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Kelly EA

  • #1
  • First Post: Nov 9, 2008 8:09am Nov 9, 2008 8:09am
Gidday

Could someone please take a look at the EA and let me know what needs to be done to automate it.

I am not a coder but like the Idea any help would be great.


Thanks

Kiwi
Attached File(s)
File Type: mq4 Kelly.mq4   5 KB | 1,106 downloads
  • #2
  • Nov 9, 2008 9:00am Nov 9, 2008 9:00am
That's awesome! Its basically a Kelly Criterion function for figuring out lot size - I love it.

So what exactly do you mean by "automate it"? It should already give you an alert telling you what lot size to pick - does it not do that for you?
  • #3
  • Nov 9, 2008 9:19am Nov 9, 2008 9:19am
Quoting LongToBeFree
That's awesome! Its basically a Kelly Criterion function for figuring out lot size - I love it.

So what exactly do you mean by "automate it"? It should already give you an alert telling you what lot size to pick - does it not do that for you?
So all calculations are made in real time at the moment it all manual

1. count all trades
2. count trades that are profitable
etc. etc
  • #4
  • Nov 9, 2008 9:48am Nov 9, 2008 9:48am
???
How do you start it now? Is there not a pop-up box (alert) that gives you the Kelly numbers?
  • #5
  • Nov 9, 2008 9:52am Nov 9, 2008 9:52am
Quoting LongToBeFree
???
How do you start it now? Is there not a pop-up box (alert) that gives you the Kelly numbers?
It is printing to a file right now with the Print statement

Just change it to be included with the Comment statement below it and then it will print to the screen.
  • #6
  • Nov 9, 2008 9:52am Nov 9, 2008 9:52am
Exactly I found this over on TSD and have been trying to get it working for a while now but since I'm crap at coding I am asking for help. I do think it would be a great tool for trading if it uses current data
  • #7
  • Nov 9, 2008 11:39am Nov 9, 2008 11:39am
Thats not too hard. I've attached a new version below - let me know if it works
Attached File(s)
File Type: mq4 Kelly.mq4   5 KB | 821 downloads
  • #8
  • Nov 9, 2008 12:04pm Nov 9, 2008 12:04pm
No luck yet i have been using this part of the code in an EA to test if it works or not and using the WinRate as a comment just to see if we have any info
Inserted Code
//+------------------------------------------------------------------+
//| COLLECT REAL TIME ACCOUNT INFO |
//+------------------------------------------------------------------+
//------------------------>>>> 
double WinRate()
{
double Ticket;
double CountWins = 0;
for(Ticket=0;Ticket<OrdersTotal();Ticket++)
{
OrderSelect(Ticket,SELECT_BY_TICKET,MODE_HISTORY);
if(MyAccount==AccountNumber() && OrderSymbol()==Symbol() && OrderMagicNumber() == ExpertID)
{
//------>>>>
if(OrderType()==OP_BUY)
{
if(OrderClosePrice() >= OrderOpenPrice())
CountWins++;
}
else if(OrderType()==OP_SELL) 
{
if(OrderClosePrice() <= OrderOpenPrice())
CountWins++; 
}
} 
}
if(CountWins > 0)
return(MathRound(CountWins/OrdersHistoryTotal())*10);
else 
Print("Real Time WinRate not Available");
return(mWinRate);
}
//------>>>>
//------------------------>>>> 
double AvgWin()
{
double Ticket;
double CountTrades = 0;
double CountPips = 0;
for(Ticket=0;Ticket<OrdersTotal();Ticket++)
{
OrderSelect(Ticket,SELECT_BY_TICKET,MODE_HISTORY);
if(MyAccount==AccountNumber() && OrderSymbol()==Symbol() && OrderMagicNumber() == ExpertID)
{
//------>>>> 
if(OrderType()==OP_BUY && OrderClosePrice()>=OrderOpenPrice())
CountTrades++;
{
if(OrderProfit() >= 0)
CountPips++;
}
if(OrderType()==OP_SELL && OrderClosePrice()<=OrderOpenPrice())
CountTrades++;
{
if(OrderProfit() >= 0)
CountPips++;
} 
}
}
if(CountPips > 0)
return(MathRound(CountPips/CountTrades)*10); 
else 
Print("Real Time AvgWin not Available");
return(mAvgWin); 
}
//------>>>>
//------------------------>>>> 
double AvgLoss()
{
double Ticket;
double CountTrades = 0;
double CountPips = 0;
for(Ticket=0;Ticket<OrdersTotal();Ticket++)
{
OrderSelect(Ticket,SELECT_BY_TICKET,MODE_HISTORY);
if(MyAccount==AccountNumber() && OrderSymbol()==Symbol() && OrderMagicNumber() == ExpertID)
{
//------>>>>
if(OrderType()==OP_BUY && OrderClosePrice()<OrderOpenPrice())
CountTrades++;
{
if(OrderProfit() < 0)
CountPips++;
}
if(OrderType()==OP_SELL && OrderClosePrice()>OrderOpenPrice())
CountTrades++;
{
if(OrderProfit() < 0)
CountPips++;
} 
}
}
if(CountPips > 0)
return(MathRound(CountPips/CountTrades)*10); 
else 
Print("Real Time AvgLoss not Available");
return(mAvgLoss);
}
//---------------------------------------------------------------------+
  • #9
  • Nov 9, 2008 12:09pm Nov 9, 2008 12:09pm
Replace that function with this one
Inserted Code
//+------------------------------------------------------------------+
//| COLLECT REAL TIME ACCOUNT INFO |
//+------------------------------------------------------------------+
//------------------------>>>> 
double WinRate()
{
double Ticket;
double CountWins = 0;

