MM Fixed Ratio Position Sizing created by Ryan Jones
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Hello!
As I am very happy with the program FxDreema for construction of EAs, as all EAs that tried to create, I managed to contrui them. And would like to share the best way to capital risk management in my opinion, that is the Fixed Ratio, created by Ryan Jones.
With this it is possible to decrease the risk management as the patrimony of our capital, rather than increasing as is in the case of common risk management.For more information regarding this risk management can refer to this link: http://www.adaptrade.com/Articles/article-frps.htm
If you've heard about this way of capital management, please could you tell me how I do in the FxDreema?
Since already thank you!
Even more!
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How can this be translated for forex trading and MetaTrader? And what is the difference between this method and trading with % of balance? Maybe this method tell us the frequency of trading (with fixed amount of money), but isn't the frequency of trading dependent on the trading signals of the strategy?
I feel that this method tells me "Today you can open not more than X equal trades", so if I opened X trades today, I have to wait for tomorrow to start trading again. Why should the EA skip potential trades? -
Yes you can do in MT4 and MT5. The formula is: N = 0.5 * [(1 + 8 * P/delta) ^ 0.5 + 1]
where N is the number of lots, P is the total closed trade profit, and delta is the parameter discussed above. The carat symbol (^) represents exponentiation; that is, the quantity in parentheses is raised to the power of 0.5 (square root).
A few points are worth noting. The profit, P, is the accumulated profit over all trades leading up to the one for which you want to calculate the number of lots. Consequently, the number of lots for the first trade is always one because you always start with zero profits (P = 0). Also, as you accrue more profits, the number of lots increases more slowly. The $ 10,000 profit made early in the sequence of trades will increase the number of lotts more than a $ 10,000 profit made after many other profitable trades.
Ryan Jones, who is the creator of Fixed Ratio system, says that the difference is in the general problem with the fixed fractional method is that the risk premium associated with the batch size is very low when the Bill is small and very loud when the account is great. Already the Fixed Ratio method allows the account to grow aggressively in the beginning, assuming more risk, and gradually reduces the risk that the account size grows. The main principle behind fixed aspect ratio is the ratio between the number of lots sold and the amount of earnings required to increase the number of lots traded remains fixed.
According to the Fixed Ratio money management method proposed by Ryan Jones, before you can add a lot to an existing number of lots, each of the existing lots shall "win" a certain number of points (which Jones called the "delta"). For example, we have a deposit of 300 dollars and trade with 1 mini lot; the delta of, say, the same 300 dollars would mean that we will increase to 2 mini lots only when we gain (with the 1 mini lot we have) 300 dollars.
Similarly, the lots will be increased to 3 only after 2 mini lots will gain the delta of 300 dollars (each). That is, the increase from 2 to 3 mini lots will be possible when we add to the existing 600 dollars another 2 С ... $ 300 = $ 600, i.e. when having $ 1200; from 3 to 4 mini lots with the deposit of $ 1200 + ($ 300 С ... 3) = $ 1200 + $ 900 = $ 2100, etc. Thus, "the number of contracts is proportional to the amount required to buy new number of contracts", from where the method derives its name. The decrease in the number of lots follows the same scheme in reverse.
Source: http://www.mql5.com/en/articles/392In short: This Fixed Ratio relationship can be expressed as: The New Account Level to Increase Trade by One Lot Size = Starting Account Value + (Delta x Number of Current Lots)
More information and comparative tables you can also be found in the book also Automatic Alpha, David J. Lyder.
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To be honest, I'm a little bit skeptic... it looks to me like just another fancy stuff around that can be described as "doing same thing in another way because it's cool to be different"
You want to try this formula because you really get it or because you saw the chart on the bottom of the page? -
I have the comparison table in the book with the two forms of risk management that are fixed and the Fixed Ratio, that is of Ryan Jones, and the advantage is great for Fixed Ratio. But by copyright I can't share here, I think. It is not only different, but have a conservative Heritage Management to keep you in the long run.
But I need to work this formula of risk management. If you do not bother to add this functionality in the block to Buy Now or Sell Now, or another way that you see fit, because it will be of great service, both for us and for everyone who knows this great way of MM.
Believe me, because it is an excellent MM.
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Well, I'm still trying to understand it (I'm not really good with calculations and my mind tends to work slow), and I'm still asking myself - why is that formula better than just opening lot size as % of Balance or Equity
For example, If I have 10.000 now and I decide to open 100% of it, I will open 0.1 lots. When I reach 11.000 I will open 0.11 lots... and so on.$10.000 -> 0.1 lots
$11.000 -> 0.11 lots
$12.000 -> 0.12 lots
$13.000 -> 0.13 lots...
...
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$25.000 -> 0.25 lots
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$100.000 -> 1 lotCan you please write to me similar table for Ryan's formula?
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I might be wrong, but... is it something like this:
initial capital = $10.000
delta = $500$10.000 -> 0.1 lot
$10.500 -> 0.2 lot
$11.000 -> 0.3 lot
$11.500 -> 0.4 lot
$12.000 -> 0.5 lot
...
