FreelanceSezioni

Inverse volatility

MQL5 Esperti

Specifiche

In MT5, must provide code 


See attached for full spec


In MT5

1.       Include Auto trade on/off

 

2.       Include option to start trading only x hrs before market open

 

3.       Include option to Auto close all trades (y hrs before market close)

 

4.       Based on input list of X number of securities, determine the volatility (historical / EWMA  / Garch selectable)  based on past N bars (hourly/ daily)

 

EWMA Volatility

·       EWMA volatility (look under section Volatility modelling) , allow inputable decay factor  (λ) https://corporatefinanceinstitute.com/resources/knowledge/trading-investing/exponentially-weighted-moving-average-ewma/

·       EWMA Volatility Excel example https://breakingdownfinance.com/finance-topics/risk-management/ewma/

Garch Volatility

·       Grach volatility explanation, http://rovdownloads.com/blog/garch-volatility-forecasts/

·       https://www.youtube.com/watch?v=FH3c_cxWN0w

·       Garch Vol example in MT4 https://www.mql5.com/en/code/11776

 

5.       Select X-1 (selectable, could be 1 or more) number of securities with the lowest volatility

 

6.       Trade based on the X-1 selected securities, allocate in inverse proportion to the volatility of each selected security. Example if QQQ is highest volatility, then it should have the lowest proportional allocation


File:

ZIP
Inverse_volatility_v4.zip
17.4 Kb

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