for(Ticket=0;Ticket<OrdersTotal();Ticket++)
{
OrderSelect(Ticket,SELECT_BY_TICKET,MODE_HISTORY);
if(OrderSymbol()==Symbol())
{
//------>>>>
if(OrderType()==OP_BUY)
{
if(OrderClosePrice() >= OrderOpenPrice())
CountWins++;
}
else if(OrderType()==OP_SELL) 
{
if(OrderClosePrice() <= OrderOpenPrice())
CountWins++; 
}
} 
}
if(CountWins > 0)
return(MathRound(CountWins/OrdersHistoryTotal())*10);
else 
Print("Real Time WinRate not Available");
return(mWinRate);
}
  • #10
  • Nov 9, 2008 12:35pm Nov 9, 2008 12:35pm
Gidday LongToBeFree

I have
2008.11.09 20:23:13 2008.11.07 22:59 EPA-Swap GBPJPY,Daily: Real Time WinRate not Available
I have tried this but no luck if I only new WTF i'm doing

Inserted Code
for(int Position=0;Position<OrdersHistoryTotal();Position++)
{
OrderSelect(Position,SELECT_BY_POS,MODE_HISTORY);

So there is still a problem but we will get there. lol

Cheers

Kiwi
  • #11
  • Nov 9, 2008 2:10pm Nov 9, 2008 2:10pm
This code relies on you having an:
1 - an order history
2 - a fair number of winning and losing trades

does your MT show that?
  • #12
  • Nov 9, 2008 2:29pm Nov 9, 2008 2:29pm
yep I have over 1500 trades on one of my live accounts. I would like to think that thats enough history but I might be wrong.

Cheers

Kiwi
  • #13
  • Nov 10, 2008 7:09am Nov 10, 2008 7:09am
Found another error. Try this function:

Inserted Code
//+------------------------------------------------------------------+
//| COLLECT REAL TIME ACCOUNT INFO |
//+------------------------------------------------------------------+
//------------------------>>>> 
double WinRate()
{
double Ticket;
double CountWins = 0;

for(Ticket=0;Ticket<OrdersTotal();Ticket++)
{
OrderSelect(Ticket,SELECT_BY_POS,MODE_HISTORY);
if(OrderSymbol()==Symbol())
{
//------>>>>
if(OrderType()==OP_BUY)
{
if(OrderClosePrice() >= OrderOpenPrice())
CountWins++;
}
else if(OrderType()==OP_SELL) 
{
if(OrderClosePrice() <= OrderOpenPrice())
CountWins++; 
}
} 
}
if(CountWins > 0)
return(MathRound(CountWins/OrdersHistoryTotal())*10);
else 
Print("Real Time WinRate not Available");
return(mWinRate);
}
  • #14
  • Nov 10, 2008 1:13pm Nov 10, 2008 1:13pm
Sorry Long but its not working I have not been able to try anything else but I will on tuesday

And do you think there is a coding wizkid out there who is reading this and laughing his ass off because they can see the problems.

