Calculating volatility of MT4 trading account

[Doggie52]

Hi everyone,

I'm looking to understand whether my returns are attractive after adjusting for risk. To help me to do this, I was going to use a measure of annualised volatility to estimate various ratios including Sharpe.

I was wondering if anyone has calculated volatility from a simple MT4 account history document and, if so, they could share their methodology? I presume I'll have to estimate the daily NAV of my account, taking into account open positions. I guess I'll have to use Excel for this and a feed of historical FX rates as input.

Does any online service provide this kind of calculation?

Thanks in advance

 

[WklyOptions]

tracking risk metrics for your MT4 account

Doggie52,

Probably best and easiest if you don't do these metrics yourself off the MT4 account. Instead - just visit www.MyFxBook.com - then get your MT4 trading account linked and MFB will track live all trades. It has excellent reporting metrics. It is used by trading firms looking to track potential seed traders.

Good start on looking into risk-adjusted metrics! Keep Draw-Downs small to (-6%) or less per month if looking to seek funding!

Good trading to you.

WklyOptions

 

[Doggie52]

Thanks but I'm looking to do something a bit more advanced than the metrics they report. Risk-adjusting it via volatility is the only thing I can think of -- do you have a better solution?

 

[WklyOptions]

Thanks but I'm looking to do something a bit more advanced than the metrics they report. Risk-adjusting it via volatility is the only thing I can think of -- do you have a better solution?

Doggie52,

What is it precisely you are trying to prove or disprove? Or to show to prospective clients and/or seeders?

Using volatility based metrics is standardized in the performance metrics business - and this is the Sharpe Ratio itself as the easiest and most widely accepted metric. MyFxBook has Sharpe built-in, you can link to your MT4.

Or you can try the Treynor - where you are adjusting and measuring Risk around the general 'Market" metrics --> Returns measured against Beta.

Or you can even try exploring using Alpha - the Return above the Risk Premium for specific Assets and even trading strategies and allocations.

You can use MT4 api (or Yahoo Finance) to download Daily price data - and then crate spreadsheet for Volat for 5 days, 20 days, 30 days, 100 days. These are the most commonly analyzed Volat reporting formats.

Good luck - let me know if you have any success in your primary objective of using the Sharpe metric.

WklyOptions