MM Deviation in conjunction with strings of loss or wins...

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Ok - so first off, if anyone is offended by my "incessant questions", then just do not bother writing on here wasting your own time.

For the sake of avoiding waffle, this is what I am wanting to understand if it is plausible to do:

Imagine a given system has an average strike rate of 75%, profit ratio of 0.57, the risked amount per trade was 2% (of closed balance) and the number of back-tested trades these metrics were derived from, was approximately 5,000.

Now, factoring in all of the above, lets say that this system over 5,000 trades has a 30%+ chance of incurring a 20% draw-down from peak to trough balance. This is NOT factoring in correlating positions and the risk of over-exposure. Just merely on a trade by trade basis.

If I wanted to incorporate a money management rule, where-by, after sitting through a 10 streak loss I then INCREASE the risk per trade to the maximum deviation (so for example, I would never go above 2% as that is the max) from the mean, of 1% risk per trade (i.e. any streak of 3 wins or 3 losses would not have an increase or decrease to the risk until a 4th came win or loss came in), is this possible to do in MQL4?

For the sake of writing this out and making it clear as day:

Trade 1: 1% risk > WIN -- No increase/decrease.

Trade 2: 1% risk > WIN -- No increase/decrease.

Trade 3: 1% risk > WIN -- No increase/decrease.

Trade 4: 1% risk > WIN -- 4th win consecutively. Next position size is marginally decreased. Minimum position size is 0.50%

Trade 5: 0.90% risk > WIN

Trade 6: 0.80% risk > WIN

Trade 7: 0.70% risk > WIN

Trade 8: 0.60% risk > WIN

Trade 9: 0.50% risk > LOSS

Trade 10: 0.50% risk > WIN

Trade 11: 0.50% risk > LOSS -- No increase/decrease.

Trade 12: 0.50% risk > LOSS -- No increase/decrease.

Trade 13: 0.50% risk > LOSS -- No increase/decrease.

Trade 14: 0.60% risk > LOSS -- 4th loss consecutively. Next position size is marginally increased. Maximum position size is 2.00%

Trade 15: 0.70% risk > LOSS -- 5th loss consecutively. Next position size is marginally increased. Maximum position size is 2.00%

The above is merely an example, there is no maths involved and nor would this technically make sense doing it as I have written above. But for the sake of simplicity.

I'd love to hear other people's thoughts, or a point in the right direction :)

Many thanks for anyone's contributions :)

 

I dont like being overly dependent on consecutive behaviour - ( apart from instructing the EA to stop trading if too many losses)

I'm thinking of moving from strict 2% of equity to a decreasing scale based on equity.

if equity > 10000 then 2%

else if equity > 5000 then 4%

else if equity > 4000 then 5%

else if equity > 3000 then 6%

else if equity > 2000 then 5%

else 10%
 
ydrol:

I dont like being overly dependent on consecutive behaviour - ( apart from instructing the EA to stop trading if too many losses)

I'm thinking of moving from strict 2% of equity to a decreasing scale based on equity.


Ah cool - nice little tip, thanks for sharing :)

Guess I am wanting something fairly sophisticated though. Just curious if anyone has any experience with what I am trying to achieve, and if it is possible in MQL4?

What you are assuming is if the balance drops from the initial balance you deposit. You would be better off writing your code in a way to remember the highest value that your balance has been, and after each trade, or each trade calculation (i.e. when I calculate the lots), compare the current balance to that of what the peak was. Assuming you apply a "difference"rule, i.e. if the current balance is 10% less of the peak balance, then you can alter the risk profile accordingly... (if that makes sense.)

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