Cheers

Kiwi
  • #15
  • Nov 11, 2008 10:53am Nov 11, 2008 10:53am
Quoting Kiwi06
Sorry Long but its not working I have not been able to try anything else but I will on tuesday

And do you think there is a coding wizkid out there who is reading this and laughing his ass off because they can see the problems.

Cheers

Kiwi
well I'm no wizkid but I did find quite a few logic in this piece of code that doesn't make sense to me.

take the WinRate() for example.

the for loop statement below tells me its going to use POSITIONAL order selection on the CURRENTLY RUNNING/OPENED TRADES. I don't know why the author named that variable as Ticket. A typical order ticket isn't a running consecutive number that increments. That made this confusing, if you're going the positional way, he should've named it something like "index"...

for(Ticket=0;Ticket<OrdersTotal();Ticket++)

while the first line inside the for loop says its selecting orders in the HISTORY list...

OrderSelect(Ticket,SELECT_BY_POS,MODE_HISTORY);

I assume we should be looking at the history. which means those couple of lines should be...
------------
for(int index=0;index<OrdersHistoryTotal();index++) // changed OrdersTotal to OrdersHistoryTotal
{
OrderSelect(index,SELECT_BY_POS,MODE_HISTORY);
------------

Another thing to note is, to know if a trade was a winning trade or not, we don't have to know if its buy or sell and compare the open and close price... just use the OrderProfit() function and compare that with 0. The original method isn't wrong... just a little long winded I guess, or probably the author has something else in mind which I don't know about.

next problem I see is in ...
return(MathRound(CountWins/OrdersHistoryTotal())*10);

Why are the number of wins calculated over the total number of orders in history? that's assuming, that account only uses 1 strategy isn't it? I think a proper way of calculating would be to calculate the number of wins against the total number of trades that were executed by a particular EA.

and why is it *10? instead of *100? the manual value in user input mWinRate is 50. I assume that means 50%. so... we should times 100 to get that kinda percentage value isn't it?

and also I think a good addition to the algorithm would be, if there's no trades executed by the EA, return the manual input value of 50% since either way is possible. if there were trades executed but no winnings, the function should return 0% as the win rate instead of that 50%.

I can go on and on about the other functions but I think this is probably enough to get you guys going. pm me if you need help. Here's my rewitten WinRate() for your reference just in case.

Inserted Code
double WinRate()
{
   double CountWins = 0;
   [b]int EA_Executed_Trades = 0;[/b]
   for(int index=0;index<[b]OrdersHistoryTotal()[/b];index++) // changed OrdersTotal to OrdersHistoryTotal
   {
      OrderSelect(index,SELECT_BY_POS,MODE_HISTORY);
      if(MyAccount==AccountNumber() && OrderSymbol()==Symbol() && OrderMagicNumber() == ExpertID)
      {
      //------>>>>
         if([b]OrderProfit()[/b]>=0)
         {
            CountWins++;
         }
         [b]EA_Executed_Trades++;[/b]
      } 
   }
   if(EA_Executed_Trades == 0) // There was no trade done by this EA, use the manual input value
   {
      return(mWinRate);
   }
   if(CountWins > 0)
   {
      [b]return(MathRound(CountWins/EA_Executed_Trades)*100);[/b]
   }
   else 
   {
      Print("Real Time WinRate not Available");
      return (CountWins); // this will return 0.
   }
}

Hope this helps. Have fun.

regards,
Zen

p.s., try indenting the codes, easier to read that way.
Programming for a better future.
  • #16
  • Feb 14, 2009 12:31pm Feb 14, 2009 12:31pm

I tried to adapt the changes of the Zen_Leow for functions AvgWin () and AvgLoss () and worked without errors, but the variable CountPips do not count how many pips are lost or won and only the number of wins / losses. I think this way the Kelly criterion does not work.

