Market System Analyzer MSA Adaptrade Fixed Fraction problem... - Trading Reviews and Vendors | futures io social day trading
futures io futures trading


Market System Analyzer MSA Adaptrade Fixed Fraction problem...
Updated: Views / Replies:778 / 2
Created: by FoxFX Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Closed Thread
 
Thread Tools Search this Thread
 

Market System Analyzer MSA Adaptrade Fixed Fraction problem...

  #1 (permalink)
Trading Apprentice
Malaga, Spain
 
Futures Experience: Beginner
Platform: MetaTrader
Favorite Futures: Forex
 
Posts: 1 since Jun 2015
Thanks: 0 given, 0 received

Market System Analyzer MSA Adaptrade Fixed Fraction problem...

I am a total noob in FX & MM and I am having difficulty with understanding Market System Analyzer 
Could you explain it to me as if I am 2 year old, step by step with examples?
Alpari FX, Margin 1:500, Margin per 0.01 Lot is 3 USD
USDJPY trades are

Historically max loss was -9.29 USD for Lot 0.01, but stoploss is possible -16 USD loss for 0.01 Lot
And according to Metatrader 4 trading charts, price on multiple occasions was very close to hitting stoploss -16 USD before bouncing back and closing in profits or less losses.
Thus, I put in MSA that maximum risk was -16 USD for each 0.01 LOT as my strategy dictates
Initial Balance in MSA 1000 USD
Max lot size 10 000, because Alpari FX allows max 100 Lots 100 /0.01 = 10 000 MSA lots
Initial Margin Per Contract 4$, in reality Alpari wants 2 USD margin for USDJPY if leverage 1:500
Just to be safe…
Monte Carlo 10 000 samples, F7 Optimize Position Size, Fixed Fraction from Equity
These are historical trades
12.52
12.48
1.52
5.68
6.48
-1.95
-1.92
6.1
9.58
5.24
-4.96
14.33
15.69
6.58
7.38
11.96
11.24
4.64
5.85
14.56
8.39
4.31
9.07
1.02
-3.12
-0.18
3.18
-9.29
-4.54
6.41
5.55
12.75
12.49
-0.14
18.17
22.79
-2.3
-1.33
21.17
7.55

usdjpy.msa
Position Sizing: Fixed Risk
Fixed Fraction (%): 100.0 (Optimal)
Starting Equity: $1,000.00
Equity High: $1,542,937.19
Equity Low: $156.22
Net Profit: $1,541,937.19
Final Equity: $1,542,937.19
Return on Starting Equity: 154200.%
Number of Trades: 41
Percent Profitable: 73.17%
Max Contracts: 10,000
Largest Win: $227,900.00
Ave Win: $51,428.94
Max Consec Wins: 26
Largest Loss: ($334.44)
Ave Loss: ($84.63)
Max Consec Losses: 7
Win - Loss Ratio: 607.7
Ave Trade: $37,608.22
Ave Trade (%): 24.10%
Max Drawdown: $843.78
Max Drawdown (%): 84.38%
Profit Factor: 1657.
Return - Drawdown Ratio: 1827.
Modified Sharpe Ratio: 0.7725

100% or even 150% of equity Optimal Fixed Fraction, really?
What is it mean?
I have to risk 100% of my account on each trade?
How should I use MSA results then?


Here is answer from MSA creator
You’re not understanding how the program works. 100% fixed fraction doesn’t mean you risk 100%. It only risk up to the maximum position size. You could put a fixed fraction of 10000000%, and you wouldn’t be risking any more than the maximum size. That’s why you have a maximum size. The 100% result is just what the optimization gives you because you set a hard limit on the size. That’s why I suggested you use the Parameter Studies feature so you can see how the fixed fraction is related to the results.

MSA has been used by over 1000 traders for more than 10 years, including many professional money managers. The calculations have been fully verified. I’m sorry if the functionality of the program is not clearer.

