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SLTP Probability

This multifunctional analyzer expert calculates stop loss and take profit execution probability.


General idea

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).


Settings

  • 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.


Displayed values

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 %


Usage features

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.

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