Discussing the article: "Quantitative approach to risk management: Applying VaR model to optimize multi-currency portfolio using Python and MetaTrader 5"

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Check out the new article: Quantitative approach to risk management: Applying VaR model to optimize multi-currency portfolio using Python and MetaTrader 5.

This article explores the potential of the Value at Risk (VaR) model for multi-currency portfolio optimization. Using the power of Python and the functionality of MetaTrader 5, we demonstrate how to implement VaR analysis for efficient capital allocation and position management. From theoretical foundations to practical implementation, the article covers all aspects of applying one of the most robust risk calculation systems – VaR – in algorithmic trading.

Today I want to share the fruits of my research on the implementation of VaR in MetaTrader 5 trading systems. My journey began with immersion in VaR theory - the foundation on which all subsequent work was built. 

Transforming dry VaR equations into live code is a separate story. I will reveal the details of this process and show how portfolio optimization methods and the dynamic position management system were born based on the results obtained.

I will not hide the real results of trading using my VaR model and will honestly assess its efficiency in various market conditions. For clarity, I have developed unique ways to visualize VaR analysis. In addition, I will share my experience of adapting the VaR model to different strategies, including its use in multi-currency grid systems, an area that I consider particularly promising.

My goal is to equip you not only with theory, but also with practical tools to improve the efficiency of your trading systems. I believe that these studies will help you master quantitative methods of risk management in Forex and take your trading to the next level.


Author: Yevgeniy Koshtenko

 
May I know if there is an MQL version of the related VAR code?
 
I love your work. Thank you for sharing your findings. For a beginner in Data Science like me, this would have taken hours worth of research, coding, and most of all, "Endless Debugging" nightmares.
 
wow  Thanks for sharing your ideas and the python code , opens up a whole new bunch of possibilities . Not smart enough to implement or improve but great thought work , Thanks again 
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