Attachments: Lot size calculation

Lot size calculation

#1
First Post: May 14, 2008 3:43pm May 14, 2008 3:43pm

soso
Joined Aug 2007 | Status: Fluid | 1,133 Posts

Hi people,

Hopefully someone can help me, I am coding an EA and I have some problems finding the correct algorithm to adjust the lot size of a new trade to a predefined risk.

What it is known:
- Account balance
- Risk percent
- Distance to stop loss in pips

What I need:
- Resulting position size

I'd also like to mention that ea will also trade pairs that don't contain the account currency e.g. if my account is funded in Euros and a trade is opened on USDJPY.

Thanks in advance!
-soso

Trading = a mirror to your human flaws. Fix them or be fixed.

#2
May 14, 2008 3:47pm May 14, 2008 3:47pm

benssol
Joined Jan 2007 | Status: Trader | 1,407 Posts

search the forum for position sizing

#3
May 14, 2008 3:58pm May 14, 2008 3:58pm

soso
Joined Aug 2007 | Status: Fluid | 1,133 Posts

Quoting benssol

Disliked

search the forum for position sizing

Ignored

If you're so confident in finding the proper code around here why didn't you post the link in the first place saying how you found it?

Trading = a mirror to your human flaws. Fix them or be fixed.

#4
Edited 6:53pm May 14, 2008 4:06pm | Edited 6:53pm

smjones
Joined Mar 2006 | Status: THANK YOU MERLIN,TWEE and FF Team | 4,603 Posts

here is how I handle it.

The algorithm is Lots = AccountBalance or Equity * Percent To Risk / Stoploss in pips / Pipvalue

PHP Code

//+------------------------------------------------------------------+
//|                                                  EA Template.mq4 |
//|                                                          smjones |
//|                                                                    
//+------------------------------------------------------------------+
#property copyright "smjones"
#property link      "smjones"
extern int        Magic = 547893;
extern double     Lots = 1;
extern bool       AutoMoneyManagement = false;  
extern double     PercentToRisk = 1;
extern double     StopLoss = 10;
extern double     TakeProfit = 20;
extern int        Slippage = 3;
extern string     Comments = "EA Template";
datetime          Toggleb = 0,
                  Toggles = 0;
 
//+------------------------------------------------------------------+
//| expert initialization function                                   |
//+------------------------------------------------------------------+
int init()
  {
//----
 
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| expert deinitialization function                                 |
//+------------------------------------------------------------------+
int deinit()
  {
//----
 
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| expert start function                                            |
//+------------------------------------------------------------------+
int start()
  {
//----
      double   Risk = PercentToRisk/100;
 
      if (AutoMoneyManagement)
         Lots = NormalizeDouble(AccountBalance()*Risk/StopLoss/(MarketInfo(Symbol(), MODE_TICKVALUE)),2);
 
 
      if ( /*Order test stuff &&*/ Toggleb != Time[0] )
               {
                  Toggleb = Time[0];
                  OrderSend(Symbol(),OP_BUY,Lots,Ask,Slippage,Bid-StopLoss*Point,Ask+TakeProfit*Point, Comments+" Buy",Magic,0,Lime);
               } 
 
      if ( /*Order test stuff &&*/ Toggles != Time[0] )
               {
                  Toggles = Time[0];
                  OrderSend(Symbol(),OP_SELL,Lots,Bid,Slippage,Ask+StopLoss*Point,Bid-TakeProfit*Point, Comments+" Sell",Magic,0,Red);
               }                      
//----
   return(0);
  }
//+------------------------------------------------------------------+

Attached File(s)

EA Template.mq4 2 KB | 797 downloads

#5
May 14, 2008 4:38pm May 14, 2008 4:38pm

benssol
Joined Jan 2007 | Status: Trader | 1,407 Posts

Quoting soso

Disliked

If you're so confident in finding the proper code around here why didn't you post the link in the first place saying how you found it?

Ignored

smjones did it for you

and why you are so lazy and dont want to hurt your finger and search about it, we did this before many times

#6
May 14, 2008 6:49pm May 14, 2008 6:49pm

Dale
| Joined Feb 2008 | Status: Trader | 573 Posts

Please don't take any offense.

I have been searching this forum and others for days, looking for code like this to help me solve a simular issue.

I am very thankful for the posting of the code.

Thankyou for taking the time to post it.

Dale

#7
May 14, 2008 6:51pm May 14, 2008 6:51pm

smjones
Joined Mar 2006 | Status: THANK YOU MERLIN,TWEE and FF Team | 4,603 Posts

No problem at all, glad it can be of help.

