//+------------------------------------------------------------------+
//|                                                    Portfolio.mq5 |
//|                                            Copyright 2022, Allan |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#define SWAP(A, B) { A += B; B = A - B; A -= B; }
#define SORT(a,b,c) {if(a > b) SWAP(a,b) if(a > c) SWAP(a,c) if (b>c) SWAP(b,c) }
//+------------------------------------------------------------------+
//| Estruturas                                                       |
//+------------------------------------------------------------------+
enum CalcMode
 {
  VWAP,//Session Average Weighted
  Last,//Last deal quote
  AskBidWatch,//Watch(Ask+Bid)/2
  Median//Mediana
 };
struct stcDeal
 {
  long lPositionID;
  string strSymbol;
  ENUM_DEAL_TYPE enType;
  ulong dtTime;
  double dbVolume;
  double dbPrice;
  /*------------------------------
  long lTicket;
  long lOrder;
  long lTime_msc;
  ENUM_DEAL_ENTRY enEntry;
  long lMagic;
  ENUM_DEAL_REASON enReason;
  double dbComission;
  double dbSwap;
  double dbProfit;
  double dbFee;
  double dbSL;
  double dbTP;
  string strComment;
  ---------------------------------*/
 };
//+------------------------------------------------------------------+
//| Entradas                                                         |
//+------------------------------------------------------------------+
sinput CalcMode inpCalcMode=Median;//Modo de Cálculo:
sinput ulong inpRatesQuantidade=52;//Quantidade de dias: 
sinput double inpFinancialTicket=500.0;//Ficha financeira (brl):
sinput double inpBalanceCorrection=0.0;//Correção do Patrimônio (brl):
//+------------------------------------------------------------------+
//| Variaveis Globais                                                |
//+------------------------------------------------------------------+
double gdbBalance=inpBalanceCorrection;
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
 {
  EventSetTimer(1);
  return(INIT_SUCCEEDED);
 }
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
 {
  EventKillTimer();
 }
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
 {
 }
//+------------------------------------------------------------------+
//| Timer function                                                   |
//+------------------------------------------------------------------+
void OnTimer()
 {
  //gdbBalance=AccountInfoDouble(ACCOUNT_BALANCE)+inpBalanceCorrection;
  //double dbCorrectionBalance=AccountInfoDouble(ACCOUNT_BALANCE)-inpBalanceCorrection;
  //gdbBalance=AccountInfoDouble(ACCOUNT_BALANCE)+dbCorrectionBalance;
  stcDeal arrLostDeals[];
  /*
  ArrayResize(arrLostDeals,11);
  arrLostDeals[0].strSymbol="GOAU4F"; 
  arrLostDeals[0].dtTime=D'2022.03.02 13:09:11';
  arrLostDeals[0].enType=DEAL_TYPE_SELL;
  arrLostDeals[0].dbVolume=9.0;
  arrLostDeals[0].dbPrice=10.77;
  arrLostDeals[1].strSymbol="GOAU4F";
  arrLostDeals[1].dtTime=D'2022.03.03 00:00:00';
  arrLostDeals[1].enType=DEAL_TYPE_SELL;
  arrLostDeals[1].dbVolume=9.0;
  arrLostDeals[1].dbPrice=11.29;
  arrLostDeals[2].strSymbol="B3SA3F";
  arrLostDeals[2].dtTime=D'2022.03.03 00:00:00';
  arrLostDeals[2].enType=DEAL_TYPE_SELL;
  arrLostDeals[2].dbVolume=9.0;
  arrLostDeals[2].dbPrice=15.19;
  arrLostDeals[3].strSymbol="B3SA3F";
  arrLostDeals[3].dtTime=D'2022.03.03 00:00:01';
  arrLostDeals[3].enType=DEAL_TYPE_BUY;
  arrLostDeals[3].dbVolume=9.0;
  arrLostDeals[3].dbPrice=14.73;
  arrLostDeals[4].strSymbol="IRBR3F";
  arrLostDeals[4].dtTime=D'2022.03.03 00:00:00';
  arrLostDeals[4].enType=DEAL_TYPE_SELL;
  arrLostDeals[4].dbVolume=30.0;
  arrLostDeals[4].dbPrice=3.22;
  arrLostDeals[5].strSymbol="ENJU3F";
  arrLostDeals[5].dtTime=D'2022.03.03 14:54:40';
  arrLostDeals[5].enType=DEAL_TYPE_BUY;
  arrLostDeals[5].dbVolume=35.0;
  arrLostDeals[5].dbPrice=2.9;
  arrLostDeals[6].strSymbol="HASH11";
  arrLostDeals[6].dtTime=D'2022.03.02 13:25:33';
  arrLostDeals[6].enType=DEAL_TYPE_SELL;
  arrLostDeals[6].dbVolume=3.0;
  arrLostDeals[6].dbPrice=40.0;
  arrLostDeals[7].strSymbol="HASH11";
  arrLostDeals[7].dtTime=D'2022.03.02 13:25:33';
  arrLostDeals[7].enType=DEAL_TYPE_SELL;
  arrLostDeals[7].dbVolume=3.0;
  arrLostDeals[7].dbPrice=40.0;
  arrLostDeals[8].strSymbol="HASH11";
  arrLostDeals[8].dtTime=D'2022.03.03 16:26:05';
  arrLostDeals[8].enType=DEAL_TYPE_BUY;
  arrLostDeals[8].dbVolume=3.0;
  arrLostDeals[8].dbPrice=37.25;
  arrLostDeals[9].strSymbol="CMIN3F";
  arrLostDeals[9].dtTime=D'2022.03.02 13:01:13';
  arrLostDeals[9].enType=DEAL_TYPE_SELL;
  arrLostDeals[9].dbVolume=15.0;
  arrLostDeals[9].dbPrice=6.38;
  arrLostDeals[10].strSymbol="CMIN3F";
  arrLostDeals[10].dtTime=D'2022.03.03 13:01:13';
  arrLostDeals[10].enType=DEAL_TYPE_SELL;
  arrLostDeals[10].dbVolume=15.0;
  arrLostDeals[10].dbPrice=6.69;
  */
  string strComment="";
  double dbExposure=0.0;
  ulong ulPositionTicket=0;
  for(int i=0;i<PositionsTotal();i++)
   {
    ulPositionTicket=PositionGetTicket(i);
    dbExposure+=PositionGetDouble(POSITION_PRICE_OPEN)*PositionGetDouble(POSITION_VOLUME);
   }
  MqlRates arrMqlRatesPositions[];
  double dbPortfolioReturn=0.0;
  double dbPortfolioRisk=0.0;
  ulPositionTicket=0;
  for(int i=0;i<PositionsTotal();i++)
   {
    ulPositionTicket=PositionGetTicket(i);
    CopyRates(PositionGetSymbol(i),PERIOD_D1,0,(int)inpRatesQuantidade,arrMqlRatesPositions);
    double dbRetornoMedia=0.0;
    for(int j=0;j<ArraySize(arrMqlRatesPositions);j++) if(j>0) dbRetornoMedia+=(arrMqlRatesPositions[j].close-arrMqlRatesPositions[j-1].close)/(2/(1/(arrMqlRatesPositions[j].close)+(1/arrMqlRatesPositions[j-1].close)));
    dbRetornoMedia=dbRetornoMedia/(ArraySize(arrMqlRatesPositions)-1);
    dbPortfolioReturn+=dbRetornoMedia*PositionGetDouble(POSITION_VOLUME)*PositionGetDouble(POSITION_PRICE_OPEN)/gdbBalance;
    double dbRetornoVariancia=0.0;
    for(int j=0;j<ArraySize(arrMqlRatesPositions);j++) if(j>0) dbRetornoVariancia+=MathPow(((arrMqlRatesPositions[j].close-arrMqlRatesPositions[j-1].close)/(2/(1/arrMqlRatesPositions[j].close+1/arrMqlRatesPositions[j-1].close)-dbRetornoMedia)),2);
    dbRetornoVariancia=dbRetornoVariancia/(ArraySize(arrMqlRatesPositions)-1);
    dbPortfolioRisk+=(dbRetornoVariancia)*MathPow(PositionGetDouble(POSITION_VOLUME)*PositionGetDouble(POSITION_PRICE_OPEN)/gdbBalance,2);
   }
  MqlRates arrMqlRatesSymbol[];
  CopyRates(_Symbol,PERIOD_D1,0,(int)inpRatesQuantidade,arrMqlRatesSymbol);
  double dbSymbol_r=0.0;
  for(int i=0;i<ArraySize(arrMqlRatesSymbol);i++)if(i>0)dbSymbol_r+=(arrMqlRatesSymbol[i].close-arrMqlRatesSymbol[i-1].close)/(2/(1/(arrMqlRatesSymbol[i].close)+(1/arrMqlRatesSymbol[i-1].close)));
  dbSymbol_r=dbSymbol_r/(ArraySize(arrMqlRatesSymbol)-1);
  double dbSymbol_s=0.0;
  for(int i=0;i<ArraySize(arrMqlRatesSymbol);i++)if(i>0)dbSymbol_s+=MathPow(((arrMqlRatesSymbol[i].close-arrMqlRatesSymbol[i-1].close)/(2/(1/arrMqlRatesSymbol[i].close+1/arrMqlRatesSymbol[i-1].close)-dbSymbol_r)),2);
  dbSymbol_s=dbSymbol_s/(ArraySize(arrMqlRatesSymbol)-1);
  strComment+="\n";
  strComment+=StringFormat("Balance: %.2f, r=%.2f%%, s=%.2f%%, ld=%.2f%%\n%7s: r=%.2f%%, s=%.2f%%, cv=%.5f, vol=%.0f, w=%.2f%%\n", 
   gdbBalance,
   100*dbPortfolioReturn,
   100*MathSqrt(dbPortfolioRisk),
   100*dbExposure/gdbBalance,
   _Symbol,
   100*dbSymbol_r,
   100*MathSqrt(dbSymbol_s),
   MathSqrt(dbSymbol_s)/dbSymbol_r,
   MathRound(inpFinancialTicket/SymbolPrice(_Symbol,inpCalcMode)),
   100*(MathRound(inpFinancialTicket/SymbolPrice(_Symbol,inpCalcMode))*SymbolPrice(_Symbol,inpCalcMode))/gdbBalance
  );
  strComment+="\n";
  stcDeal lastDeal;
  ulong ulHistoryDealTicket=0;
  HistorySelect(0,TimeCurrent());
  for(int i=0;i<SymbolsTotal(true);i++)
   {
    if(SymbolInfoDouble(SymbolName(i,true),SYMBOL_OPTION_STRIKE)==0.0)
     {
    ZeroMemory(lastDeal);
    for(int h=0;h<HistoryDealsTotal();h++)
     {
      ulHistoryDealTicket=HistoryDealGetTicket(h);
      if(HistoryDealGetString(ulHistoryDealTicket,DEAL_SYMBOL)==SymbolName(i,true))
      if(HistoryDealGetInteger(ulHistoryDealTicket,DEAL_TIME)>(long)lastDeal.dtTime)
       {
        lastDeal.strSymbol=HistoryDealGetString(ulHistoryDealTicket,DEAL_SYMBOL);
        lastDeal.enType=(ENUM_DEAL_TYPE)HistoryDealGetInteger(ulHistoryDealTicket,DEAL_TYPE);
        lastDeal.dtTime=HistoryDealGetInteger(ulHistoryDealTicket,DEAL_TIME);
        lastDeal.dbPrice=HistoryDealGetDouble(ulHistoryDealTicket,DEAL_PRICE);
        lastDeal.dbVolume=HistoryDealGetDouble(ulHistoryDealTicket,DEAL_VOLUME);
        lastDeal.lPositionID=HistoryDealGetInteger(ulHistoryDealTicket,DEAL_POSITION_ID);
       }
     }
    if(lastDeal.dbPrice>0.0)
     {
      stcDeal dealSimulation; ZeroMemory(dealSimulation);
      dealSimulation.strSymbol=lastDeal.strSymbol;
      dealSimulation.dbPrice=SymbolPrice(dealSimulation.strSymbol,inpCalcMode);
      dealSimulation.dbVolume=MathRound(inpFinancialTicket/SymbolPrice(lastDeal.strSymbol,inpCalcMode));
      if(lastDeal.enType==DEAL_TYPE_BUY)if(SymbolPrice(dealSimulation.strSymbol,inpCalcMode)>lastDeal.dbPrice){dealSimulation.enType=(ENUM_DEAL_TYPE)DEAL_TYPE_SELL;ObjectCreate(0,"Stocks_SimulationSell",OBJ_HLINE,0,0,lastDeal.dbPrice/(1-(lastDeal.dbPrice*dealSimulation.dbVolume)/gdbBalance));ObjectSetInteger(0,"Stocks_SimulationSell",OBJPROP_STYLE,STYLE_DASHDOT);ObjectSetInteger(0,"Stocks_SimulationSell",OBJPROP_COLOR,clrFireBrick);}
      if(lastDeal.enType==DEAL_TYPE_BUY)if(SymbolPrice(dealSimulation.strSymbol,inpCalcMode)<=lastDeal.dbPrice){dealSimulation.enType=(ENUM_DEAL_TYPE)DEAL_TYPE_BUY;}
      if(lastDeal.enType==DEAL_TYPE_SELL)if(SymbolPrice(dealSimulation.strSymbol,inpCalcMode)>lastDeal.dbPrice){dealSimulation.enType=(ENUM_DEAL_TYPE)DEAL_TYPE_SELL;ObjectCreate(0,"Stocks_SimulationSell",OBJ_HLINE,0,0,lastDeal.dbPrice/(1-(lastDeal.dbPrice*dealSimulation.dbVolume)/gdbBalance));ObjectSetInteger(0,"Stocks_SimulationSell",OBJPROP_STYLE,STYLE_DASHDOT);ObjectSetInteger(0,"Stocks_SimulationSell",OBJPROP_COLOR,clrFireBrick);}
      if(lastDeal.enType==DEAL_TYPE_SELL)if(SymbolPrice(dealSimulation.strSymbol,inpCalcMode)<=lastDeal.dbPrice){dealSimulation.enType=(ENUM_DEAL_TYPE)DEAL_TYPE_BUY;ObjectCreate(0,"Stocks_SimulationBuy",OBJ_HLINE,0,0,lastDeal.dbPrice*(1-(lastDeal.dbPrice*dealSimulation.dbVolume)/gdbBalance));ObjectSetInteger(0,"Stocks_SimulationBuy",OBJPROP_STYLE,STYLE_DASHDOT);ObjectSetInteger(0,"Stocks_SimulationBuy",OBJPROP_COLOR,clrMidnightBlue);}
      if(((dealSimulation.enType==DEAL_TYPE_BUY?(lastDeal.dbPrice-dealSimulation.dbPrice)/(2/(1/dealSimulation.dbPrice+1/lastDeal.dbPrice)):(dealSimulation.dbPrice-lastDeal.dbPrice)/(2/(1/dealSimulation.dbPrice+1/lastDeal.dbPrice))) )>((MathRound(inpFinancialTicket/SymbolPrice(lastDeal.strSymbol,inpCalcMode))*SymbolPrice(lastDeal.strSymbol,inpCalcMode))/gdbBalance) )
       {
        if(dealSimulation.enType==DEAL_TYPE_SELL)
         {
          double dbExposureVolume=0.0;
          ulPositionTicket=0;
          for(int p=0;p<PositionsTotal();p++)
           {
            ulPositionTicket=PositionGetTicket(p);
            if(PositionGetSymbol(p)==lastDeal.strSymbol)
             {
              if(PositionGetInteger(POSITION_TYPE)==POSITION_TYPE_BUY)dbExposureVolume+=PositionGetDouble(POSITION_VOLUME);
              if(PositionGetInteger(POSITION_TYPE)==POSITION_TYPE_SELL)dbExposureVolume-=PositionGetDouble(POSITION_VOLUME);
             }
           }
          if(dbExposureVolume>0)
          strComment+=StringFormat("%s %s  %5.2f%%\n",
           StringSubstr(EnumToString((ENUM_DEAL_TYPE)dealSimulation.enType),10,5),
           dealSimulation.strSymbol,
           100*((dealSimulation.enType==DEAL_TYPE_BUY?(lastDeal.dbPrice-dealSimulation.dbPrice)/(2/(1/dealSimulation.dbPrice+1/lastDeal.dbPrice)):(dealSimulation.dbPrice-lastDeal.dbPrice)/(2/(1/dealSimulation.dbPrice+1/lastDeal.dbPrice))))
          );
         }
        else
         {
          strComment+=StringFormat("%s %s  %5.2f%%\n",
           StringSubstr(EnumToString((ENUM_DEAL_TYPE)dealSimulation.enType),10,5),
           dealSimulation.strSymbol,
           100*((dealSimulation.enType==DEAL_TYPE_BUY?(lastDeal.dbPrice-dealSimulation.dbPrice)/(2/(1/dealSimulation.dbPrice+1/lastDeal.dbPrice)):(dealSimulation.dbPrice-lastDeal.dbPrice)/(2/(1/dealSimulation.dbPrice+1/lastDeal.dbPrice))))
          );
         }
       }
     }
     }
   }
  Comment(strComment);
 }
//+------------------------------------------------------------------+
//| Ativo subjacente da opção                                        |
//+------------------------------------------------------------------+
double SymbolPrice(const string SYMBOL, const CalcMode CALCMODE)
 {
  double result = 0.0;
  switch(CALCMODE)
   {
    case Last:
     return(SymbolInfoDouble(SYMBOL,SYMBOL_LAST));
     break;
    case VWAP:
     return(SymbolInfoDouble(SYMBOL,SYMBOL_SESSION_AW));
     break;
    case Median:
     return(TrueMedian(SymbolInfoDouble(SYMBOL,SYMBOL_BID),SymbolInfoDouble(SYMBOL,SYMBOL_ASK),SymbolInfoDouble(SYMBOL,SYMBOL_LAST)));
     break;
    case AskBidWatch:
     return(SymbolInfoDouble(SYMBOL,SYMBOL_ASK)+SymbolInfoDouble(SYMBOL,SYMBOL_BID))/2;
     break;
    }
  return(result);
 }
double TrueMedian(double first, double second,double third)
 {
  SORT(first,second,third);
  return((third<=0.0)?0.0:((second<=0.0)?third:((first<=0.0)?((third+second)/2.0):second)));
 }  
//+------------------------------------------------------------------+