Account Balance Projections

Hello, I am moving over from the programming side of trading, to the research side. I am looking for a formula that will give me projections of the account balance if I am running a certain strategy which has known characteristics of Risk/Reward ratio, and Win/Loss ratio.

Ex) I have a strategy that has a risk/reward ratio of 1:1, and a win/loss ratio of 2:1. If the starting account balance is $10,000, and the lot size traded is 0.10 lots, what would a projection be after 100 trades?

I think this will be a helpful tool for all traders here to use for research purposes, so I am going to try to make a formula that can tell me this. If anybody has knowledge on the subject, please post, all help is appreciated.

Edit: I have made an open office spreadsheet that simulates this, but it isn't quite a formula yet.

The quick answer is your talking about expectancy.

The projection of the account balance (portfolio value) depends on the systems win rate. For example if you fix the risk (e.g. you get minimal slippage and you stick to your plan a hit trades that go against you at predetermine levels) and you have a variable reward the strike rate needs to be above 60% to give a good chance of positive growth. I've run a Monte Carlo simulation of this a got this result:



In the simulation I sampled from a uniform distribution, U(0,1), to generate a series of 100 win/loss events and applied the strike rate e.g Pr(win) = 0.6 so if the value sampled from the uniform distribution was less than or equal to 0.6 I called it a win otherwise a loss. To build up the 'grey plume' on the plot I ran the simulation 10000 times. The variable reward was sampled from a distribution centred around 2 e.g. Reward-to-risk of 2:1. It looked something like this:



If you're after more information on this kind of analysis, a trader called PipMeUp started a great thread called Expectancy Management that is well worth a read. You'll find a lot of good ideas and information there - you can also find the R code to run the simulation and generate the above plots over there as well.

Hope this helps.
ninety47

Dears,

I also have a balance issue need your help.

I don't want to use AccountBalance() as I want to calculate the balance accumulated by different EA on a same account.
Therefore, I define accountBalance for the purpose. However how can I get a precise balance calculation after an order is closed considering commission,swap and others?
Is below MQL4 correct?

double accountBalance=1000.00;

void OnTick()
{
....
....
accountBalance=accountBalance+OrderProfit()+OrderCommission()+OrderSwap();
...
...
}