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 need a custom MT5 Expert Advisor (EA) for XAUUSD Gold. I have attached a reference video showing the exact trading behavior I want. Please watch the entire video carefully before starting development. I want the EA to work as closely as possible to the reference video. MAIN TRADING BEHAVIOR: 1. The EA will trade XAUUSD (Gold) on MT5. 2. The EA should automatically open multiple positions without manual
I am looking for an experienced MQL5 developer who can BOTH research trading strategies and develop a commercial-quality MetaTrader 5 Expert Advisor. This is NOT simply a coding job. The developer is free to choose the trading logic, indicators, entry method, exit method, timeframe architecture and strategy type. I do not require the EA to copy or resemble any existing commercial EA. My priority is: ROBUST LONG-TERM
A developer will create an AI assisted EA forex watch-list scanner (not an auto-trader) designed to surface PDL/PDH bounces on M15, with coding in Python/MQL5. This will strictly be a market intelligence and scanning tool (no automatic order placement) and EA primary function will be a delivery of visual dashboard UI, 2-phased alerts (warning vs. execution), and multi-channel notification. 1. Project Overview &
Hello, please make me a simple MT5 Expert Advisor for XAUUSD on M15 timeframe. TRADING LOGIC: - BUY when EMA(10) crosses UP EMA(30) - SELL when EMA(10) crosses DOWN EMA(30) TRADING HOURS: - Only trade between 19:00 - 22:00 WIB / Jakarta time RISK SETTINGS: - Lot size: 0.01 - Stop Loss: 70 points - Take Profit: 150 - 300 points - Max 1 open position Please deliver .ex5 file ready to use. Thank you
Gods Plan v8 30 - 500 USD
//+------------------------------------------------------------------+ //| GODS PLAN V8.mq5 | //| Tebogo | //| tebogophago298@gmail.com | //+------------------------------------------------------------------+ //+------------------------------------------------------------------+ //| Expert initialization function |
I’m looking to purchase an existing, proven Trend-Following EA for MT5 . I am NOT looking to develop a new EA from scratch , so please read the requirements carefully before applying. The EA should follow a market-structure/trend-following approach similar to this: Identify a clear Break of Structure (BOS) to confirm the trend direction. Wait for a pullback/retracement instead of chasing the initial breakout. Enter
I am looking for an experienced MQL5 developer to create a fully automatic MT5 Expert Advisor (EA) for frequent small-profit trades. My current manual strategy is simple: I watch short-term price movement, enter when price starts moving strongly up or down, and close once a small profit is achieved. I want an EA that can identify these movements and automatically repeat this process throughout the day. Main
Code the indicator to MT5 EA, include all the inputs variables and values Allow live trading Allow demo trading Allow strategy tester Bar shift 0 adjustable Allow indicator to show on strategy tester Lot size adjustable Max spread in points (0=disable) Use stop loss circle true or false Stop loss circle in points adjustable Use stop loss true or false Stop loss in points (adjustable) Take profit true or false Use
Create a bot that can trade and read indicators easy to read for first time users. Bot that can be used on a phone and connect to MT5. It should be easy to install or use on any device especially phone and laptop, preferably the bot that can run over night and controllable when needed
Need Grid + Martingale Type Averaging EA ( Directional Buy or Sell entry then uses grid/martingale for Recovery if need ) * Must Work Buy + Sell Both Side ( Do not Open Buy or Sell at Once Let the Previous Order Close ) * Min Lot size 0.01 * Max Lot Size 1 ( Can be Edited to maximum ) * Auto TP Shift * Auto Averaging Position also Auto Shift TP as per Averaging * After Averaging Close the Trade in Maximum Profit (

Información sobre el proyecto

Presupuesto
50+ USD