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";
input string symbol2 = "XAUUSD";
input string symbol3 = "AUDCAD";
input string symbol4 = "AUDUSD";
input string symbol5 = "AUDNZD";
input string symbol6 = "EURUSD";
input string symbol7 = "EURGBP";
input string symbol8 = "USDCHF";
input string symbol9 = "USDCAD";
input string symbol10 = "GBPCHF";
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
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.
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