フリーランスセクション

Find Optimal Money Management % for each strategy in protfolio Forex, Kelly criterion

MQL4 スクリプト 相談 統計と数学 ストラテジーの最適化

指定

1. Find optimal %MM for a trade in each strategy, but with one common account and common single balance
2. Find optimal extern int mmStopLossPips = 150;
3. Do it in excel or similar for future use

There are 4 MQL strategies, 4 currency pairs
they are sharing 1 Metatrader4 account with one balance of 5 000 USD

each strategy has money management like this


//+------------------------------------------------------------------+
// Money Management variables
//+------------------------------------------------------------------+
extern string smm = "----------- Money Management - Risk Fixed % Of Account -----------";
extern double mmRiskPercent = 2.0;
extern int mmDecimals = 2;
extern int mmStopLossPips = 150;
extern double mmLotsIfNoMM = 1.0;
extern double mmMaxLots = 100.0;



each strategy has complete statistics and full report on performance

STRATEGIES IN PORTFOLIO
# Name Symbol Timeframe Net Profit ($) Net Profit (pips) # of Trades Sharpe Ratio Profit Factor
S2 Strategy 10.91.526 Strategy 10.91.526 unknown $ 14583 1458.3 pips 171 0.08 1.55
S3 Strategy 26.91.538 Strategy 26.91.538 unknown $ 24366.9 24366.9 pips 168 0.08 1.72
S4 Strategy 5.44.150 Strategy 5.44.150 unknown $ 1641.6 1641.6 pips 98 0.27 2.11
S5 Strategy 7.72.203 Strategy 7.72.203 unknown $ 9136.91 913.7 pips 120 0.18 1.37a


and reports


Strategy Tester Report
Strategy 26.91.538 fixed gbpusd h1 ic
ICMarketsSC-Demo01 (Build 1280)

Symbol GBPUSD (Great Britain Pound vs US Dollar)
Period 1 Hour (H1) 2018.01.02 00:00 - 2020.08.14 23:00 (2018.01.01 - 2020.08.17)
Model Every tick (the most precise method based on all available least timeframes)
Parameters CustomComment="Strategy 26.91.538"; MagicNumber=11111; KCBarCloseserPeriod=20; LinRegBarClosesPrd=40; BBBarClosesPeriod=10; PriceEntryMult=0.3; BarsValid=31; MoveSL2BECoef=4.7; ProfitTarget=150; StopLoss=40; TrailingStop=70; SMAPeriod=30; ATRPeriod=20; smm="----------- Money Management - Fixed size -----------"; mmLots=0.1; seod="----------- Exit At End Of Day -----------"; ExitAtEndOfDay=false; EODExitTime="23:04"; seof="----------- Exit On Friday -----------"; ExitOnFriday=true; FridayExitTime="20:00"; sltr="----------- Limit Time Range -----------"; LimitTimeRange=false; SignalTimeRangeFrom="08:00"; SignalTimeRangeTo="16:00"; ExitAtEndOfRange=false; smtpd="----------- Max Trades Per Day -----------"; MaxTradesPerDay=0; smmslpt="----------- Min/Max SL/PT -----------"; MinimumSL=0; MinimumPT=0; MaximumSL=0; MaximumPT=0; slts="----------- Use Tick size from SQ (for CFDs) -----------"; UseSQTickSize=false; MainChartTickSizeSQ=-1; sqDisplayInfoPanel=true; ModifyInsteadOfReplacing=true; OpenBarDelay=0;
Bars in test 17282 Ticks modelled 49950399 Modelling quality 90.00%
Mismatched charts errors 0
Initial deposit 10000.00 Spread Current (2)
Total net profit 2642.14 Gross profit 5819.22 Gross loss -3177.08
Profit factor 1.83 Expected payoff 16.11
Absolute drawdown 130.72 Maximal drawdown 420.55 (3.64%) Relative drawdown 3.64% (420.55)
Total trades 164 Short positions (won %) 81 (38.27%) Long positions (won %) 83 (51.81%)
Profit trades (% of total) 74 (45.12%) Loss trades (% of total) 90 (54.88%)
Largest profit trade 149.30 loss trade -42.04
Average profit trade 78.64 loss trade -35.30
Maximum consecutive wins (profit in money) 6 (472.08) consecutive losses (loss in money) 7 (-284.90)
Maximal consecutive profit (count of wins) 472.08 (6) consecutive loss (count of losses) -284.90 (7)
Average consecutive wins 2 consecutive losses 2
Graph
# Time Type Order Size Price S / L T / P Profit Balance
1 2018.01.02 11:00 sell stop 1 0.10 1.34991 0.00000 0.00000
2 2018.01.02 11:00 modify 1 0.10 1.34991 1.35391 1.33491
3 2018.01.02 18:00 modify 1 0.10 1.35195 0.00000 0.00000
4 2018.01.02 18:00 modify 1 0.10 1.35195 1.35595 1.33695
5 2018.01.02 19:00 modify 1 0.10 1.35212 0.00000 0.00000
6 2018.01.02 19:00 modify 1 0.10 1.35212 1.35612 1.33712
7 2018.01.03 14:00 buy stop 2 0.10 1.35802 0.00000 0.00000
8 2018.01.03 14:00 modify 2 0.10 1.35802 1.35402 1.37302
9 2018.01.03 17:00 modify 2 0.10 1.35843 0.00000 0.00000
10 2018.01.03 17:00 modify 2 0.10 1.35843 1.35443 1.37343
11 2018.01.03 17:01 sell 1 0.10 1.35212 1.35612 1.33712
12 2018.01.05 00:00 delete 2 0.10 1.35843 1.35443 1.37343

