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'm looking for develop a predictive program that trades in forex currencies .The program will identify patterns and triggers and use this data to make high probability trades. If you're a professional developer that's capable to take on this project. Kindly send me a message and let's discuss further
Sira 30+ USD
I want 90% accuracy fast and reliable indicate signals able to read risk and profit to keep a good trade notify when trade is going down or when it will be a loss
Hello! I am searching skilled CTRADE programmer to fix my Expert Advisor. Details will be showed for selected programmer. I want to find a Developer to perform this work and settle payments in this Application. I undertake not to communicate with Applicants anywhere else except this Application, including third-party messengers, personal correspondence or emails. I understand that violators will be banned from
preciso de um programa paracido com o CAP channel com botao de refresh e opcaos de alterar o periodo. utilizava um muito bom, mas o vendedor acredito ter sido excluido da comunidade, sumiu. e o que tinha parou de funcionar
Hello I need a Person who write for me a EA on MT5 on renko charts, refreshed time 10s (optionally other timeframes 5s, 15s, 30s, 1min etc). EA will base on The bollinger band modified indicator, the source code is from Tradingwiev. I will share it. Rules: EA will open positions when price close above/under some band from indicator, always on closed brick (EA must wait to close timeframe, SL or Trailing stop will
Krushan 30+ USD
#property copyright "Krishh yadav" #property link "https://krishhautomationfx.in" #property version "1.07" #property strict #include <Trade\Trade.mqh> #include <Trade\AccountInfo.mqh> #include <Trade/PositionInfo.mqh> CTrade trade; CPositionInfo posinfo; CPositionInfo pos; enum LotMode { FixedLot = 0, RiskLot = 1, EquityLot = 2, }; enum ENUM_HOUR { h00=0, h01=1, h02=2, h03=3, h04=4, h05=5, h06=6, h07=7
I want to convert an MT4 Fractal Breakout EA to MT5. This EA places pending stop order to capture the fractal breakout and trail it. No complex indicator or rules. Enable only Buy or Only Sell or Both Buy Sell option in any indices. MT4 backtest should match Mt5 to some extent
Hello! Is there any person who can teach me Forex. I prefer high time frame strategies Like H4, D1, but I am open for your propositions. Have a nice day
SNIPER X AI 30 - 200 USD
I really need a developer Who can help me to create my SNIPER X AI - Elite AI Trading System Overview SNIPER X AI BOT is an AI-assisted trading system for Forex, Crypto, Stocks, Indices, and Gold. Currency: USD,RAND,KWD, POUND,EURO Core Features AI Scalping, Sniper Entries, Auto Buy/Sell, Smart Risk Management, Telegram Alerts, Mobile Monitoring, VPS Deployment. Supported Platforms MetaTrader 4, MetaTrader 5, Exness
I am looking for a professional developer to create an automated trading bot for Synthetic Derivative Indices. The bot should be designed for efficiency, precision, and stability, with the ability to execute trades automatically based on predefined strategies and market conditions. and synthetic indices trading is essential for this project

Información sobre el proyecto

Presupuesto
50+ USD