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Optimal F for MQL5 (per Ralph Vince) - library for MetaTrader 5

Anthony Garot | English Русский 中文 Español Deutsch 日本語 Português

Views:
1252
Rating:
votes: 14
Published:
2018.09.23 23:26
Updated:
2018.10.23 12:57
\MQL5\Include\

I couldn't find MQL5 code for the Kelly Criterion, so I decided to write it myself; but it turned out that the Kelly Criterion only works for Bernoulli Distributions. This means it works only for fixed profits and losses, i.e. fixed SL and TP, but I rarely do.

So, based upon the work of Ralph Vince's book The Mathematics of Money Management, and borrowing concepts from python code I found online, I created this MQL5 library for Optimal f.

I am including test(s) that I used to verify that my code gives the same results as the example in Ralph Vince's book. That is: +9, +18, +7, +1, +10, -5, -3, -17, -7 .

Note: I set GEOM_MEAN_MIN_TRADES = 0 to have the unit tests run.

Note: This calculates Optimal f only. It does not show how to calculate a position size. That part is up to you.

Note: This code is provided for testing and edification only. UNDERSTAND THE MATHEMATICS BEFORE USING THIS ON A REAL TRADING ACCOUNT! It's highly possible you will wipe out your account if you don't know what you are doing.




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