Warrior_EA/Mind/BetSizer.mqh

//+------------------------------------------------------------------+
//|                                                     BetSizer.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| FROM A PROBABILITY TO A SIZE (AFML ch. 10).                       |
//|                                                                   |
//| With p = P(this bet wins), the statistic z = (p - 1/2) /          |
//| sqrt(p (1 - p)) is the test of "is this better than a coin", and  |
//| m = 2 Phi(z) - 1 is the bet size it earns: 0 at p = 0.5, rising    |
//| smoothly to 1. Size follows conviction continuously instead of on |
//| a cliff, and a coin-flip gets no capital at all.                  |
//|                                                                   |
//| HOW THIS BOOK USES IT. The base risk (RISK_0_25) is what the      |
//| validated book earns at its AVERAGE win rate p0. A setup the       |
//| journal rates below average gets m(p) / m(p0) of that risk - so    |
//| the sizer can only take risk OFF, never add it. That is deliberate |
//| on a prop account: the 5% limit is a ceiling, and a model that is |
//| wrong about a setup should be wrong on the safe side. Sizes are    |
//| stepped to 0.1 so a fluctuating estimate does not create a         |
//| different lot every time.                                          |
//+------------------------------------------------------------------+
#ifndef WARRIOR_BETSIZER_MQH
#define WARRIOR_BETSIZER_MQH

#include "EdgeStats.mqh"

class CBetSizer
  {
public:
   //--- m(p), AFML eq. 10.1. 0 for p <= 1/2 (no edge, no bet).
   static double     Size(const double p)
     {
      if(p <= 0.5)
         return 0.0;
      if(p >= 0.999)
         return 1.0;
      const double z = (p - 0.5) / MathSqrt(p * (1.0 - p));
      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.
   //--- Never above 1. 0 means "the journal rates this a coin flip or worse".
   static double     RiskScale(const double p, const double p0)
     {
      const double base = Size(p0);
      if(base <= 0.0)
         return 1.0;                   // the book has no measurable edge to scale against
      if(p >= p0)
         return 1.0;
      const double m = Size(p) / base;
      return MathFloor(MathMin(m, 1.0) * 10.0 + 0.5) / 10.0;
     }
  };
#endif // WARRIOR_BETSIZER_MQH