Exponential Regression - Trade Management

Does anyone use a regression calculation for multiple entry strategies, either mean reversion or median type grids?

I don't want an EA discussion or anything to do with indicators, just help with "simple" math!

I'm working on something (read Bird Watching in Lion County for hints) and I want to calculate a multiple entry criteria with a max risk BUT with a decaying expontential regression at the end of that fat tail risk.

Hopefully this is clear but along the lines of this:

1. MAX risk and hard stop is 2% in total of all entries.
2. MAX number of entries is 4.
3. I determine the MAX negative excursion from 1st entry (lets say for this exercize 200 pips).

Easy right? This is the tricky part....

So we've established that the total risk of all 4 entries is 2%, that's it we close down at a loss.

Lets have a look at a weekly fib pivot chart with 38 as entry and 138 as final hard stop.

The 1st entry is the smallest lot size with a -200 pip stoploss (this is at 38 fib - 100% of stoploss distance)

The 2nd is slightly larger in lot size with a -154 pip stoploss (this is at 61 fib - 77% of stoploss distance)

The 3rd is slightly larger in lot size with a -120 pip stoploss (this is at 78 fib - 60% of stoploss distance)

The 4th is slightly larger in lot size with a -76 pip stoploss (this is at 100 fib - 38% of stoploss distance)

In summary we have 1 trade with 4 entries and a max% total stop loss, each subsequent entry is slightly larger in lot size with the 4th and final lot size the largest BUT when all four entries reach max stop that is calculated (in this example) at 2% risk.

I hope this makes sense to a maths wizz out there, as I've got the gear but no idea when it comes to mathematics.

Hopefully with help we can build a google sheets calculator that it is free to use by anyone for any type of trader that uses multiple entries, using a pip value = % stop to calculate lot sizes based on equity.

Please NO ea discussion or indi discussion - this to build a free money management template that can be used by anyone on any platform for free. I don't want to police this thread so please respect what I'm trying to create.

Thanks all!

Something along the lines of this I guess:


Happy to throw around risk/trade management ideas!

This may do the trick, two positions from 38 Piv to 138 with 161 as absolute stop...



Can also be reversed for compounding as well I guess?

You could experiment with this EA

It is FREE

No need to place the stops, it is by total percentage, say as per your 2%

The 1st position is placed manually, either by market order or pending order

Then it adds on as many positions as per your settings and at certain pip intervals

The position size can be set for the same size, twice the size or half the size for the add on positions

Obviously, the 1st position would have to be large enough to be divided at least once for the add-on position

Take Profit is also by percentage

Good Luck

https://www.mql5.com/en/market/produ...ch#description

Cool thanks Erebus, I'm not a big fan of EAs although I will check this out for my other scalping endeavors....

For this project I'm swing trading so no need to have an EA running.

Cheers

I have a working draft and happy with a few trades last week. Seems to work well using ADR for day trading.

I will work out a few positions next week and figure out if it's workable long term. Goal is to have safe as houses +2% return per month per account, not exciting but earns for those in the know....

Hi Fagin! Great job!

To be more accurate we have to add spread and commission. For example if spread is 4.5 and commission is 5.5 then you have to deduct 10 points from you SL distance (if you trade 1 lot size). If you trade overnight then you have to deduct swap too (and double swap on Thuesday). It is not so complicated to add the values to the formula.

Thanks, still very much a work in progress.

Good point, I’ve always treated costs as end of day incidentals and never really sweated about them to be honest.

But I should write them into the risk model although I think I’ll just average 25% on the Pip value for commission and not worry about the spread as I only trade sub 1 pip pairs normally anyway.

Swap will be tricky as trade times are unknown for swings and not an issue for day trades. In the scheme of things I may still have to park them as incidentals.