What
I calculate lot size like this

 
Code
double current_balance = 0;
 
   int nOrders = 0;    datetime OCTs[];
    for(int iPos=(OrdersHistoryTotal()-1); iPos >= 0; iPos--) if (
        OrderSelect(iPos, SELECT_BY_POS, MODE_HISTORY)  // Only orders w/
    &&  OrderMagicNumber()  == Magic             // my magic number
    &&  OrderSymbol()       == Symbol()             // and my pair.
    &&  OrderType()         <= OP_SELL//Avoid cr/bal forum.mql4.com/32363#325360
    )
    {
     
     double True_Profit = OrderProfit()+OrderSwap()+OrderCommission();
     current_balance += True_Profit;
     if (debug) Print("True Profit="+True_Profit+";current_balance="+current_balance+";OrderProfit="+OrderProfit()+";OrderSwap()="+OrderSwap()+";OrderCommission()="+OrderCommission()+";OrderType()="+OrderType()+";OrderOpenPrice="+OrderOpenPrice()+";OrderClosePrice="+OrderClosePrice()+";OrderOpenTime()="+OrderOpenTime()+";OrderTicket()="+OrderTicket()+";OrderLots()="+OrderLots());
     // current_balance
         // double profit = (OrderClosePrice()-OrderOpenPrice())*OrderLots()*MarketInfo(OrderSymbol(),MODE_TICKVALUE)/Point;
   //if (debug) Print ("profit="+profit);
    }
    current_balance += initial_deposit;
    
   if (debug) Print(Symbol() +";AccountFreeMargin()="+AccountFreeMargin()+";initial_deposit="+initial_deposit+"; current_balance="+current_balance); 

current_balance=current_balance*0.95;
   double normalized_balance = NormalizeDouble(current_balance,2);
   double RiskDollars = (RiskPercent/100) *normalized_balance;
   RiskDollars = NormalizeDouble(RiskDollars,0);
   // slippage? spread?
   double RiskStopLoss = StopLoss*10 +Slippage*10+MarketInfo(Symbol(), MODE_SPREAD);
   
   
   double pip_value =  (MarketInfo(Symbol(), MODE_TICKVALUE)/ MarketInfo(Symbol(), MODE_TICKSIZE)) * Point; // true stable pip value in USD deposit currency
   Print (" RiskDollars="+ RiskDollars+";RiskStopLoss="+RiskStopLoss+";pip_value="+pip_value+";1 lot risk RSL*pipvalue="+(pip_value*RiskStopLoss));
   LotSize = NormalizeDouble( RiskDollars/(pip_value*RiskStopLoss),2) ;


Last edited by Big Mike; June 17th, 2015 at 01:46 PM. Reason: code tags
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,237 since Jun 2009
Thanks: 29,350 given, 83,150 received


(a) Use the [code] tags to wrap code, otherwise it is badly formatted. I fixed your post.

(b) Use the existing MSA thread to discuss MSA:

https://futures.io/vendors-product-reviews/4690-msa-market-system-analyzer-www-adaptrade-com.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.


Closed Thread



futures io > > > Market System Analyzer MSA Adaptrade Fixed Fraction problem...

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

Dec 7

Linda Bradford Raschke: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Market Analyzer Templates aligator The Elite Circle 14 April 24th, 2016 02:43 PM
NT strategy analyzer vs Market System Analyzer adaptrade indofear NinjaTrader Programming 2 May 9th, 2015 05:29 PM
MSA - Market System Analyzer (www.adaptrade.com) PandaWarrior Trading Reviews and Vendors 19 November 17th, 2013 10:47 AM
StopLoss as fraction of ATR FArias NinjaTrader Programming 5 February 23rd, 2011 03:45 PM
Bond-Picker's Market Looms For Fixed-Income Investors Quick Summary News and Current Events 0 September 23rd, 2010 05:10 PM


All times are GMT -4. The time now is 09:13 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-11-18 in 0.08 seconds with 19 queries on phoenix via your IP 54.80.157.133