#8
May 14, 2008 7:43pm May 14, 2008 7:43pm

Que
Joined May 2007 | Status: ??? | 1,265 Posts

Inserted Code

(AccountEquity()*(PercentAtRisk/100))/(MarketInfo(Symbol(),MODE_TICKVALUE)*StopLossPIPs);

Same thing, just different way to write it

Que

#9
May 14, 2008 8:59pm May 14, 2008 8:59pm

eagle4x
| Joined Sep 2005 | Status: pip my ride | 507 Posts

Here is a link to an article on fixed ratio position sizing that was developed by Ryan Jones. With this method, lot sizes are adjusted up/down based on increases/decreases in your equity.

http://www.stator-afm.com/fixed-rati...on-sizing.html

#10
May 14, 2008 9:37pm May 14, 2008 9:37pm

smjones
Joined Mar 2006 | Status: THANK YOU MERLIN,TWEE and FF Team | 4,603 Posts

Yes Ryan Jones' approach is great for futures contracts, but IMO does not lend itself well to forex spot, because FOREX offers far more granularity than futures contracts. To me, this is a big plus for spot trading. If one looks at the formula above, it is apparent, that the position size will grow or shrink in direct relationship to the balance or the equity, depending on which is used for the computation. The percent of risk remains constant as the equity and balance grow and shrink.

BTW. Ryan Jones has a very good book on Money management and risk called The Trading Game

Chapter three deals with several types of money management. If I recall Fixed ratio type is chapter 6 and I really enjoyed chapter nine on Market Weighting. Thanks for the reminder of Ryan jones' work. He is one of my favorite trading authors.

#11
May 14, 2008 10:30pm May 14, 2008 10:30pm

eagle4x
| Joined Sep 2005 | Status: pip my ride | 507 Posts

Seems to me that the instrument traded is irrelevant to this issue - lot size is adjusted up if your equity has gained sufficiently to cover the increase. What position sizing method do you think is better than this?

Quoting smjones

Disliked

Yes Ryan Jones' approach is great for futures contracts, but IMO does not lend itself well to forex spot, because FOREX offers far more granularity than futures contracts. To me, this is a big plus for spot trading. If one looks at the formula above, it is apparent, that the position size will grow or shrink in direct relationship to the balance or the equity, depending on which is used for the computation. The percent of risk remains constant as the equity and balance grow and shrink.

BTW. Ryan Jones has a very good book on Money management and risk called The Trading Game

Chapter three deals with several types of money management. If I recall Fixed ratio type is chapter 6 and I really enjoyed chapter nine on Market Weighting. Thanks for the reminder of Ryan jones' work. He is one of my favorite trading authors.

Ignored

#12
May 15, 2008 3:18am May 15, 2008 3:18am

soso
Joined Aug 2007 | Status: Fluid | 1,133 Posts

Quoting smjones

Disliked

here is how I handle it.

The algorithm is Lots = AccountBalance or Equity * Percent To Risk / Stoploss in pips / Pipvalue

Ignored

Thanks a lot smjones for the code snippet!

-soso

Trading = a mirror to your human flaws. Fix them or be fixed.

#13
Edited 2:40pm May 15, 2008 2:23pm | Edited 2:40pm

Dale
| Joined Feb 2008 | Status: Trader | 573 Posts

I like to enter a market using the: High[1]+1 pip as my buy stop and the Low[1] - 3 pips as my stop loss.

So I have my StopLoss in pips.

Any Ideas on how to correctly apply this to the code above, I have been workin on it and have not been able to get the proper

result.

Thankyou for any help.

Dale

#14
Edited 2:43pm May 15, 2008 2:30pm | Edited 2:43pm

smjones
Joined Mar 2006 | Status: THANK YOU MERLIN,TWEE and FF Team | 4,603 Posts

StopLoss = ( (High[1]+Point) - (Low[1]-(3*Point) ) ) / Point;

Put this snip of code just at the beginning of the start function. Just after start and the "{" for the function.

#15
May 17, 2008 12:25pm May 17, 2008 12:25pm

Dale
| Joined Feb 2008 | Status: Trader | 573 Posts

I have inserted a code, but am getting the lot size numbers that are too big.

