Kelly EA

 //+------------------------------------------------------------------+
//| CALCULATE LOT SIZE FOR ALL NEW TRADES                            |
//+------------------------------------------------------------------+


double Kelly = WinRate()-((1-WinRate())/(AvgWin()/AvgLoss()));

Lots=MathFloor((AccountFreeMargin()*AccountLeverage()*Kelly*Point*10)/(Ask*MarketInfo(Symbol(),MODE_LOTSIZE)*MarketInfo(Symbol(),MODE_MINLOT)))*MarketInfo(Symbol(),MODE_MINLOT);
 

   //+------------------------------------------------------------------+
   //| COLLECT REAL TIME ACCOUNT INFO                                      |
   //+------------------------------------------------------------------+

// Winrate

double WinRate()
{
   double CountWins = 0;
   int EA_Executed_Trades = 0;
   for(int index=0;index<OrdersHistoryTotal();index++) 
   {
      OrderSelect(index,SELECT_BY_POS,MODE_HISTORY);
      if(OrderSymbol()==Symbol())

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

// 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() && OrderType()<2) // OrderType()<2 means skip pending orders (case : OrderProfit() = 0)
{

         if(OrderProfit()>=0)
         {
            CountPips += OrderProfit();   
         }
         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));
   }
   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() && OrderType()<2) // OrderType()<2 means skip pending orders (case : OrderProfit() = 0)

{

         if(OrderProfit()<0)
         {
            CountPips += OrderProfit();
         }
        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)); 
   }
   else 
   {
      Print("Real Time AvgLoss not Available");
      return (CountPips); // this will return 0.
   }
} 

 if(OrderProfit()>=0)
   {
      CountPips += OrderProfit();   
   }
   EA_Executed_Trades++; 

 if(OrderProfit()>=0)
   {
      CountPips += OrderProfit();
      EA_Executed_Trades++;   
   } 

Kelly % = (AvgWin/AvgLoss)*WinRate - (1-WinRate) / (AvgWin/AvgLoss) 

Kelly %= WinRate - ((1- WinRate) / (AvgWin/AvgLoss)); 

Quote

Disliked

f = ((R+1)*P - 1) / R

*R = Profit / Loss Ratio = Average Win / Average Loss
*P = Winning Average