| //+------------------------------------------------------------------+
|
| //| BetSizer.mqh |
|
| //| AnimateDread |
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| //| |
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| //| FROM A PROBABILITY TO A SIZE (AFML ch. 10). |
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| //| |
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| //| With p = P(this bet wins), the statistic z = (p - 1/2) / |
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| //| sqrt(p (1 - p)) is the test of "is this better than a coin", and |
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| //| m = 2 Phi(z) - 1 is the bet size it earns: 0 at p = 0.5, rising |
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| //| smoothly to 1. Size follows conviction continuously instead of on |
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| //| a cliff, and a coin-flip gets no capital at all. |
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| //| |
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| //| HOW THIS BOOK USES IT. The base risk (RISK_0_25) is what the |
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| //| validated book earns at its AVERAGE win rate p0. A setup the |
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| //| journal rates below average gets m(p) / m(p0) of that risk - so |
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| //| the sizer can only take risk OFF, never add it. That is deliberate |
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| //| on a prop account: the 5% limit is a ceiling, and a model that is |
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| //| wrong about a setup should be wrong on the safe side. Sizes are |
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| //| stepped to 0.1 so a fluctuating estimate does not create a |
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| //| different lot every time. |
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| //+------------------------------------------------------------------+
|
| #ifndef WARRIOR_BETSIZER_MQH
|
| #define WARRIOR_BETSIZER_MQH
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|
|
| #include "EdgeStats.mqh"
|
|
|
| class CBetSizer
|
| {
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| public:
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| //--- m(p), AFML eq. 10.1. 0 for p <= 1/2 (no edge, no bet).
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| static double Size(const double p)
|
| {
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| if(p <= 0.5)
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| return 0.0;
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| if(p >= 0.999)
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| return 1.0;
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| const double z = (p - 0.5) / MathSqrt(p * (1.0 - p));
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| return 2.0 * CEdgeStats::Phi(z) - 1.0;
|
| }
|
| //--- The multiple of the base risk for a setup rated p, given the book's average p0.
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| //--- Never above 1. 0 means "the journal rates this a coin flip or worse".
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| static double RiskScale(const double p, const double p0)
|
| {
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| const double base = Size(p0);
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| if(base <= 0.0)
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| return 1.0; // the book has no measurable edge to scale against
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| if(p >= p0)
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| return 1.0;
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| const double m = Size(p) / base;
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| return MathFloor(MathMin(m, 1.0) * 10.0 + 0.5) / 10.0;
|
| }
|
| };
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| #endif // WARRIOR_BETSIZER_MQH
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