Adding of Proposed vs Current Value at Risk Filter

MQL5 Indicators Experts

Job finished

Execution time 10 hours

Specification

Context: Watch the following video for an example usecase - https://www.youtube.com/watch?v=3FV8PTikKc0


What I have at the moment is an Expert Advisor that calculates the Total Value at Risk for Currently Open Symbols.

Outcome, a bool (true / false) variable that checks the symbol , lot size and assesses whether adding that trade would reduce the value at risk.

e.g. if Proposed Value at Risk < Current Value at risk then the variable is true.

Here is my attempt at this:

bool LowerVAR(string Symbol1, double Lotsize1)
{
    //string CurrPortAssets[]   = {symb1, symb2, symb3, symb4, symb5, symb6, symb7, symb8, symb9, symb10};
    //double CurrPortLotSizes[] = { SumLots(symb1), SumLots(symb2), SumLots(symb3), SumLots(symb4), SumLots(symb5), SumLots(symb6), SumLots(symb7), SumLots(symb8), SumLots(symb9), SumLots(symb10)};      
   string CurrPortAssets[];
   double CurrPortLotSizes[];
    
    CPortfolioRiskMan PortfolioRisk(InpVaRTimeframe, InpStdDevPeriods, InpCorrelPeriods);

    PortfolioRisk.CalculateIncrementalVaR(CurrPortAssets, CurrPortLotSizes);

    // CREATE PROPOSED POSITION ARRAY AND ADD PROPOSED POSITION
    string ProposedPortAssets[];
    double ProposedPorLotSizes[];
    ArrayResize(ProposedPortAssets, ArraySize(CurrPortAssets) + 1);
    ArrayResize(ProposedPorLotSizes, ArraySize(CurrPortLotSizes) + 1);

    ArrayCopy(ProposedPortAssets, CurrPortAssets);
    ArrayCopy(ProposedPorLotSizes, CurrPortLotSizes);

    ProposedPortAssets[ArraySize(ProposedPortAssets) - 1] = Symbol1;
    ProposedPorLotSizes[ArraySize(ProposedPorLotSizes) - 1] = Lotsize1;

    // POSITION DIAGNOSTICS
    string posDiagnostics = "";
    for (int i = 0; i < ArraySize(ProposedPortAssets); i++)
    {
        string posType = (i == ArraySize(ProposedPortAssets) - 1) ? "PROPOSED" : "EXISTING";
        posDiagnostics += "Pos " + IntegerToString(i) + " " + ProposedPortAssets[i] + " " + DoubleToString(ProposedPorLotSizes[i], 2) + "  (" + posType + ")\n";
    }

    // CALCULATE THE PROPOSED VaR IF NEW POSITION WERE ALLOWED TO OPEN
    PortfolioRisk.CalculateIncrementalVaR(ProposedPortAssets, ProposedPorLotSizes);
    double proposedValueAtRisk = PortfolioRisk.IncrementalVaR;

    return TotalValueAtRisk > proposedValueAtRisk;
}


What I need next is some assistance in editing / making a change to this so that I can achieve the above goal above.

Please check all the content and I will send you the code (which I have already created), I just need to make sure you understand he task.


Looking forward to working with you :)


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