Example:
if in 100 trades 70 were correct and the average gain on those trades were 30 pips and the average loss of the 30 incorrect trades were 60 pips then we have:

70% winrate
0.50 payrate (30/60)

Kelly % = winrate – [(1 – winrate) / payrate ]
Kelly % = 0.70 - [(1-0.70)/0.50]
Kelly % = 10%

if in 100 trades 70 were correct and we don't know the number of pips won/lost then we have:

70% winrate
2.30 payrate (70/30) (How does this algorithm)

Kelly % = winrate – [(1 – winrate) / payrate ]
Kelly % = 0.70 - [(1-0.70)/2.30]
Kelly % = 54.14%


Totally different.

Anybody know how to implement this count?

Thanks.



Inserted Code
// AvgWin

 
double AvgWin()
{
double Ticket;
double CountTrades = 0;
double CountPips = 0;

for(int index=0;index<OrdersHistoryTotal();index++) // changed OrdersTotal to OrdersHistoryTotal
{
OrderSelect(Ticket,SELECT_BY_TICKET,MODE_HISTORY);
if(OrderSymbol()==Symbol())

{

         if(OrderProfit()>=0)
         {
            CountPips++;
         }
         CountTrades++;
      } 
   }
   if(CountPips == 0) // There was no trade done by this EA, use the manual input value
   {
      return(mAvgWin);
   }
   if(CountTrades > 0)
   {
      return(MathRound(CountPips/CountTrades)*10);
   }
   else 
   {
      Print("Real Time AvgWin not Available");
      return (CountTrades); // this will return 0.
   }
}

// AvgLoss
 
double AvgLoss()
{
double Ticket;
double CountTrades = 0;
double CountPips = 0;

for(int index=0;index<OrdersHistoryTotal();index++) // changed OrdersTotal to OrdersHistoryTotal
{
OrderSelect(Ticket,SELECT_BY_TICKET,MODE_HISTORY);
if(OrderSymbol()==Symbol())

{

         if(OrderProfit()<0)
         {
            CountPips++;
         }
        CountTrades++;
      } 
   }
   if(CountPips == 0) // There was no trade done by this EA, use the manual input value
   {
      return(mAvgLoss);
   }
   if(CountTrades > 0)
   {
      return(MathRound(CountPips/CountTrades)*10);
   }
   else 
   {
      Print("Real Time AvgLoss not Available");
      return (CountTrades); // this will return 0.
   }
}

  • #17
  • Edited 6:17pm Feb 14, 2009 5:43pm | Edited 6:17pm
Although I didn't inspect all your codes, but there is one thing you have to know.

This is an explanation you can see at Metaeditor's search function.

Quote
The pool parameter is ignored if the order is selected by the ticket number. The ticket number is a unique order identifier. To find out from what list the order has been selected, its close time must be analyzed. If the order close time equals to 0, the order is open or pending and taken from the terminal open positions list. One can distinguish an open position from a pending order by the order type. If the order close time does not equal to 0, the order is a closed order or a deleted pending order and was selected from the terminal...

In brief, "MODE_HISTORY" is ignored if you use "SELECT_BY_TICKET".
So when you use "SELECT_BY_TICKET", you have to distinguish open orders from closed trades by OrderCloseTime().

For example, if you want to select only closed trades, skip open orders like this.

PHP Code
if( OrderCloseTime() < 1 ) continue; // skip open orders
Or you can do it easily just by using "SELECT_BY_POS" + "MODE_HISTORY"

(I noticed now that Zen_Leow has written it in this way. That will be a problem of your code. Just do as Zen has written.)

* In your case, even if you use "SELECT_BY_TICKET", ticket will not be selected correctly.
(when index=0, selected ticket is 0, when index is 1, selected ticket is 1.....etc. Select by ticket is a function that is only used in very limited cases.)

And I noticed now that you select orders by a variable "Ticket", not "index"... this must accord.

PHP Code
OrderSelect(index, SELECT_BY_POS, MODE_HISTORY);
  • #18
  • Feb 14, 2009 8:03pm Feb 14, 2009 8:03pm
lohikeitto,

You're right. I made the changes, now faithful to Zen's example, but still getting errors (Zero divide). Like I said, the algorithm is mistaken, need to calculate the average profit value / average loss value (payrate).


