Money Management - page 24
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Money Management in MQL5 (Part 1): Kelly Position Sizing from the Strategy's Own Edge
Open any position-sizing tool for MQL5 and it asks you for a number. Risk one percent. Risk half the ATR. Taper the size when the drawdown passes ten percent. These are fine rules, and a fixed percent is far better than a fixed lot, but they all share the same blind spot: the number comes from you, not from the strategy. You decide to risk two percent whether the strategy wins sixty percent of its trades or forty, whether its winners are twice its losers or half.
One classic method computes the number from the strategy itself: the Kelly criterion. This article is about that method. Kelly does not ask how much you feel like risking. It measures the strategy's edge, its win rate and average win versus average loss, and derives the bet size that maximizes long-run growth. It is the sizer that reads the strategy instead of asking the trader.