.....etc

応答済み

1
開発者 1
評価
(58)
プロジェクト
76
33%
仲裁
9
78% / 11%
期限切れ
7
9%
暇
類似した注文
Expert Advisor that will Backtest Binary Options Strategy for Already Compiled MT4 Indicator Using Output Buffers (arrows) for Signals 50 - 125 USD
The overall goal is to develop a backtester for external binary options indicators that give output buffers (arrows) for signals that will reveal the most profitable expiration times and what hours are best to trade. I want you to deliver the source code and I retain rights to the code. I want to discover for example on a 5min chart whether 1 minute, 2 minute or 8 minute, etc expiration time is most profitable. I
Life Creator 40 - 1000 USD
the topic of this robot is ,,life creator'' becouse when you have no idea what to do, this robot can help you and teach you how you can do it. The robot gonna creat you your own tactics which can help you in future. When you gonna see that it's really work you start to be happy and you gonna want to have more of this
Point and Finger Robot 40+ USD
I need ea that based on point and finger chart formula point and finger chart does not follow time frame only price based and point and finger chart has same functions as given below source > HL/close box size assignment method > traditional reversal > 1 or given as request box size > 0.00 lot size > 0.00 trailing stop in box > one box behind or as given must not follow time only price based X
RSD Candles ICT/SMC Completion 30 - 85 USD
I need the following modules as per this sample indicator, then integrated with RSD Candles. look into the sample input settings, ................................................. ......................................................................................................... .......................................................................................................... ................previous
Conversion of ProRealCode strategies with IBS indicators and multi-timeframe settings. 30+ USD
You need to be able to convert the IBS Indicator which is written like this in ProRealCode: r = max(range,0.0001) ibs = (close-low)/r Also, you need to be able to convert the Momentum indicator written like this in ProRealCode: https://www.prorealcode.com/documentation/momentum/ Return value of the Momentum technical indicator of the Nth bar : (close – close of the N-th last bar). 1 Momentum [ N ] Calculation: It is
Hft live account 30 - 200 USD
i need a high frequency trading (hft) expert advisor, that can be used to trade on demo and live accounts icmarket and 8cap. The EA has to be highly profitable, giving daily profit. If a test version is available, please send, to foster a faster transaction. like the ones that pass prop firm and demo but adjustment where it work on live with low latency
All Crossovers ea 30+ USD
Hello [Programmer's Name], I hope this message finds you well. I am seeking your expertise to develop a forex Expert Advisor (EA) capable of identifying trading opportunities based on crossover signals from the following indicators: - MACD - RSI (including Connor RSI) - Stochastic RSI - Stochastic - Moving Averages (MA) with periods: 5, 10, 20, 50, 100, and 200 Key requirements for the EA include: - Integration of
Gold Trading (GC) autotrading robot 30 - 100 USD
Hello, i need a robot for gold trading being able to determine a trend or instant changes on a micro scale so its just going to scalp very fast but, for example lets say we have an equity of 500 bucks it needs to take profit at 5 and open a new position and just continiue going like that all day, but i also want it to determine buying opportunities based off of a very wide range of candlestick data of gold the day
CPI ROBOKING 30+ USD
*Strategy: CPI-Based Trading* *Instruments:* XAUUSD (Gold), UsTech100 (Nasdaq 100), USDJPY *CPI Release:* 1. *Higher-than-expected CPI:* - XAUUSD: SELL (Gold prices may drop due to potential rate hike) - UsTech100: SELL (Tech stocks may drop due to potential rate hike) - USDJPY: BUY (USD may strengthen due to potential rate hike) 2. *Meets or lower-than-expected CPI:* - XAUUSD: BUY (Gold prices may rise due
EA MODIFICATION TO EXTRACT CUSTOM DATA FROM BACKTESTS 30+ USD
Hello, I have an EA already created and what I require is a modification to the code so that when a backtest is executed, it generates a CSV file with custom data that I want to extract to perform an analysis of the backtest operations

プロジェクト情報

予算
30 - 50 USD
開発者用
27 - 45 USD
締め切り
最低 1 最高 5 日