An advisor that is not afraid of a margin call. Who would like to try it out? - page 11

 

I have a portfolio like this at the moment:



risk type


GBPJPY 0.2647 1

USDCAD 0.2718 1

EURUSD 0.2861 0

USDCHF 0.1573 1


where:

type = 1 - sell

type = 0 - buy



Accordingly margin level 100% / (0.2647 + 0.2718 + 0.2861 + 0.1573) = 100% / 0.9799 = 102.051%

 
What makes the risks different for each pair?
 
kharko >> :
What is the difference in risk for each pair?

Risks are underestimated from the optimised parameters. We take a bunch of tools, optimise, we get: risk1, risk2 ... riskn



We obtain the sum of all risks for the instruments, which should be more than 1


allrisks = risk1 + risk2 + .... + riskn



Now we need to obtain the risk reduction ratio, but in such a way that the deposit is used up to 98% and the risks keep their proportions


k = 0.98 / allrisk


Ok, now we put the first pair, but we write in the input parameter risk the value risk1 * k

For the second pair, the input parameter risk = risk2 * k

...

For the n-th pair, the input parameter risk = riskn * k



The portfolio is ready.



The margin level, as I mentioned above, will be held at the value:



Mariginlevel = 100% / (allrisk * k) = 100% / 0.98 ~ 102.04%



Free margin level:



freemargin = (1 - (allrisk * k)) * 100% = (1 - 0.98) * 100% = 2% of equity
 

Implemented my idea of separating the levels for a share and a partial closing of a position...

Marginlevel

Symbol EURUSD (Euro vs US Dollar)
Period 1 Minute (M1) 2008.11.05 00:00 - 2008.11.07 22:59 (2008.11.05 - 2008.11.08)
Model All ticks (most accurate method based on all smallest available timeframes)
Parameters BuySell=1; TF=1; Magic_¹=1; Stop=false; Risk1=0.91; Risk2=0.29; Pribil=12; MinLot=0.1; AllClose=false;
Bars in history 5238 Modelled ticks 56083 Modeling quality 25.00%
Chart mismatch errors 0
Initial deposit 10000.00
Net profit 7672.23 Total profit 10423.23 Total loss -2751.00
Profitability 3.79 Expected payoff 306.89
Absolute drawdown 5208.00 Maximum drawdown 11231.00 (70.09%) Relative drawdown 70.09% (11231.00)
Total trades 25 Short positions (% win) 25 (88.00%) Long positions (% win) 0 (0.00%)
Profitable trades (% of all) 22 (88.00%) Loss trades (% of all) 3 (12.00%)
Largest profitable trade 2332.70 losing transaction -2068.00
Average profitable deal 473.78 losing trade -917.00
Maximum continuous wins (profit) 11 (5778.00) Continuous losses (loss) 2 (-2127.00)
Maximum Continuous Profit (number of wins) 5778.00 (11) Continuous loss (number of losses) -2127.00 (2)
Average continuous winnings 11 continuous loss 2

FixedMarginLevel_v3

Symbol EURUSD (Euro vs US Dollar)
Period 1 Minute (M1) 2008.11.05 00:00 - 2008.11.07 22:59 (2008.11.05 - 2008.11.08)
Model All ticks (most accurate method based on all smallest available timeframes)
Parameters risk=0.21; type=1;
Bars in history 5238 Modelled ticks 56083 Modeling quality 25.00%
Chart mismatch errors 0
Initial deposit 10000.00
Net profit 2716.20 Total profit 7322.82 Total loss -4606.62
Profitability 1.59 Expected payoff 10.69
Absolute drawdown 2261.00 Maximum drawdown 5779.00 (42.75%) Relative drawdown 42.75% (5779.00)
Total trades 254 Short positions (% win) 254 (40.16%) Long positions (% win) 0 (0.00%)
Profitable trades (% of all) 102 (40.16%) Loss trades (% of all) 152 (59.84%)
Largest profitable trade 3247.01 losing transaction -122.00
Average profitable deal 71.79 losing trade -30.31
Maximum number continuous wins (profit) 12 (665.00) Continuous losses (loss) 27 (-1377.62)
Maximum Continuous Profit (number of wins) 3490.01 (10) Continuous loss (number of losses) -1377.62 (27)
Average continuous winnings 4 Continuous loss 7

 

Portfolio as of 10.11.08


Sell GPBJPY: Risk1 = 0.25; Risk2 = 0.136;

Sell EURUSD: Risk1 = 0.25; Risk2 = 0.164;

Buy USDCHF: Risk1 = 0.25; Risk2 = 0.184;

Buy USDCAD: Risk1 = 0.25; Risk2 = 0.230;

MarginLevel for an equity trade above 140%, for a partial position fixation below 100%...

 

for one pair will there be no advisor? and the source preferably also in the studio - any ideas.

 
I still don't understand what should be the guideline when deciding in which direction to set up the Expert Advisor when setting Sell or Buy directions?
 

Reshetov wrote(a) >>.
Because he acts wrongly, i.e. he sells when the price goes down and closes short (i.e. buys) when the price goes up.
Sart_repair wrote(a) >>
That's a strange statement. Isn't it natural to sell when the price goes down and buy when the price goes up ?

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Exactly! We should have implemented this principle when writing ArbitrageReverse_1.1 - sell when the price goes down and buy when the price goes up.

 
Sart_repair >> :

It's making an appearance. The nearest target is 1.1890...Right now the price is at 1.1741...

The franc has been storming the 1.1800 level for a few days now. The price is now bouncing in the range of 1.1795-1.1800.


Does anyone have any idea if there will be a breakout ?


According to my predictions, the nearest target above is still valid...


There are comrades here predicting price movement using Fourier series decomposition of the price function,

that's a good reason for them to try to make a prediction in practice...

 
Sart_repair >> :

The franc has been storming the 1.1800 level for a few days now. The price is now bouncing in the range of 1.1795-1.1800.


Does anyone have any idea if there will be a breakthrough ?


According to my predictions, the nearest target, mentioned above, is still valid...


There are comrades here predicting price movements using Fourier series decomposition of the price function,

that's a good reason for them to try to make a prediction in practice...


Very interesting breakthrough...I have a suspicion that the Asians will decide tonight.

P.S. I don't practice decomposing the price function into a Fourier series.

Reason: