| //+------------------------------------------------------------------+
|
| //| RiskManager.mqh |
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| //| Copyright 2025, Your Company Name |
|
| //| https://www.yoursite.com |
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| //+------------------------------------------------------------------+
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| #property copyright "Copyright 2025, Your Company Name"
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| #property link "https://www.yoursite.com"
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| #property version "1.00"
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| #property strict
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|
|
| #include "RiskParameters.mqh"
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| #include "RiskMetrics.mqh"
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| #include "PositionSizer.mqh"
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| #include "DrawdownManager.mqh"
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| #include "CorrelationMatrix.mqh"
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|
|
| //+------------------------------------------------------------------+
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| //| Risk Manager Class |
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| //+------------------------------------------------------------------+
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| class CRiskManager
|
| {
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| private:
|
| // Components
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| CRiskParameters* m_params; // Risk parameters
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| CRiskMetrics* m_metrics; // Risk metrics calculator
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| CPositionSizer* m_sizer; // Position sizer
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| CDrawdownManager* m_drawdownMgr; // Drawdown manager
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| CCorrelationMatrix*m_corrMatrix; // Correlation matrix
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|
|
| // State
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| bool m_isInitialized; // Initialization flag
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| double m_accountEquity; // Current account equity
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| double m_maxRiskPerTrade; // Max risk per trade (% of equity)
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| double m_maxDailyLoss; // Max daily loss (% of equity)
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|
|
| // Private methods
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| bool CalculatePositionSize(const string symbol, const double stopLossPips, double &size);
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| bool CheckCorrelation(const string symbol1, const string symbol2, double &correlation);
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|
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| public:
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| // Constructor/Destructor
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| CRiskManager();
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| ~CRiskManager();
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|
|
| // Initialization
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| bool Initialize(const string symbol = NULL, const ENUM_TIMEFRAMES timeframe = PERIOD_CURRENT);
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| void Deinitialize();
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|
|
| // Risk Assessment
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| bool IsTradeAllowed(const string symbol, const ENUM_ORDER_TYPE type,
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| const double price, const double stopLoss, const double takeProfit);
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| double GetMaxPositionSize(const string symbol, const double stopLossPips);
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|
|
| // State Management
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| void UpdateAccountInfo();
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| void UpdateMarketConditions();
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|
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| // Getters
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| bool IsInitialized() const { return m_isInitialized; }
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| double GetAccountEquity() const { return m_accountEquity; }
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| double GetMaxRiskPerTrade() const { return m_maxRiskPerTrade; }
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|
|
| // Configuration
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| bool SetRiskParameters(const double riskPerTrade, const double dailyLossLimit);
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| };
|
|
|
| //+------------------------------------------------------------------+
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| //| Constructor |
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| //+------------------------------------------------------------------+
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| CRiskManager::CRiskManager() :
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| m_params(NULL),
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| m_metrics(NULL),
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| m_sizer(NULL),
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| m_drawdownMgr(NULL),
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| m_corrMatrix(NULL),
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| m_isInitialized(false),
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| m_accountEquity(0.0),
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| m_maxRiskPerTrade(1.0), // Default 1% risk per trade
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| m_maxDailyLoss(5.0) // Default 5% max daily loss
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| {
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| }
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|
|
| //+------------------------------------------------------------------+
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| //| Destructor |
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| //+------------------------------------------------------------------+
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| CRiskManager::~CRiskManager()
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| {
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| Deinitialize();
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| }
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|
|
| //+------------------------------------------------------------------+
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| //| Initialize risk manager |
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| //+------------------------------------------------------------------+
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| bool CRiskManager::Initialize(const string symbol = NULL, const ENUM_TIMEFRAMES timeframe = PERIOD_CURRENT)
|
| {
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| if (m_isInitialized)
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| return true;
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|
|
| // Initialize components
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| m_params = new CRiskParameters();
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| m_metrics = new CRiskMetrics();
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| m_sizer = new CPositionSizer();
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| m_drawdownMgr = new CDrawdownManager();
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| m_corrMatrix = new CCorrelationMatrix();
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|
|
| // Initialize components
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| if (!m_params.Initialize() ||
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| !m_metrics.Initialize(symbol, timeframe) ||
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| !m_sizer.Initialize() ||
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| !m_drawdownMgr.Initialize() ||
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| !m_corrMatrix.Initialize())
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| {
