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
Articles 1 How to create Requirements Specification for ordering a trading robot 28 MetaQuotes 225 289 Table of Contents Prerequisites for ordering a trading robot Why is it important to have a well-prepared Requirements Specification? Requirements Specification examples What is contained in the Requirements Specification? Where do I get Requirements Specification if I can't create it? Terms to use How to write an
HFT Directional Grid Scalper (Simple, Training Project) Overview We are looking for a developer to create a high-frequency grid scalper with a simple, deterministic logic. This is not a complex bot — the goal is to have a clean implementation for training, testing, and educational purposes. The bot should: Continually open trades in one direction only (BUY or SELL) Use ATR-based grid spacing Maintain a fixed lot size
i have a tradingview simple indecator of 40 lines of code ,i want it to convert it into mt5 EA strategy details given below AUTOMATED TRADING STRATEGY Multi-Lot Execution & Dynamic Trailing Stop Logic System Architecture & Operational Rules Trading Bot Strategy Profile Entry Conditions Buy Logic • • • Wait for Buy Signal candle. Confirmation: Future candle must break the signal high. Execution: Open 2 orders of 0.01
HFT Directional Grid Scalper (Simple, Training Project) Overview We are looking for a developer to create a high-frequency grid scalper with a simple, deterministic logic. This is not a complex bot — the goal is to have a clean implementation for training, testing, and educational purposes. The bot should: Continually open trades in one direction only (BUY or SELL) Use ATR-based grid spacing Maintain a fixed
I want a accurate indicator with buy and sell arrows or circle.. with exit points which trade xauusd and btcusd via weekend ... for small like R100 or 500 .... like which can grow small accounts with ... on for serious developer.. no bullshit ... I need on Friday please
I'd like to automate a relatively simple strategy in Sierra Chart, but I'd like to have it backtested and optimized first. Could we collaborate on this, and what would the cost be? Only bid if you think you can handle this project, and I want expert in sierra chart.. Thanks
I need an EMA crossover EA specifically for Boom and Crash. It should automatically buy and sell when crossovers happen. I want adjustable inputs for lot size, timeframe, and maximum loss. I’m keeping it simple because I’ve had bad experiences with EAs before. It should do only the job it is built for, properly and reliably. need someone who have already build EA or Indicator for Boom and Crash befor atleast 10
//+------------------------------------------------------------------+ //| ProTradingEA MT5 | //| Fully MT5-compliant with MACD, Trailing Stop, Break-Even | //+------------------------------------------------------------------+ #include <Trade\Trade.mqh> CTrade trade; // Optional override input string SymbolOverride = ""; // leave blank to auto-detect struct EASettings { int
I have access to an MT5 account. I have investor access. I would like to know if someone could help me create a bot that copies only the trades made on XAU/USD in that account but in my MT4 account. In that account, many trades are made across various pairs, and I realize that the conditions of their account are not very favorable for the type of trading they do, as the commissions are very high. I have an account
Good day, I would like to have an expert advisor for my MT4 indicator (Major key alert) that can scan and provide push notification messages for entry opportunities across different time frames when a when a signal is identified

Información sobre el proyecto

Presupuesto
50+ USD