8ccbddb051
- Implemented sqx_audit.py to audit StrategyQuant X trade lists, focusing on performance metrics and cost analysis. - Created sqx_portfolio.py to evaluate portfolio performance based on uncorrelated components and their impact on risk and return. - Developed swing.py to analyze cost ratios across different holding periods and assess swing trading structures. - Introduced test_management.py to investigate the effectiveness of exit rules on random entries and their impact on expectancy.
56 lines
3.3 KiB
MQL5
56 lines
3.3 KiB
MQL5
//+------------------------------------------------------------------+
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//| SignalRiskGuard.mqh |
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//| AnimateDread |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "AnimateDread"
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#property link "https://www.mql5.com"
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#include "..\Expert\ExpertSignalCustom.mqh"
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#include "..\Variables\RiskBudget.mqh"
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//+------------------------------------------------------------------+
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//| Class CSignalRiskGuard. |
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//| Vetoes new entries (the EMPTY_VALUE convention every other filter |
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//| here uses, via the composite Direction()) whenever the account's |
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//| loss budget is exhausted. |
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//| |
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//| This class USED TO OWN the whole mechanism - thresholds, day-start|
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//| balance, peak equity, its own state file. It no longer does, and |
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//| the reason is that a CExpertSignal filter is the wrong place for |
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//| an account-level hard limit: |
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//| |
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//| * Direction() is called by the signal pipeline, and with the |
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//| shipped Expert_EveryTick=false that is ONCE PER BAR at the bar|
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//| open. A 4% daily limit checked once an hour on H1 is not a |
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//| limit. The budget is now evaluated from OnTick()/OnTimer() |
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//| (Variables\RiskBudget.mqh), at quote frequency, whatever |
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//| timeframe the signals run on. |
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//| * A veto can only decline to OPEN. It cannot size a trade to |
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//| fit the remaining allowance, and it cannot act on a position |
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//| that is already running toward the limit. Both of those now |
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//| live in CRiskBudget, which the money manager consults before |
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//| every lot-size calculation. |
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//| |
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//| What remains here is the entry veto alone - kept because the |
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//| composite-Direction convention is how every other filter blocks a |
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//| trade, so the journal, the panel and the vote arithmetic all |
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//| behave consistently when the budget halts trading. |
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//+------------------------------------------------------------------+
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class CSignalRiskGuard : public CExpertSignalCustom
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{
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public:
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virtual double Direction(void);
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};
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//+------------------------------------------------------------------+
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//| CRiskBudget::Update() has already run this tick (OnTick calls it |
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//| before Expert.OnTick()), so this is a pure read - no account |
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//| queries, no file I/O, nothing that costs anything per bar. |
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//+------------------------------------------------------------------+
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double CSignalRiskGuard::Direction(void)
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{
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if(!g_riskBudget.Enabled())
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return 0.0; // permanent no-op, same convention as the other disabled filters
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if(g_riskBudget.Halted())
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return EMPTY_VALUE; // veto: the composite Direction() turns this into "no new entries"
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return 0.0;
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}
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//+------------------------------------------------------------------+
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