フリーランスセクション

Find Optimal Money Management % for each strategy in protfolio Forex, Kelly criterion

MQL4 スクリプト 相談 統計と数学 ストラテジーの最適化

指定

1. Find optimal %MM for a trade in each strategy, but with one common account and common single balance
2. Find optimal extern int mmStopLossPips = 150;
3. Do it in excel or similar for future use

There are 4 MQL strategies, 4 currency pairs
they are sharing 1 Metatrader4 account with one balance of 5 000 USD

each strategy has money management like this


//+------------------------------------------------------------------+
// Money Management variables
//+------------------------------------------------------------------+
extern string smm = "----------- Money Management - Risk Fixed % Of Account -----------";
extern double mmRiskPercent = 2.0;
extern int mmDecimals = 2;
extern int mmStopLossPips = 150;
extern double mmLotsIfNoMM = 1.0;
extern double mmMaxLots = 100.0;



each strategy has complete statistics and full report on performance

STRATEGIES IN PORTFOLIO
# Name Symbol Timeframe Net Profit ($) Net Profit (pips) # of Trades Sharpe Ratio Profit Factor
S2 Strategy 10.91.526 Strategy 10.91.526 unknown $ 14583 1458.3 pips 171 0.08 1.55
S3 Strategy 26.91.538 Strategy 26.91.538 unknown $ 24366.9 24366.9 pips 168 0.08 1.72
S4 Strategy 5.44.150 Strategy 5.44.150 unknown $ 1641.6 1641.6 pips 98 0.27 2.11
S5 Strategy 7.72.203 Strategy 7.72.203 unknown $ 9136.91 913.7 pips 120 0.18 1.37a


and reports


Strategy Tester Report
Strategy 26.91.538 fixed gbpusd h1 ic
ICMarketsSC-Demo01 (Build 1280)

Symbol GBPUSD (Great Britain Pound vs US Dollar)
Period 1 Hour (H1) 2018.01.02 00:00 - 2020.08.14 23:00 (2018.01.01 - 2020.08.17)
Model Every tick (the most precise method based on all available least timeframes)
Parameters CustomComment="Strategy 26.91.538"; MagicNumber=11111; KCBarCloseserPeriod=20; LinRegBarClosesPrd=40; BBBarClosesPeriod=10; PriceEntryMult=0.3; BarsValid=31; MoveSL2BECoef=4.7; ProfitTarget=150; StopLoss=40; TrailingStop=70; SMAPeriod=30; ATRPeriod=20; smm="----------- Money Management - Fixed size -----------"; mmLots=0.1; seod="----------- Exit At End Of Day -----------"; ExitAtEndOfDay=false; EODExitTime="23:04"; seof="----------- Exit On Friday -----------"; ExitOnFriday=true; FridayExitTime="20:00"; sltr="----------- Limit Time Range -----------"; LimitTimeRange=false; SignalTimeRangeFrom="08:00"; SignalTimeRangeTo="16:00"; ExitAtEndOfRange=false; smtpd="----------- Max Trades Per Day -----------"; MaxTradesPerDay=0; smmslpt="----------- Min/Max SL/PT -----------"; MinimumSL=0; MinimumPT=0; MaximumSL=0; MaximumPT=0; slts="----------- Use Tick size from SQ (for CFDs) -----------"; UseSQTickSize=false; MainChartTickSizeSQ=-1; sqDisplayInfoPanel=true; ModifyInsteadOfReplacing=true; OpenBarDelay=0;
Bars in test 17282 Ticks modelled 49950399 Modelling quality 90.00%
Mismatched charts errors 0
Initial deposit 10000.00 Spread Current (2)
Total net profit 2642.14 Gross profit 5819.22 Gross loss -3177.08
Profit factor 1.83 Expected payoff 16.11
Absolute drawdown 130.72 Maximal drawdown 420.55 (3.64%) Relative drawdown 3.64% (420.55)
Total trades 164 Short positions (won %) 81 (38.27%) Long positions (won %) 83 (51.81%)
Profit trades (% of total) 74 (45.12%) Loss trades (% of total) 90 (54.88%)
Largest profit trade 149.30 loss trade -42.04
Average profit trade 78.64 loss trade -35.30
Maximum consecutive wins (profit in money) 6 (472.08) consecutive losses (loss in money) 7 (-284.90)
Maximal consecutive profit (count of wins) 472.08 (6) consecutive loss (count of losses) -284.90 (7)
Average consecutive wins 2 consecutive losses 2
Graph
# Time Type Order Size Price S / L T / P Profit Balance
1 2018.01.02 11:00 sell stop 1 0.10 1.34991 0.00000 0.00000
2 2018.01.02 11:00 modify 1 0.10 1.34991 1.35391 1.33491
3 2018.01.02 18:00 modify 1 0.10 1.35195 0.00000 0.00000
4 2018.01.02 18:00 modify 1 0.10 1.35195 1.35595 1.33695
5 2018.01.02 19:00 modify 1 0.10 1.35212 0.00000 0.00000
6 2018.01.02 19:00 modify 1 0.10 1.35212 1.35612 1.33712
7 2018.01.03 14:00 buy stop 2 0.10 1.35802 0.00000 0.00000
8 2018.01.03 14:00 modify 2 0.10 1.35802 1.35402 1.37302
9 2018.01.03 17:00 modify 2 0.10 1.35843 0.00000 0.00000
10 2018.01.03 17:00 modify 2 0.10 1.35843 1.35443 1.37343
11 2018.01.03 17:01 sell 1 0.10 1.35212 1.35612 1.33712
12 2018.01.05 00:00 delete 2 0.10 1.35843 1.35443 1.37343

.....etc

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