there is something in the whole series that still surprises me a little and I don't quite understand. My closest relationship with VaR is through the Rs attribute. Is it the same VaR? because in Rs the rule is leverage, and in the formula implemented in the series leverage is not used. Perhaps it is considered that the sum of positions is 100% of the capital?... if so, you should think about the possibility of introducing the "empty position" for unused money..., I love the series, greetings
Really glad you are enjoying the series Geranio. VaR is used for a number of reasons in trading and portfolio management. In the Risk Stability (Rs) investable attribute it is used to show consistency in risk level by the trader and as you say is also then used to leverage up/down the risk of the DARWIN to a 6.5% level. This is if you like viewing the strategy at a macro level, without seeing the individual positions that lead to that VaR value. The use in the context explained in my videos is slightly different. Here is is more about that micro level of risk management across the individual positions in the portfolio. Hope that helps to clarify :)
Very nice video. Clear and straight.
As ever Leon, Many thanks!
Great content! It's consice and well explained. Thank you, Martyn.
Looking forward to Episode 30.
Thanks Anton. Appreciated
Thank you very much
I'm sure this is a key calculation, but no idea yet on how to do that that in MQL5.
Thank you again
there is something in the whole series that still surprises me a little and I don't quite understand. My closest relationship with VaR is through the Rs attribute. Is it the same VaR? because in Rs the rule is leverage, and in the formula implemented in the series leverage is not used. Perhaps it is considered that the sum of positions is 100% of the capital?... if so, you should think about the possibility of introducing the "empty position" for unused money..., I love the series, greetings
Really glad you are enjoying the series Geranio. VaR is used for a number of reasons in trading and portfolio management. In the Risk Stability (Rs) investable attribute it is used to show consistency in risk level by the trader and as you say is also then used to leverage up/down the risk of the DARWIN to a 6.5% level. This is if you like viewing the strategy at a macro level, without seeing the individual positions that lead to that VaR value. The use in the context explained in my videos is slightly different. Here is is more about that micro level of risk management across the individual positions in the portfolio. Hope that helps to clarify :)
Such well Explained. Im excited to see this in Mql5 code! I can see that some of the coding loops will be very similar to that of the VaR structure.
Hi Martyn! great video! how can i incorporate a risk free asset with two other risky assets?
If you could do something for TWS of IBKR would be perfect 😊
Hi Geranio - Not in my skillset just yet but maybe in the future