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| Print("Failed to initialize risk manager components");
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| return false;
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| }
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|
|
| // Update account info
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| UpdateAccountInfo();
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|
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| m_isInitialized = true;
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| Print("Risk Manager initialized successfully");
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| return true;
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| }
|
|
|
| //+------------------------------------------------------------------+
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| //| Deinitialize risk manager |
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| //+------------------------------------------------------------------+
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| void CRiskManager::Deinitialize()
|
| {
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| // Clean up components
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| if (m_params != NULL)
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| {
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| delete m_params;
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| m_params = NULL;
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| }
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|
|
| if (m_metrics != NULL)
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| {
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| m_metrics.Deinitialize();
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| delete m_metrics;
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| m_metrics = NULL;
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| }
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|
|
| if (m_sizer != NULL)
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| {
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| m_sizer.Deinitialize();
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| delete m_sizer;
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| m_sizer = NULL;
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| }
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|
|
| if (m_drawdownMgr != NULL)
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| {
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| m_drawdownMgr.Deinitialize();
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| delete m_drawdownMgr;
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| m_drawdownMgr = NULL;
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| }
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|
|
| if (m_corrMatrix != NULL)
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| {
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| m_corrMatrix.Deinitialize();
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| delete m_corrMatrix;
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| m_corrMatrix = NULL;
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| }
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|
|
| m_isInitialized = false;
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| }
|
|
|
| //+------------------------------------------------------------------+
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| //| Check if trade is allowed based on risk parameters |
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| //+------------------------------------------------------------------+
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| bool CRiskManager::IsTradeAllowed(const string symbol, const ENUM_ORDER_TYPE type,
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| const double price, const double stopLoss, const double takeProfit)
|
| {
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| if (!m_isInitialized)
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| return false;
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|
|
| // Check daily loss limit
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| if (m_drawdownMgr.GetDailyDrawdownPercent() >= m_maxDailyLoss)
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| {
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| Print("Trade rejected: Daily loss limit reached");
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| return false;
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| }
|
|
|
| // Check maximum position size
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| double maxSize = GetMaxPositionSize(symbol, stopLoss);
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| if (maxSize <= 0.0)
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| {
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| Print("Trade rejected: Invalid position size");
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| return false;
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| }
|
|
|
| // Check correlation with existing positions
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| if (!m_corrMatrix.ValidateNewPosition(symbol, type, price, stopLoss, maxSize))
|
| {
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| Print("Trade rejected: Correlation check failed");
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| return false;
|
| }
|
|
|
| // Additional risk checks can be added here
|
|
|
| return true;
|
| }
|
|
|
| //+------------------------------------------------------------------+
|
| //| Calculate maximum position size based on risk parameters |
|
| //+------------------------------------------------------------------+
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| double CRiskManager::GetMaxPositionSize(const string symbol, const double stopLossPips)
|
| {
|
| if (!m_isInitialized || stopLossPips <= 0.0)
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| return 0.0;
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|
|
| double size = 0.0;
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| if (!m_sizer.CalculateSize(symbol, stopLossPips, m_maxRiskPerTrade, m_accountEquity, size))
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| return 0.0;
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|
|
| return size;
|
| }
|
|
|
| //+------------------------------------------------------------------+
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| //| Update account information |
|
| //+------------------------------------------------------------------+
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| void CRiskManager::UpdateAccountInfo()
|
| {
|
| m_accountEquity = AccountInfoDouble(ACCOUNT_EQUITY);
|
|
|
| // Update drawdown manager
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| if (m_drawdownMgr != NULL)
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| m_drawdownMgr.UpdateEquity(m_accountEquity);
|
| }
|
|
|
| //+------------------------------------------------------------------+
|
| //| Update market conditions |
|
| //+------------------------------------------------------------------+
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| void CRiskManager::UpdateMarketConditions()
|
| {
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| if (!m_isInitialized)
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| return;
|
|
|
| // Update volatility metrics
|
| m_metrics.UpdateVolatility();
|
|
|
| // Update correlation matrix
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| m_corrMatrix.Update();
|
|
|
| // Update position sizer with latest market conditions
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| double volatility = m_metrics.GetCurrentVolatility();
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| m_sizer.UpdateVolatility(volatility);
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| }
|
|
|
| //+------------------------------------------------------------------+
|
| //| Set risk parameters |
|
| //+------------------------------------------------------------------+
|
| bool CRiskManager::SetRiskParameters(const double riskPerTrade, const double dailyLossLimit)
|
| {
|
| if (riskPerTrade <= 0.0 || riskPerTrade > 10.0) // Max 10% risk per trade
|
| return false;
|
|
|
| if (dailyLossLimit <= 0.0 || dailyLossLimit > 50.0) // Max 50% daily loss
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| return false;
|
|
|
| m_maxRiskPerTrade = riskPerTrade;
|
| m_maxDailyLoss = dailyLossLimit;
|
|
|
| return true;
|
| }
|
