Display VaR per Symbol as opposed to the Entire Portfolio

MQL5 Indicadores Asesores Expertos

Trabajo finalizado

Plazo de ejecución 11 días
Comentario del Cliente
Was flexible and able to solve a difficult task. I appreciate his patience and hard work throughout this project :)
Comentario del Ejecutor
Super client

Tarea técnica

The code that has been provided calculates the value at risk for the entire portfolio (opened trades on MT5). I would like to understand what this comprises of on a per Symbol basis.


1) Calculate the Value at Risk for Each of the 10 Symbols (for Buy & Sells) and then for the Whole Symbol:

Line 51 of Account Manager Part 1:

input    string      CHART_MANAGEMNET1= "====== CHART MANAGEMENT ======";
input    string      symbol1          = "US30";      // Symbol - Other
input    string      symbol2          = "XAUUSD";    // Symbol 2 - Other
input    string      symbol3          = "AUDCAD";    // Symbol 3 - Forex
input    string      symbol4          = "AUDUSD";    // Symbol 4 - Forex
input    string      symbol5          = "AUDNZD";    // Symbol 5 - Forex
input    string      symbol6          = "EURUSD";    // Symbol 6 - Forex
input    string      symbol7          = "EURGBP";    // Symbol 7 - Forex
input    string      symbol8          = "USDCHF";    // Symbol 8 - Forex
input    string      symbol9          = "USDCAD";    // Symbol 9 - Forex
input    string      symbol10          = "GBPCHF";    // Symbol 10 - Forex

Suggested Process:

  //Calculate the Value at Risk for Buy & Sell Side - Note Repeat Process fro Symbols 2 - 10
  /*
  double ValueAtRiskB1
  double ValueAtRiskS1
  
  //Used to Calculate the Total Value at Risk of the Symbol - Note Repeat the Process for Symbols 2 - 10
 if((ValueAtRiskB1 - ValueAtRiskS1) > 0)
   {
   double ValueAtRisk1 = (ValueAtRiskB1 - ValueAtRiskS1)
   }
   else
   {
   double ValueAtRisk1 = (ValueAtRiskB1 - ValueAtRiskS1)*-1
   }
   


2) Show the Relevant Weightings of the Currently Open Trades (in terms of Value at Risk):

Divide the current Value at Risk of the Symbol by the Total Value at Risk & Convert to a Percentage

Line 173 of Account Manager Part 1

  // Portfolio Weighting 
  double Weighting1 = ValueAtRisk1/currValueAtRisk
  double Weighting2 = ValueAtRisk2/currValueAtRisk
  double Weighting3 = ValueAtRisk3/currValueAtRisk
  double Weighting4 = ValueAtRisk4/currValueAtRisk
  double Weighting5 = ValueAtRisk5/currValueAtRisk
  double Weighting6 = ValueAtRisk6/currValueAtRisk
  double Weighting7 = ValueAtRisk7/currValueAtRisk
  double Weighting8 = ValueAtRisk8/currValueAtRisk
  double Weighting9 = ValueAtRisk9/currValueAtRisk
  double Weighting10 = ValueAtRisk10/currValueAtRisk

3) Display Information in Dashboard:

            Comment(
   "  RISK MANAGEMENT:  ", "\n\n",
   "Symbol 1: VaR: " + DoubleToString(ValueAtRisk1, 2) + "Weighting:" + DoubleToString(Weighting1, 2) + "\n\n",
   "Symbol 2: VaR: " + DoubleToString(ValueAtRisk2, 2) + "Weighting:" + DoubleToString(Weighting2, 2) + "\n\n",
   "Symbol 3: VaR: " + DoubleToString(ValueAtRisk3, 2) + "Weighting:" + DoubleToString(Weighting3, 2) + "\n\n",
   "Symbol 4: VaR: " + DoubleToString(ValueAtRisk4, 2) + "Weighting:" + DoubleToString(Weighting4, 2) + "\n\n",
   "Symbol 5: VaR: " + DoubleToString(ValueAtRisk5, 2) + "Weighting:" + DoubleToString(Weighting5, 2) + "\n\n",
   "Symbol 6: VaR: " + DoubleToString(ValueAtRisk6, 2) + "Weighting:" + DoubleToString(Weighting6, 2) + "\n\n",
   "Symbol 7: VaR: " + DoubleToString(ValueAtRisk7, 2) + "Weighting:" + DoubleToString(Weighting7, 2) + "\n\n",
   "Symbol 8: VaR: " + DoubleToString(ValueAtRisk8, 2) + "Weighting:" + DoubleToString(Weighting8, 2) + "\n\n",
   "Symbol 9: VaR: " + DoubleToString(ValueAtRisk9, 2) + "Weighting:" + DoubleToString(Weighting9, 2) + "\n\n",
   "Symbol 10: VaR: " + DoubleToString(ValueAtRisk10, 2) + "Weighting:" + DoubleToString(Weighting10, 2) + "\n\n",
   "Total Value at Risk: $" + DoubleToString(currValueAtRisk, 2) + "\n\n", 
   "Standard Deviation: " + DoubleToString(currportfolioStdDev, 6) + "\n\n"  
   
