OBz Trading Functions Library - библиотека для MetaTrader 4

Данная библиотека показывает, как надо профессионально вычислять размер торговой позиции в зависимости от риска по любому финансовому инструменту. Это очень удобно, так как трейдер не отвлекается на пипсы, тики, лоты и тому подобное.

Размер позиции вычисляется в зависимости от средней дневной волатильности каждого класса финансового инструмента.

Также эта библиотека наглядно показывает для новичков, как при открытии и закрытии позиций надо обрабатывать торговые события: реквоты, замирания торгового сервера и тому подобное.

Эта библиотека функций хорошо себя зарекомендовала на демо- и реальной торговле много месяцев у разных брокеров и на разных финансовых инструментах (более 50 валют и металлов).

Библиотека — Public Domain. Делайте с ней, что хотите.

//_________________________________________________
//                                                 |
//                      Calc_Optimal_Pos_Size ()   |
//_________________________________________________|
double Calc_Optimal_Pos_Size(string       Bond_Name,
                             int          Time_Frame,
                             double       Max_Risk,
                             int          Portfolio_Bonds,
                             int          Full_Expert_ID,
                             bool         Use_Adaptive_Pos_Size_Param,
                             double       First_Loss_Drop_Param,
                             double       Losses_Drop_Slope_Param,
                             double       Second_Profit_Drop_Param,
                             double       Recovery_Slope_Param,
                             double       Max_Drop_Param)
  {
   double  Pos_Size;
   double  Pos_Size_Portfolio;
   double  Pos_Size_Risk;
//.................................................................
   Pos_Size_Risk=Calc_Pos_Size_To_Risk(Bond_Name,
                                       Max_Risk);
   Pos_Size_Portfolio=Calc_Pos_Size_To_Portfolio(Bond_Name,
                                                 Portfolio_Bonds);
   Pos_Size=MathMin(Pos_Size_Risk,Pos_Size_Portfolio);
// ======================= USE ADAPTIVE POS SIZE ===================================
   if(Use_Adaptive_Pos_Size_Param==TRUE)
     {
      //      Print ("Adaptive: risk init=" + DoubleToStr (Pos_Size, 4));
      Pos_Size=Adjust_Pos_Size_To_History(Pos_Size,
                                          Bond_Name,
                                          Full_Expert_ID,
                                          First_Loss_Drop_Param,
                                          Losses_Drop_Slope_Param,
                                          Second_Profit_Drop_Param,
                                          Recovery_Slope_Param,
                                          Max_Drop_Param);
      //      Print ("Adaptive: out=" + DoubleToStr (Pos_Size, 4));
     }
// ============== ADJUST POS SIZE TO BROKER's LIMITS ====================================
//      Print ("Optim Pos size=", DoubleToStr (Pos_Size, 4));
   Pos_Size=Adjust_Pos_Size_To_Broker(Bond_Name,Pos_Size);
   return (Pos_Size);
  }

//__________________________________________________
//                                                 |
//                      Calc_Pos_Size_To_Risk   () |
//_________________________________________________|
double Calc_Pos_Size_To_Risk(string    Bond_Name,
                             double    Max_Risk)
  {
   double  Equity_Drawdown;
   double  Daily_Volatility;
   double  Pos_Size;
   int     Lot_Digits;
   double  Stop_Loss_Points;
   double  One_Point_Cost;
   double  Tick_Value;
   double  Margin_Init;
   double  Min_Lot_Size;
//........................................................................
   if(TerminalInfoInteger(TERMINAL_CONNECTED)!=TRUE)
     {
      Pos_Size=0.0;
      return (Pos_Size);
     }
//........................................................................
   RefreshRates();
//.................................................................
   Min_Lot_Size=MarketInfo(Bond_Name,MODE_MINLOT);
   Tick_Value=MarketInfo(Bond_Name,MODE_TICKVALUE);
   Margin_Init=MarketInfo(Bond_Name,MODE_MARGININIT);
   if((MarketInfo(Bond_Name,MODE_MARGINCALCMODE)==2) && (Margin_Init!=0.0))
     {
      Tick_Value=Tick_Value *MarketInfo(Bond_Name,MODE_MARGINREQUIRED)/Margin_Init;
     }
//      Print ("Tick val=", DoubleToStr(Tick_Value, 6));
//..........................................................................
   Equity_Drawdown=MathMin(AccountEquity(),AccountBalance())*Max_Risk/100.0; //percent
   Daily_Volatility=Get_Daily_Volatility(Bond_Name);
//      Print ("Daily volat=", DoubleToStr (Daily_Volatility,5));
//..........................................................................
   Stop_Loss_Points=MarketInfo(Bond_Name,MODE_BID)*Daily_Volatility
                    /MarketInfo(Bond_Name,MODE_POINT);
//      Print ("Stop_Loss_Points=", DoubleToStr (Stop_Loss_Points, 2));
//..........................................................................
   One_Point_Cost=Tick_Value/(MarketInfo(Bond_Name,MODE_TICKSIZE)
                              /MarketInfo(Bond_Name,MODE_POINT));
//      Print (" One_Point_Cost =", DoubleToStr (One_Point_Cost, 4));
//..........................................................................
   if(One_Point_Cost==0.0)
     {
      Print("Error: One_Point_Cost=0.0: ",DoubleToStr(One_Point_Cost,6));
      Print("Tick_Value= ",DoubleToStr(Tick_Value,6));
      Print("Equity_Drawdown= ",DoubleToStr(Equity_Drawdown,6));
      Print("Daily_Volat= ",DoubleToStr(Daily_Volatility,5));
      Print("Stop_Loss_Points= ",DoubleToStr(Stop_Loss_Points,3));
      Print("One_Point_Cost= ",DoubleToStr(One_Point_Cost,6));
      return (0.0);
     }
//..........................................................................
   Pos_Size=Equity_Drawdown/(One_Point_Cost*Stop_Loss_Points);
//..........................................................................
   if(Pos_Size<Min_Lot_Size)
     {
      Pos_Size=Min_Lot_Size;
     }
//.............................................................................
   Lot_Digits=Get_Lot_Digits(Bond_Name);
//      Print (" Lot_Digits =" + Lot_Digits);
   Pos_Size=NormalizeDouble(Pos_Size,Lot_Digits);
//      Print (" Pos_Size =", DoubleToStr (Pos_Size, 4));
//..........................................................................
   return (Pos_Size);
  }

//______________________________________________________________
//                                                              |
//                      Adjust_Pos_Size_To_History ()           |
//______________________________________________________________|
double Adjust_Pos_Size_To_History(double       Pos_Size,
                                  string      Bond_Name,
                                  int         Full_Expert_ID,
                                  double      First_Loss_Drop_Param,
                                  double      Losses_Drop_Slope_Param,
                                  double      Second_Profit_Drop_Param,
                                  double      Recovery_Slope_Param,
                                  double      Max_Drop_Param)
  {
   double  PL_History;     // positive profits OR negative losses
   PL_History=Calc_PL_History_Factor(Bond_Name,Full_Expert_ID);
   Pos_Size=Reduce_Pos_Size_To_PL_History(PL_History,
                                          Pos_Size,
                                          Bond_Name,
                                          First_Loss_Drop_Param,
                                          Losses_Drop_Slope_Param,
                                          Second_Profit_Drop_Param,
                                          Recovery_Slope_Param,
                                          Max_Drop_Param);
   return (Pos_Size);
  }