...
$20.000 -> 40 lots??? -
__I might be wrong, but... is it something like this:
initial capital = $10.000
delta = $500$10.000 -> 0.1 lot
$10.500 -> 0.2 lot
$11.000 -> 0.3 lot
$11.500 -> 0.4 lot
$12.000 -> 0.5 lot
...
...
$20.000 -> 40 lots???[/quote:2e53of45]Almost there! Almost it! We are coming to an understanding. I will be sending to you by private message ok table and some more information. Not only do I myself in excel because I'm also not an expert in excel.
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Do you have an idea what should happen if the EA shuts down by accident?
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Do Not. Never heard of problems with shutdown and should be equal to other forms of management, I believe that work correctly, unless problem due to programming. But I believe that the problem is not.
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No, no... I mean... you start the EA, it trades and everything is ok, when suddenly the PC crashes or something like that. When you start the EA again, initial balance is different, delta calculations are lost, and you have to start clear. Is that ok?
Yes, this is valid for other MMs as well, but they are somehow easily restartable. Martingale for example, it doubles the lot of the last bad trade, and whenever you start the EA, you know everything for the last trade. This one (Ryan James method) looks to me that when started, there is no way back. But the easiest thing for me is to make it in a way that after MT4 restart, everything starts again
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__No, no... I mean... you start the EA, it trades and everything is ok, when suddenly the PC crashes or something like that. When you start the EA again, initial balance is different, delta calculations are lost, and you have to start clear. Is that ok?
Yes, this is valid for other MMs as well, but they are somehow easily restartable. Martingale for example, it doubles the lot of the last bad trade, and whenever you start the EA, you know everything for the last trade. This one (Ryan James method) looks to me that when started, there is no way back. But the easiest thing for me is to make it in a way that after MT4 restart, everything starts again :)[/quote:3j9xx4su]
Well FxDreema, make the way they see fit at the time. Anyway, being working ok, and climbing lots by Delta, this all ok. If possible place the 2 ways to each choose what you see fit, if I'm understanding what you mean.
I also want to maintain the operation of Fixed Ratio. Here we go:
For example:
Delta 200 usd.
in an account of 1000 USD we started with 1 batch operations.
Trade 1-we obtained a profit of 200 usd, with 1200 usd balance.Trade 2-Operate with 2 lots and we will have to make 400 usd to batch up, because 2 x 200 = 400. We were able to make 400 usd, getting 1600 usd balance.
Trade 3-Operand with 3 lots and we will have to make 600 usd of profit now. But in this case we lost 300 usd, with 1300 usd balance. This time we will remain with 3 lots.
Trade 4-this time we lost over 300 usd, getting with balance of 1000 usd. In this case I think you should go back to 1 lot for operations again.
That's how I understand it. You can do this way or the way you see fit. I will be studying this week Ryan Jones's book about this.
The interesting thing also is that it teaches you how to manage a whole portfolio, rather than just an asset or a currency pair.
Here is a comparative link MMs: http://www.fxstreet.com/education/learn ... nt-models/ -
Ready to test => http://fxdreema.com/shared/dOqT3hwEd
Take a look at the logs. This method seems to be a little bit complex, so I added special Print messages for it.
And here is how it look in the code: http://fxdreema.com/documentation/colle ... ynamiclots
This is the function that returns lot size depending on the MM method and input parameters. "value" is unit size (lot size), "sl" is delta (I will rename "sl" later...) -
First I want to tell you that I am very glad you added this feature to one of the best market risk management. I confess that in the other program that used, unfortunately already has a nearly 3 months who was hoping to add this functionality, but you added in less than 1 week. For me this is a great news!!!
With the other program, that had many bugs to be fixed, would not have been able to make the EAs I made here, and with few steps. The essential learned fast watching the examples.Now just need to test, but I believe that is already running. Well, I am a layman in programming, but from what I've seen the documentation was great!
This is it! Go to the tests!
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Hello. This me showing up different options in the Fixed Ratio of Ryan Jones. See on the image. This correct where I selected?
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The magic number must be different from the same EA but for each currency pair?
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This happening a few small problems. I configured for lots to start, but the 1.0 and this opening with 3 lots. What's going on?
He also is closing with fewer pips, is it because I left with 0 pips SL? Because I don't want to use the SL, and Yes TS and hedge.......
Problem MM Fixed Ratio.jpg -
It starts with 1 lot here.
Sorry, but I really don't like to try projects with tons of input parameters, I don't know what happens on other's PCs.I can see you are using TS and BE, both, for whatever reason. These blocks are working with SL, so I don't think your trades will be with SL=0 all the time.
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What I want to say it's the most important thing is lots start with 1, not 3. This is what I need, place 1 batch.
Here the input parameters does not matter, because I use almost all.
Please verify that you have something wrong. This is my current setup: http://fxdreema.com/shared/HU6VaamHd
If you have something wrong please tell me what it is.
I look forward to returning.