   );


Note: Account Manager Part 2 - will likely need to be adapted. To fetch values from it make these values a double in the following code (this worked beforehand).


class CPortfolioRiskMan
{
   public:   
      double portfolioStdDev;
      double MultiPositionVaR;


Make sure to add the MPH file in the includes folder for decompiling.



Han respondido

1
Desarrollador 1
Evaluación
(16)
Proyectos
35
23%
Arbitraje
4
0% / 50%
Caducado
2
6%
Trabaja
2
Desarrollador 2
Evaluación
(7)
Proyectos
7
29%
Arbitraje
3
0% / 100%
Caducado
1
14%
Libre
Solicitudes similares
I am looking for an experienced MQL5 developer to research, develop, and integrate a Smart Early Exit system into my existing XAUUSD EA. The EA is already fully functional. The objective of this job is not to redesign the strategy or modify the entry logic , but to improve how losing trades are managed. The Early Exit system should identify trades that are showing signs of genuine deterioration and close them before
VEE STRATEGY ROBOT 30 - 200 USD
//+------------------------------------------------------------------+ //| M5 Trend Pullback EA | //| Exness / MT5 | //| Forex + XAUUSD | //| Risk: 0.5% per trade | //+------------------------------------------------------------------+ #property strict #property version "1.00" #property description "M5 EMA50/EMA200 + RSI + ATR Trend Pullback EA" #include <Trade/Trade.mqh> CTrade trade;
Purpose Develop a transparent and conservative Expert Advisor for MetaTrader 5. Profit is not guaranteed; acceptance is based on correct implementation, risk controls and reproducible testing. 1. Platform and instruments - Native MQL5 Expert Advisor for MetaTrader 5. - Symbols: EURUSD and USDJPY. - Working timeframe: H1. Higher-timeframe trend filter: H4. - Must support standard broker symbol suffixes/prefixes and
Please may someone assist me with the indicator attached, it has a SERIOUS BUG issue in the sense that when I load it, and activate the template (attached as well) MT4 ALWAYS freezes and then eventually disconnects automatically, ALL THE TIME. It even gets worse to an extent that after disconnecting a number of times mt4 ends up not loading anymore, UNTIL I remove the indicator. Please I WILL NEED A DEMO (FOR A DAY)
I’m looking for an experienced NinjaTrader 8 developer to build an automated strategy using the Imbalance Profile Lidar indicator by ninZa.co on MNQ DEC26 with a 3000-volume chart . Requirements: Enter Long when a blue absorption dot appears below price with an absorption value. Enter Short when a pink absorption dot appears above price with an absorption value. Stop loss: 15 ticks behind the signal dot price . Take
Ola, Tenho um Bot mas parou de funcionar, preciso de programador que desenvolva o mesmo configurações. Envio o antigo bot para pegar as configurações e realizar outro modelo. Hello, I have a bot that has stopped working, and I need a programmer to develop one with the same settings. I can send the old bot so you can extract the settings and build a new version
I have a simple EA that trades based on pending orders I need it to be converted to cTrader am looking for expert developer that have experience in ctrader that can convert metatrader 5 robot to ctrader
SPECIAL BAR EA 30+ USD
Hello Dear Coders , Here is a strategy with calculations on a specific bar ,sould be implemented carefully. Calculation on the bar needs math at some degree . trade numbers and trade results should be written right below the specific bar . Vague points should be cleared before starting coding. below is the %80 of full strategy and its explanations , the full will be given after selecting developer. POSITIONS ON A
Hello, I'm looking to develop a Forex Expert Advisor (EA) for MetaTrader 5 (MT5). I have an existing strategy and I'm looking for a complete solution developed from scratch. The main requirements are: Strategy research and development profitable trading objectives. Automated Forex trading with clearly defined entry and exit rules. Risk management, including stop-loss, take-profit, and position sizing. Backtesting and
Hello Developers, I am looking for an experienced MQL5 developer to build a custom Expert Advisor (EA) for MetaTrader 5 (MT5) based on ICT (Inner Circle Trader) concepts and Support/Resistance price action. Key Features & Strategy Requirements: 1. Market Structure & Price Action: - Identify Support and Resistance zones automatically. - Detect Break of Structure (BOS) and Change of Character (CHoCH). - Identify

Información sobre el proyecto

Presupuesto
50+ USD