Portfolio: PriceChannelExpert and others - page 15

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Sergey Golubev
Moderator
115560
Sergey Golubev  

post #133 was updated

So we have the following:

Some suggestions about portfolio is on the following posts:

- https://www.mql5.com/en/forum/general

- https://www.mql5.com/en/forum/general

- https://www.mql5.com/en/forum/general

- https://www.mql5.com/en/forum/general

- https://www.mql5.com/en/forum/general

1. PriceChannelExpert_v4

1.1. D1 timeframe:

You may find everything here and here (EA, pre-set files and backtesting results).

GBPUSD (several pre-set files), AUDUSD, EURUSD, USDCAD, USDCHF, USDJPY.

1.2. H1 timeframe

Everything is on posts #5, 6 and 7.

GBPUSD, EURUSD, AUDUSD, USDCAD, EURGBP, EURCHF, EURJPY.

2. TradersPowerExpert_v1.2.

You may find everything here, here and here (EA, pre-set files and backtesting results).

H1 timeframe.

GBPUSD.

USDCHF

USDJPY

EURUSD.

3. StepMAExpert_v1.45.

M30 timeframe.

GBPUSD (two pre-set files), USDCHF.

4. e-Friday.

New version of this EA trading together with other EAs and having the magic number.

M15 timeframe.

EURUSD, USDCHF

5. e-Monday.

M15 timeframe.

EURUSD, GBPUSD.

6. SimpleDailyRangeBreakExpert_v1.21.

H1 timeframe.

EURUSD, GBPUSD, USDCHF, USDJPY.

7. StepEnvelope_v1.

M15 timeframe.

EURUSD, GBPUSD, USDCHF, USDJPY, GBPJPY, EURJPY.

8. 20PipsExpert_v2.1.

M15 timeframe.

EA, pre-set files for 4 majors and AUDUSD, backtesting results for AUDUSD, USDJPY, USDCHF, GBPUSD, EURUSD.

EURUSD, GBPUSD, USDCHF, USDJPY, AUDUSD.

9. BBExpert_v1.

H1 timeframe.

GBPUSD.

Sergey Golubev
Moderator
115560
Sergey Golubev  

Some example of portfolio creation may be in pdf file here https://www.mql5.com/en/forum/174210/page12

So I may do the same with EAs (based on backtesting and real trading as well).

Any suggestions?

Is it enough information or we need something more?

Sergey Golubev
Moderator
115560
Sergey Golubev  
newdigital:
Some example of portfolio creation may be in pdf file here https://www.mql5.com/en/forum/174210/page12

So I may do the same with EAs (based on backtesting and real trading as well).

Any suggestions?

Is it enough information or we need something more?

And I want to ask all the members about portfolio: I wrote this pdf portfolio for some other 20 pips system. I may do the same for all EAs and we may easy combine EAs all together or decide which one should work with which one for example.

Based on backtesting or forward testing results.

Is it ok?

Or we may add some other data?

Sergey Golubev
Moderator
115560
Sergey Golubev  

As we got stuck with this portfolio so I will collect everything which is related with this subject (to have this everything in one place).

It is the website http://www.emporium-sw.com/

It is about some software (30 day trial) but they have some formulas and so on.

Sergey Golubev
Moderator
115560
Sergey Golubev  

Software for optimal f calculation.

In Russian sorry.

Files:
optimalf.zip 106 kb
Sergey Golubev
Moderator
115560
Sergey Golubev  
Sergey Golubev
Moderator
115560
Sergey Golubev  

Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin "Portofolio Optimization with Drawdown Constraints" (pdf) (eng)

RESEARCH REPORT # 2000-5

April 8, 2000

17 pages

Abstract

We propose a new one-parameter family of risk measures, which is called Conditional Drawdown-at-Risk (CDaR). These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in an active portfolio management. For some value of the tolerance parameter b, the CDaR is defined as the mean of the worst (1-b)*100% drawdowns.

The CDaR risk measure contains the Maximal Drawdown and Average Drawdown as its limiting cases. For a particular example, we find the optimal portfolios for a case of Maximal Drawdown, a case of Average Drawdown, and several intermediate cases between these two. The CDaR family of risk measures is similar to Conditional Value-at-Risk (CVaR), which is also called

Mean Shortfall, Mean Access loss, or Tail Value-at-Risk. Some recommendations on how to select the optimal risk measure for getting practically stable portfolios are provided. We solved a real life portfolio allocation problem using the proposed measures.

http://rapidshare.de/files/25184022/Chekhlov__Uruasev__Zabarankin._Portfolio_Optimizatiom_With_Drawdown_Constraints.zip.html

Sergey Golubev
Moderator
115560
Sergey Golubev  

I will attach 20-pips EA to the charts tomorrow (4 majors +AUDUSD). Will see. may be we will have the first portfolio set.

I think deposit size should be 25,000 and we may use 1 lot size.

Anyway this 20 pips EA is different from other EAs so we may try.

Look at example here https://www.mql5.com/en/forum/174210/page12

If we have 2 or 3 portfolio sets so we will need to create subforum within this elite section just for portfolio only. Abnd in this case we will have results as equity and will have sets for big and small deposit size. Definitely we need subforum for this subject (one thread is not enough).

Sergey Golubev
Moderator
115560
Sergey Golubev  
newdigital:
I will attach 20-pips EA to the charts tomorrow (4 majors +AUDUSD). Will see. may be we will have the first portfolio set.

I think deposit size should be 25,000 and we may use 1 lot size.

Anyway this 20 pips EA is different from other EAs so we may try.

Look at example here https://www.mql5.com/en/forum/174210/page12

If we have 2 or 3 portfolio sets so we will need to create subforum within this elite section just for portfolio only. Abnd in this case we will have results as equity and will have sets for big and small deposit size. Definitely we need subforum for this subject (one thread is not enough).

I wanted to attach it to the chart but i think we need MM for the whole portfolio first.

Sergey Golubev
Moderator
115560
Sergey Golubev  

I looked at this website https://www.mql5.com/ru/code/mt4/libraries and found many usefull things.

But the problem with it is the folowing: the risk in these library files ( https://www.mql5.com/ru/code/mt4/libraries ) are counted for one EA. Bt in portfolio we willhave from 1 up to 3 EAs in one MetaTrader. And in b-Account library file everything is selectable for one EA as well. Not for whole portfolio. Besides some EA may have normal MM (as % from deposit), the other one may have MM in western style (% from deposit with desreasing the lot size after lossing), and the 3rd one may have fractionally fixed MM (there are many kinds of MM). And all the profit will be as equity (not in pips).

So I want to realize this first portfolio.

It will be easy for me as well because all the statements will be sent automatically and I will need just to download them onto portfolio section.

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