What this Indicator Does
VAR or value at risk is a standard tool in risk analysis. This tool will tell you precisely how much risk your account is exposed to in any given time period.
- Shows the VAR – value at risk – of all open trades
- Percentage of account at risk
- Shows worst case loss amount and chance of loss after N days
- Displays the drawdown level the account could potentially fall to after N days
How to use VAR
The purpose of VAR is to estimate the potential loss that your account could suffer within a certain number of days. As an example the 99% VAR will give you an upper bound for losses so that you can be 99% confident that your losses won’t exceed that amount over a given number of days.
This VAR calculator will examine each open position in the account, as well as the size and the correlations between each one. It displays the individual VAR of each position as well as the total VAR for the account. As some positions may hedge each other, the total account VAR is the most important one to watch.
Using the Calculator
This tool is very easy to use. Simply load the indicator onto any open chart in your Metatrader terminal. The tool will analyze each open position and display the result. To configure the tool, the following settings can be adjusted.
- VAR days – Show value at risk for this many days in the future (default 7)
- VAR percentage – Show value at risk for this percentile (default 95%)
- Journal – display more detailed results to the journal (default yes)
The indicator panel displays the risk on the account in terms of VAR, potential loss, and “worst case” account drawdown. All amounts are displayed in the account’s currency. The top five positions with the highest absolute risk are displayed in the panel.
The tool rechecks positions periodically so after adding or removing positions to the account please wait a minute or two for the VAR to update.
Compatible with Metatrader 4 and Metatrader 5.