.08
Sell GPBJPY: Risk1 = 0.25; Risk2 = 0.136;
Sell EURUSD: Risk1 = 0.25; Risk2 = 0.164;
Buy USDCHF: Risk1 = 0.25; Risk2 = 0.184;
Buy USDCAD: Risk1 = 0.25; Risk2 = 0.230;
MarginLevel for an equity trade above 140%, for a partial position fixation below 100%...
for one pair will there be no advisor? and the source preferably also in the studio - any ideas.
Reshetov wrote(a) >>.
Because he acts wrongly, i.e. he sells when the price goes down and closes short (i.e. buys) when the price goes up.
Sart_repair wrote(a) >>
That's a strange statement. Isn't it natural to sell when the price goes down and buy when the price goes up ?
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Exactly! We should have implemented this principle when writing ArbitrageReverse_1.1 - sell when the price goes down and buy when the price goes up.
It's making an appearance. The nearest target is 1.1890...Right now the price is at 1.1741...
The franc has been storming the 1.1800 level for a few days now. The price is now bouncing in the range of 1.1795-1.1800.
Does anyone have any idea if there will be a breakout ?
According to my predictions, the nearest target above is still valid...
There are comrades here predicting price movement using Fourier series decomposition of the price function,
that's a good reason for them to try to make a prediction in practice...
The franc has been storming the 1.1800 level for a few days now. The price is now bouncing in the range of 1.1795-1.1800.
Does anyone have any idea if there will be a breakthrough ?
According to my predictions, the nearest target, mentioned above, is still valid...
There are comrades here predicting price movements using Fourier series decomposition of the price function,
that's a good reason for them to try to make a prediction in practice...
Very interesting breakthrough...I have a suspicion that the Asians will decide tonight.
P.S. I don't practice decomposing the price function into a Fourier series.