How to Convert a Position's Lot Size To A Monetary Investment Amount for Value at Risk (VaR)

The Value at Risk calculation is designed to work with ‘typical’ investments that have a monetary value associated with them. It isn’t designed to use the concept of lots for a position's size. This poses a challenge when calculating VaR.

So if you are trading in an account that uses lots to determine the position size, how can you calculate your value at risk? It's necessary to convert the lot size, to a monetary value. Note that code examples are provided for MQL5 (MT5). All will be explained in this episode.

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This is Episode 8 in the Darwinex 'Institutional-Grade Risk Management Techniques' Playlist:    • Institutional-Grade Risk Management T...  

Video Contents:
00:00 Lot Size vs Investment Amount for VaR
00:25 Why Darwinex?
01:14 Using Value at Risk with Lot Sizes
03:08 Principles of the lots to monetary amount conversion calculation
04:04 The code for MQL5 (MetaTrader 5)
07:35 Currency conversions
09:14 Summary and Next Episodes

Content Disclaimer: Past performance is not a reliable indicator of future results. The contents of this video (and all other videos by the presenter) are for educational purposes only and are not to be construed as financial and/or investment advice.

Risk disclosure: https://www.darwinex.com/legal/risk-d...