This multifunctional analyzer expert calculates stop loss and take profit execution probability.
If we have an open position, there may be three possible future options: stop loss is executed, take profit is executed or position remains open. Using probabilistic methods, the expert performs the following functions:
- calculating stop loss and take profit execution probabilities within an hour, a day or a week
- calculating the probability of a position remaining open at the end of the specified intervals
- calculating average profit and loss values as a result of stop loss and take profit execution. The average value is equal to the distance multiplied by execution probability
- assessing the price (trend) and volatility average change
- displaying possible future price movement trajectories within a specified time interval.
The price formation model (Black-Scholes model) assumes independent symbol price increments distributed according to the lognormal law. The equation from the following work are used for the calculation: Antoon Pelsser. Pricing Double Barrier Options: An Analytical Approach. January 15, 1997. ABN-Amro Bank Structured Products Group (AA 4410).
- Trend mode - trend accounting mode: calculate trend - consider the current trend; flat - trend is assumed to be missing;
- Show mode - possible price trajectory display mode
- distance to the comment from the left - distance from the left edge of the screen to a comment in pixels;
- distance to the comment from the top - distance from the upper edge of the screen to a comment in pixels.
The table of comments displays:
- Position direction (BUY/SELL) - symbol, take profit and stop loss levels;
- TP: Probability of execution - probability of a take profit activation within an hour, a day, a week;
- SL: Probability of execution - probability of a stop loss activation within an hour, a day, a week;
- Hold Position: Probability - probability of a position remaining open (neither stop loss, nor take profit are activated);
- Average TP=(TP distance) x (TP Probability) - average estimated profit received in case a take profit is activated (distance from the current price to a take profit level multiplied by execution probability);
- Average SL=(SL distance) x (SL Probability) - average estimated loss caused by a stop loss activation (distance from the current price to a stop loss level multiplied by execution probability);
- Trend - average price increment
- Volatility - symbol volatility within the period in %
The model assumes that a symbol price volatility and trend remain unchanged in the future. Regardless of other settings and the availability of an open position, the mode displaying the sample trajectories is always available. A trend value is also displayed at all times. If a symbol has no open positions and/or stop loss/take profit, the values of the corresponding probabilities are also absent.