Example: GBP/USD lots should be 0.0219 lots

The code returns 2.19 lots

when running the numbers on a spread sheet, the result is .0219 lots

In metaquotes the result is 2.19 lots

Here is the code I have so far, do you see what I did incorrectly??

int start()
{
//----
double PercentToRisk =.25;
double Risk = PercentToRisk/100;
//

double StopLoss = ( (High[1]+(5*Point)) - (Low[1]-(3*Point) ) ) / Point;

double Lots = NormalizeDouble(AccountBalance()*Risk/StopLoss/(MarketInfo(Symbol(), MODE_TICKVALUE)),2);

//The algorithm is Lots = AccountBalance or Equity * Percent To Risk / Stoploss in pips / Pipvalue

MessageBox("Lots=" + (Lots));
MessageBox("Risk= should be " + (Risk)); //does not seem to be correct
MessageBox("StopLoss or H minus L " + (StopLoss)); //is correct
//----
return(0);
}
//+------------------------------------------------------------------+

Attached File(s)

TestLotSize.mq4 1 KB | 649 downloads

#16
Edited 4:57pm May 17, 2008 3:43pm | Edited 4:57pm

smjones
Joined Mar 2006 | Status: THANK YOU MERLIN,TWEE and FF Team | 4,603 Posts

What is the percentage of risk you are trying to use? is it 25% or is it 0.25%?

You have 0.25 and then you take that value and divide by 100, making it 0.0025.

My formula says if you are trying to use 25%, that would be

AccountBalance * 0.25 / Stoploss in pips / pip value.

Example
Balance = $10,000
Risk = 5%
Stoploss = 50 pips
Pipvalue = $10 per pip

So

$10,000 * 0.05 = 500
next 500 / 50 = 10
next 10 / 10 = 0.10 lots

So which is it? 0.25% or 25% one of the calcs you have is wrong.

Could list the account balance and the High and low that are a part of the clac, so we can see what you are trying to do here?

Also, please note the calc would be different if you are using a micro or mini account on the MT4 and then computing a standard account on excel.

To find out, creat a message box of the marketinfo part that has the pipvlaue computed.

2.19 micro lots = 0.0219 standard lots

A standard pipvalue of GBPUSD = $10.00
A mini = $ 1.00
a micro = $ 0.10

Attached File(s)

TestLotSize[1].mq4 1 KB | 759 downloads

#17
May 17, 2008 5:31pm May 17, 2008 5:31pm

Dale
| Joined Feb 2008 | Status: Trader | 573 Posts

Thank you again smjones for you help

The percentage of risk I am trying to use is ¼ of 1 percent, my approach gets me in a little at a time and builds a position, I have found this works well with my set up and entry.

My account size is roughly 1,000 USD as a micro, I inserted 1000.00 into the code for testing instead of AccounBalance()

Risk of ¼ of 1 percent should be 2.50 USD

The numbers of the high and low I am using to test the result are from GBP/USD Daily

Chart High of 1.9500 + 5 pips and low for 1.9403 - 3 pips

I am thinking from the information in your reply that I need to account for the fact that I am trading a mini account in the code.

Thankyou again.

Dale

#18
May 18, 2008 10:23am May 18, 2008 10:23am

MRmojtaba
| Membership Revoked | Joined Mar 2007 | 303 Posts

try 0.01 lot size for a 1000$ account and a 30 pip stop loss

#19
Edited 6:39pm May 18, 2008 4:37pm | Edited 6:39pm

Dale
| Joined Feb 2008 | Status: Trader | 573 Posts

May we all have a great trading week.

Here is the code I have so far for use one a mini account in case anyone needs it, I am working on inserting the code for the spread.

Enjoy.

I look forward to the day I can give more back.

Dale

Corrected error inserted Lots, instead of buy stop in ordrsend

Attached File(s)

BASIC BUYSTOP.mq4 2 KB | 683 downloads

#20
Edited May 19, 2008 12:09am May 18, 2008 9:50pm | Edited May 19, 2008 12:09am

Dale
| Joined Feb 2008 | Status: Trader | 573 Posts

I am sure persistence will pay off.

The formula for the lot size does return the correct amount to the message box, however it will not execute.

When I pass the lot size to the send pending function it does something "funky" to it so the order is not accepted.

I have been working on isolating the problem and have found that if I input
NormalizedDouble(.38,2) into the send pending function it converts it to 38 contracts on my demo account which is set a standard.

Any inpute would be helpful.

Thankyou for the smjones for the encouragement & spread code tip.

Thanx, Well get there

Dale

Platform Tech
/
Lot size calculation
Reply to Thread
- Page 1 2
- Page 1 2

0 traders viewing now

Options

Similar Threads

Lot size calculation