If there was a mql4 built-in function called AccountAverageProfit() and AccountAverageLoss() would be simpler =)

PHP Code
// AvgWin

 
double AvgWin()
{
double CountPips = 0;
int EA_Executed_Trades = 0;

for(int index=0;index<OrdersHistoryTotal();index++) // changed OrdersTotal to OrdersHistoryTotal
{
OrderSelect(index,SELECT_BY_POS,MODE_HISTORY);
if(OrderSymbol()==Symbol())
{

         if(OrderProfit()>=0)
         {
            CountPips++; 
         }
         EA_Executed_Trades++;
      } 
   }
   if(EA_Executed_Trades == 0) // There was no trade done by this EA, use the manual input value
   {
      return(mAvgWin);
   }
   if(CountPips > 0) 
   {
      return(MathRound(CountPips/EA_Executed_Trades)*100);
   }
   else 
   {
      Print("Real Time AvgWin not Available");
      return (CountPips); // this will return 0.
   }
}

// AvgLoss
 
double AvgLoss()
{
double CountPips = 0;
int EA_Executed_Trades = 0;

for(int index=0;index<OrdersHistoryTotal();index++) // changed OrdersTotal to OrdersHistoryTotal
{
OrderSelect(index,SELECT_BY_POS,MODE_HISTORY);
if(OrderSymbol()==Symbol())

{

         if(OrderProfit()<0)
         {
            CountPips++;
         }
        EA_Executed_Trades++;
      } 
   }
   if(EA_Executed_Trades == 0) // There was no trade done by this EA, use the manual input value
   {
      return(mAvgLoss);
   }
   if(CountPips > 0)
   {
      return(MathRound(CountPips/EA_Executed_Trades)*100); 
   }
   else 
   {
      Print("Real Time AvgLoss not Available");
      return (CountPips); // this will return 0.
   }
}
  • #19
  • Edited 10:03pm Feb 14, 2009 8:59pm | Edited 10:03pm
If this function is meant to return average winning/losing size in pips per a (winning/losing) trade,
it should be like below.(not tested, it may contain some bugs)

Regarding to zero divide, it can happen only in the case when EA_Executed_Trades == 0
(This is the only division in this function) and it won't happen.

It may be happening in other part of the code.

P.S.
And like Zen is always saying,
please indent and align brackets to make it easier to see, when you post a code. Thanks.


PHP Code
//+------------------------------------------------------------------+
//| AvgWin
//+------------------------------------------------------------------+
double AvgWin()
{
   double CountPips = 0;
   int EA_Executed_Trades = 0;

   for(int index=0;index<OrdersHistoryTotal();index++) // changed OrdersTotal to OrdersHistoryTotal
   {
      OrderSelect(index,SELECT_BY_POS,MODE_HISTORY);
      if(OrderSymbol()==Symbol() && OrderProfit() >= 0 && OrderType()<2) // OrderType()<2 means skip pending orders (case : OrderProfit() = 0)
      {
         CountPips += MathAbs((OrderOpenPrice()-OrderClosePrice())/Point); 
         EA_Executed_Trades++;
      } 
   }

   // There was no trade done by this EA, use the manual input value
   if(EA_Executed_Trades == 0) return(mAvgWin);

   // Returns average winning size in pips
   if(CountPips > 0) return(MathRound(CountPips/EA_Executed_Trades);
   else 
   {
      Print("Real Time AvgWin not Available");
      return (CountPips); // this will return 0.
   }
}
if you want to calculate profit in money(e.g. USD), simply use OrderProfit().
PHP Code
CountPips += OrderProfit();
  • #20
  • Feb 17, 2009 4:13pm Feb 17, 2009 4:13pm
lohikeitto,

The code seems right, however, the error of "zero divide" still showing after the message "Real Time AvgLoss not Available"

Indeed there is a division in the formula for the kelly criterion:

PHP Code
double Kelly = WinRate()-((1-WinRate())/(AvgWin()/AvgLoss()));
Any ideas?

regards
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