forked from animatedread/Warrior_EA
e9c562b39f
- Introduced `FeatureScale.mqh` with `FeatSquash` function for stateless feature scaling. - Added `RegimeMath.mqh` class for regime arithmetic, including efficiency and variance calculations. - Documented the Mind trading logic in `MIND.md`, detailing the trading process and modes. - Created `VOLNORM_PLAN.md` and `VOLNORM_RESULTS.md` for tick-volume normalization testing. - Implemented `read_book.py` for analyzing trade book data and correlations. - Developed `volnorm.py` for testing tick-volume normalization with new and old methods.
53 lines
2.4 KiB
MQL5
53 lines
2.4 KiB
MQL5
//+------------------------------------------------------------------+
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//| BetSizer.mqh |
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//| 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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//+------------------------------------------------------------------+
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#ifndef WARRIOR_BETSIZER_MQH
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#define WARRIOR_BETSIZER_MQH
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#include "EdgeStats.mqh"
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class CBetSizer
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{
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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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{
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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;
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}
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//--- 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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{
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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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}
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};
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#endif // WARRIOR_BETSIZER_MQH
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