[tutorial] the use of MT4 and MT5 portfolio transactions in practice

The basic theory of portfolio has been well known for a long time. According to the diversified and reasonable layout in multiple directions, investors have established their own investment portfolio to reduce the overall risk of loss and steadily improve profits. When harrymarkowitz clearly put forward the first mathematical analysis model of portfolio in 1930, the basic theory of portfolio was strong enough to promote. In the 1980s, a scientific research working group from Morgan Stanley developed and designed the first price difference trading strategy, which paved the way for the neutralization strategy of the sales market group. Nowadays, the basic theory of portfolio is so diversified and complex that it is basically impossible to describe all portfolio strategies in one article. Therefore, we only scientifically study the small-scale speculative strategy on metatrader4 service platform, so that it will be completed.

The classic portfolio is generally used in the stock market. As everyone knows, this kind of method is not suitable for foreign exchange trading, because most of the investment portfolios here are foreign exchange speculation. Their establishment and transaction are slightly different. For foreign exchange trading, portfolio trading is actually a multi currency transaction, but not all multi currency strategies belong to one of the portfolios. If the types of transactions are separate and the dynamic results between them have not been tracked, it is a multi currency trading strategy. If there are several separate system software to carry out transactions in separate trading accounts, it is a strategic component. Here you will study the trading portfolio in the field of Science - positions generated by multiple categories, and carry out mid and late stage management methods.

Basic principles

The development and design portfolio consists of two stages: the selection of types, the number of hands and their positions. Here, we only discuss the development and design of a simple portfolio with a small number of optimization algorithm routines. For MT4 and MT5 rentals, least squares (OLS) and principal component analysis (PCA) are recommended as the basic methods. Other information can be found here:

When developing and designing a portfolio, it is generally necessary to define the individual behavior of the expected portfolio. The portfolio legend shows the total profit transformation of all positions included in the portfolio within a certain time range. Portfolio upgrading is the composition of finding the most appropriate number of hands and positions. For example, according to everyone's daily task, the portfolio may have a regular average value, or a clear development trend identification feature, or its data chart should be consistent with the data chart of a certain number.

Three types of portfolio (development trend, horizontal consolidation, number of covers):

It is a multiple linear regression equation with zero constant term. Its roots can be easily found by using OLS. First, the time series should set a comparable average price, so that the price point can be converted to savings and loan currency. In this case, each element in each time series can be expressed as a virtual profit value of a relative kind of hand at a special time. In the daily task of statistical analysis, it is generally proposed to apply the basic price majority or price error. However, in everyone's situation, this is unnecessary and even harmful, because the dynamic data critical point of the overall type may be destroyed by this kind of way.

The objective function defines the types of portfolio patterns. The value of the objective function should be calculated in advance at each relative point. For example, when developing and designing a simple improvement portfolio (composed of development trends), the value of the objective function will be 0,1*s, 2*s, 3*s. Here s is an increase or decrease asset value, which is the expected profit of the portfolio on each column within the prediction time range. OLS optimization algorithm plus a, B, C Time series, easy to use their total to find repeated objective function data charts. In order to achieve this overall goal on MT4 and MT5 platforms, OLS optimization algorithm minimizes the sum of the squares of the spread between the cumulative coding sequence and the objective function. This is a standardized statistical analysis daily task. You don't need to master the key points of the actual operation of the optimization algorithm, because you can apply the existing library.

It will also produce that the objective function only includes a zero value (sideways consolidation portfolio). In this case, an additional cumulative limiting ratio (such as k1+k2+k3+... =1) should be added to bypass the solution of a zero root system of equations. Another alternative is to move one term of the equation set to the right, so that the objective function accepts the -1 ratio, while the other terms should be increased as usual. In this case, we generalize the bamboo basket of special tools and the selected special tools, and then establish a price difference portfolio. Finally, better PCA optimization algorithms can be used to develop and design such portfolios. It uses the covariance matrix of the special tool to measure the index vector that matches the least remaining variance cross-section of the hierarchical cloud and the portfolio. Similarly, you don't need to master the key points of the optimization algorithm here, because you can apply the existing library.

Until now, everyone has not focused on the difficult problem of trading volume management method, although it is a key component of all trading system software. In general, we can describe the following ways:

Single transaction generates positions (very simple situation), splits trading volume (widens the entry according to the price), puts positions in the increasing portfolio (development trend pyramid), puts positions in the retreating portfolio (position flattening), buys after portfolio adjustment (the way it has been done), buys after portfolio reversal (expansion strategy), improves the composition of new portfolio (joint portfolio) (the composition of multiple ways)

The unique trading volume management scheme should take into account the characteristics of the selected trading system software. When planning profit and retreat as a whole, your calculation should be based on the uncertainty of the portfolio. In the very simple situation of MT4 and MT5 platform rental, the uncertainty of the portfolio can be commented on according to its chart in the market scope within a clear time period. This is stronger than carrying out uncertainty assessment only within the optimization interval of previous historical time data. By mastering the uncertainty of the portfolio, we can measure the standard deviation of large total pullback in a series of positions. In the traditional way, you don't have to take advantage of the situation to buy too often. The total asset credit limit allocated to the portfolio in the account should fully consider that all holdings can bear the bad market.

Multiple portfolio transactions represent professional portfolio selection and combination. MT4 and MT5 build prices if you have bought one portfolio and added another, if this portfolio is significantly different, it may also have a negative diversification effect. However, if the portfolio is related, it may have a negative impact, because they will notice that there is a retreat in bad market conditions. When everything is normal, you should prevent adding relationships to your portfolio. At first glance, the trading spread between the two related portfolios seems to be very promising, but observation shows that this kind of spread is no different from the usual spread, because they are not fixed.

Various exit strategies can be applied in transactions consisting of a variety of assets, including:

Based on the total results of all portfolios, the compulsory liquidation of the portfolio group is based on the clear overall objectives of the portfolio and the limited compulsory liquidation.

For some strategies, the entry point is particularly important. For example, if a strategy applies extreme price before the development trend is reversed or adjusted, the entry cycle time is appropriate to be shorter. Other strategies rely more on the improved calculation of buying system software and the selection criteria of investment portfolio. In this case, some portfolios may move back, but other (more reasonable) portfolios in the combined series can adjust the overall results.