Optimal F for MQ L5 (per Ralph Vince)
Info
The Optimal F for MQ L5 (per Ralph Vince) is a Library for MetaTrader 5 that i couldn't find mql5 code for the kelly criterion, so i decided to write it myself; but it turned out that the kelly criterion only works for bernoulli distributions. This means it works only for fixed profits and losses, i.
Usage
This tool is typically used for enhancing chart analysis and decision making.
Platform
This Library works exclusively on MetaTrader 5 (both build 600+ and newer versions).
Setup
Place the downloaded file in MQL5/Libraries folder via File ? Open Data Folder in MetaTrader 5.
How to Install and Use Optimal F for MQ L5 (per Ralph Vince)
1. Storage: Place library files in the MQL/Libraries directory to ensure they are accessible to your projects.
2. Implementation: Include the library in your code using the #import directive, ensuring you match the exact function names and parameters.
3. Compilation: Ensure the library is present in the directory before you compile your main EA or script, as the compiler links them during this phase.
4. Management: Keep libraries organized in sub-folders if you manage many custom functions to maintain a clean project structure.
Frequently Asked Questions
Q: What is a library file used for? A: Libraries store reusable code modules, allowing you to centralize common logic used by multiple EAs or indicators.
Q: Is a library executable? A: No, libraries are non-executable files containing functions; they must be imported into an EA, indicator, or script to function.
Q: Can I update a library while the platform is running? A: You should compile your EA or script after updating a library to ensure the latest code changes are integrated.
What this tool does
I couldn't find MQL5 code for the Kelly Criterion, so I decided to write it myself; but it turned out that the Kelly Criterion only works for Bernoulli Distributions.
Typical Use Case
This Library excels in automated trading and technical analysis on MetaTrader 5.
Compatible Platform & Setup
This Library works on MetaTrader 5. Place the file in the MQL5/Libraries folder and restart the terminal.
Description & Settings
Related: CSet File Reader - another powerful library for MetaTrader 5 traders.
I couldn't find MQL5 code for the Kelly Criterion, so I decided to write it myself; but it turned out that the Kelly Criterion only works for Bernoulli Distributions. This means it works only for fixed profits and losses, i.e. fixed SL and TP, but I rarely do.So, based upon the work of Ralph Vince's book The Mathematics of Money Management, and borrowing concepts from python code I found online, I created this MQL5 library for Optimal f.I am including test(s) that I used to verify that my code gives the same results as the example in Ralph Vince's book. That is: +9, +18, +7, +1, +10, -5, -3, -17, -7 .Note: I set GEOM_MEAN_MIN_TRADES = 0 to have the unit tests run.Note: This calculates Optimal f only. It does not show how to calculate a position size. That part is up to you.Note: This code is provided for testing and edification only.
Also recommended: CS V file reader for MQ L5 - similar library with strong performance on MetaTrader 5.
UNDERSTAND THE MATHEMATICS BEFORE USING THIS ON A REAL TRADING ACCOUNT!It's highly possible you will wipe out your account if you don't know what you are doing.
You may also like: Class Calc Frac - Number of bars before and after the current High / Low (calculated fractal) - excellent alternative for library users on MetaTrader 5.
⚠ Limitations & Risk Warning
- This tool is provided for educational and testing purposes only.
- Past performance does not guarantee future results.
- Trading involves substantial risk of loss. Use on a demo account first.
- Results may vary depending on market conditions, broker, and settings.
- We recommend thorough backtesting and forward testing before using with real funds.